| 中国A股市场“小公司效应”的实证分析 |
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| 引用本文： | 赵熠,张艾,仲健心.中国A股市场“小公司效应”的实证分析[J].上海管理科学,2005,27(4):45-46. |
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| 作者姓名： | 赵熠 张艾 仲健心 |
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| 作者单位： | 上海交通大学 |
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| 摘 要： | 本文以1995年1月至2003年12月期间在上海、深圳证券交易所交易的的全部A股股票为样本,分别以流通市值与总市值来衡量公司规模,对中国A股市场的“小公司效应”进行实证分析,研究表明:①作为规模度量的流通市值与总市值的选择对公司规模的排序没有显著影响。②最小规模公司股票组合获得显著的超额收益,且拥有最高的经风险调整后的收益(Sharpe比率),中国A股市场存在“小公司效应”。
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| 关 键 词： | 市场异常 小公司效应 规模效应 超额收益 |
Empirical Study of Small Firm Effect in Chinese a Stock Market |
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| Zhao Yi,Zhang Ai,ZHONG Jian-xin.Empirical Study of Small Firm Effect in Chinese a Stock Market[J].Shanghai Managent Science,2005,27(4):45-46. |
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| Authors: | Zhao Yi Zhang Ai ZHONG Jian-xin |
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| Institution: | Zhao Yi Zhang Ai Zhong Jian-xin |
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| Abstract: | We select "A" stocks in both Shanghai and Shenzhen stock market as samples, and take both total market value and tradable market value respectively as measurement during the period of Jan. 1995 to Dec. 2003 to study the small firm effect in those markets. The research shows: 1. the choice of different measuring standards has no significant influence on the firm size sorting and measurement. 2. The stock combinations of the smallest firms gain significant premium return and the highest risk-adjusted return (Sharpe ratio) , the small firm effect exist in the Chinese A stock market. |
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| Keywords: | Market anomalies Small firm effect Size effect Premium return ng nt has no significant impact on the different measuring standards of market capil |
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