What research is available to support whether students testing in a
large arena style room or a smaller classroom type setup perform
better on tests?

As a college student, I feel reasonably equipped to answer this
question.  Quite frankly, you should not be surprised to find that it
depends on the student.  To a small few, it truly won't make a
difference.  To most, it is a matter of preference.  My roommate is
intimidated by a small classroom, as he prefers annonymity.  I, on the
other hand, like the idea of receiving more individualized attention
if I have a question.

To my knowledge, there are no conclusive studies on this subject. 
Results tend to vary.