摘要
本文通过对1994-2004年中国所有上市公司的流通股规模、总市值规模与股票收益率的关系运用截面回归的方法进行实证研究,发现无论上市公司的流通股规模还是总市值规模都与股票的收益率呈负相关关系,而且在剔除风险因素以后,公司规模仍然与异常收益率呈负相关关系,且具有统计上的显著性。中国股市存在小公司效应。这说明中国股票市场不是半强有效的。
The relationship between firm size and security returns has received wide attention in both the financial and academic literatures in the past twenty years. This paper employs the cross-sectional analysis to get the stock abnormal returns based on the outstanding capitalization and the total capitalization in the Chinese stock market. The resuits show that small firms perform better than large firms from 1993 to 2004. Even when the tests allow for variation in,that is unrelated to size, the phenomena stays. Finally, the existence of small firm effect suggests that the Chinese stock market is the half--efficient one.
出处
《上海金融学院学报》
2006年第2期25-30,共6页
Journal of Shanhai Finance University
关键词
上市公司
股票收益率
Listed company
security return rate
