I can think of three ways that can achieve your goal. Two of them are automatic:
1. Many printer drivers has a native support for such functionality. Here is HP's example:
2. Generate A4 size PDF from your document. Then use your favourite PDF reader to print the PDF on A5, by selecting "fit to paper".
3. There's also a semi-manual way, directly in Word, if both above solutions fails for you:
Go to print and, from Printer Properties, set the scale factor to 70.7 percent. That will adjust it to A5 size (on A4 paper). However, the printer's margins will not scale, as they are set by the printer's hardware. Hence you may need to set the scale factor slightly lower, depending on your printer's margins. There is also the issue that Word will still tell the printer to use A4 paper, and you can't change that to A5 because, as you discovered, Word paginates the document to the paper size. For good measure, changing the paper size from Printer Properties at print time will be ignored by Word - it must be done from Page Setup, prompting re-pagination.
No matter which option you choose, make sure that your printer actually "see" A5 paper in a trytray. You can verify this in printer settings, on printer panel or other ways -- depending on your printer.
For example, on many LaserJet printers you have to:
- Send the actual print job to the printer (any of above methods).
- Wait until it signals that an incorrect paper size (A4) is inserted into tray.
- Remove tray, place A5 paper and put it back.
- Only then you'll see a message to confirm in-tray paper size permanent change.
This is permanent, at least as for some HP printers. Next time you're going to print on a regular A4 paper, you'll have to go through above procedure again. Because certain models are not able to auto-detect paper size in a tray.