| 上海股票市场"规模效应"的实证研究及原因探析 |
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| 引用本文： | 张祥建,谷伟,郭岚. 上海股票市场"规模效应"的实证研究及原因探析[J]. 大连理工大学学报(社会科学版), 2003, 24(4): 24-28 |
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| 作者姓名： | 张祥建 谷伟 郭岚 |
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| 作者单位： | 1. 上海交通大学,管理学院,上海,200030
2. 上海社会科学院,经济法律社会研究中心,上海,200020 |
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| 基金项目： | 中国科学院资助项目,70172001, |
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| 摘 要： | "规模效应"是股票市场上一种重要的异常收益现象,反映了股票收益与公司规模之间的反向关系.选择沪市所有A股为样本,以流通市值来衡量公司的规模,1997年1月至2002年12月间沪市股票(组合)的平均收益与公司规模之间具有明显的负相关关系.通过逐月横截面回归分析进一步检验了公司规模对股票收益的解释能力,证明了沪市"规模效应"的稳健性.上海股票市场"规模效应"产生的原因主要在于市场操纵和公司购并行为.
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| 关 键 词： | 规模效应 规模溢价 股市操纵 公司购并 |
| 文章编号： | 1008-407X(2003)04-0024-05 |
| 修稿时间： | 2003-10-20 |
Empirical study of size effect in Shanghai stock market and its causes' analyses |
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| ZHANG Xiang-jian,GU Wei,GUO Lan. Empirical study of size effect in Shanghai stock market and its causes' analyses[J]. Journal of Dalian University of Technology(Social Sciences), 2003, 24(4): 24-28 |
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| Authors: | ZHANG Xiang-jian GU Wei GUO Lan |
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| Abstract: | The size effect is an important phenomenon of the market anomalies and reflects the reverse direction between the stock return and the firm size. "A" stocks in Shanghai stock market are selected as samples and the market value of flowing stocks measures the firm size. There is reverse relation between the average stock return and the firm size of Shanghai stocks during the period of Jan. 1997 to Dec. 2002. The results of the cross-sectional regression on monthly average return further examine the firm size's explanation power to the stock return, and show that the size effect is robustness. The size effect in Shanghai stock market mainly comes from the stock manipulation and the firms' acquisition behavior. |
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| Keywords: | size effect size premium stock manipulation firms' acquisition |
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