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McGonagall transfigured the chessmen to make them alive.
(Harry Potter and the Sorcerer's Stone)

If "to make them alive" is correct, why "to set them alive" is not?

In fact, after some searches, it seems to me that if one uses the verb "make" then "alive" has to be used, whereas if one uses the verb "set" then using "aliving" is mandatory.

Or, perhaps, am I wrong?

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    Your title uses "aliving" but the first sentence of your question (after the quote) says "alive" in both cases. Which do you mean? If you did mean "aliving", I'm pretty sure that's not a word. I checked The Free Dictionary and it just redirected me to "living". Maybe it's an old-fashioned word, but I haven't heard it before. (And I wouldn't use set in either case, but that's the subject of an answer. Just trying to clarify the question! :) – WendiKidd Aug 13 '13 at 21:28
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    It's possible that JKR is using this construction to emphasize the fact that the "transfigured" chessmen would be elevated into new and different forms in order to accommodate their new status of "alive". – Tyler James Young Aug 13 '13 at 21:57
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I can think of two common wordings that could be used in this situation: to make them alive, which is in the original text, and to bring them to life. (I personally think the second sounds better, but then I didn't make hundreds of millions of dollars selling childrens' books.)

I'm not sure where you were looking when you encountered to set them alive, but that simply doesn't make sense. We can set things on fire or set up a board game but we don't set things alive. You can make something alive, make something living, or bring something to life. But we don't use set here.

I'm not sure if this was intentionally part of your question or not, but aliving isn't a word. The closest thing that I think you could have meant is the previously noted construction to make something living (that is, to change its state into one of being alive).

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    +1. As a native English speaker, "to make them alive" sounds particularly unidiomatic and strange. "Bring them to life" would certainly sound better to me. In the context of "make", I would probably go with "Make it live", rather than "make it alive" or "make it living", although even "make it live" sounds much poorer than "bring it to life" – Matt Aug 13 '13 at 23:17
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The a in alive is a linguistic fossil:a worn-down form of the preposition on, which in Old English had a variant form an. The form is treated at some length in OED 1, s.v. A, prep.1.

This preposition was still common well into Early Modern English—indeed, it has lasted in dialectal use to the present day. It might of course be used with any noun or noun phrase, and many short phrases which were in frequent use have survived as either adverbs or adjectives or both. In Modern and Present-day English, however, these phrases are now written and understood as single words, the prepositional sense of a having long since been lost. A few you may have run across are aback, abed, afar, afire, afoot, aground, ahead, ajar, aside, asleep and athirst. The a in the middle of nowadays has the same origin.

Note that all the forms which follow a are nouns; and the same is true of the -live in alive, as is clear from the pronunciation with the ‘long’ vowel as opposed to the ‘short’ vowel in the verb live. Alive is thus an ordinary adjective, with no verbal sense, and there is no justification for the verbal form aliving.

But you should not feel bad about this mistake; it’s an old one among native speakers, although not specifically with regard to alive. OED 1 observes of the original noun in the construction that

being often the verbal sb. [substantive] of state or act, it has been in modern times erroneously taken as a verb, and taken as a model for forming such adverbial phrases from any verb, as a-wash, a-blaze, a-bask, [...] These are purely modern and analogical. (ibid., 11.)

It should be added that since this fascicle of OED 1 was published in 1884, these (mis)constructions have gone out of fashion, and the prefix is no longer either ‘modern’ or productive.

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