中国上市公司“规模效应”的实证研究

Abstract

Abstract: This paper reviews the development of "size effect"research,and analyzes this anormaly based on both of the outstanding capitalization and the total market capitalization on the different stock markets in China with empirical analysis,the research shows:①The choice of the different measuring standards of market capitalization has no essential influence on the sequent of different cap’s income-rate.②The"size effect"exists on Shenzhen stock market;but the middle-cap stocks on average outperform the other portfolios on Shanghai stock market.③No seasonal return patterns exist on the stock markets in China.

Key words: anomaly, size effect, seasonal effect, market efficiency

CLC Number:

F832

CHEN Shou, CHEN Li-bo. An Empirical Research on the "Size Effect" for the List Companies in China[J]. Chinese Journal of Management Science, 2002, (6): 8-12.

References

[1] Kuhn,Thomas S..The Structure of Scientific Revolutions,Chicago:University of Chicago Prees[M],1970(2nd ed.,enlarged;1st ed.1962).
[2] Fama,Eugene.Efficient Capital Markets:A Review of Theory and Empirical Work[J].Journal of Finance,1970,25:383-417.
[3] Banz,Rolf W..The relationship between return and market value of common stocks[J].Journal of Financial Economics,1981,9:3-18.
[4] Keim,Donald.Size related anomalies and the stock return seasonality:Further empirical evidence[J].Journal of Financial Economics,1983,28:67-83.
[5] Reinganum,Mark.The anomalous stock market behavior of small firms in January:Empirical tests for tax-loss selling effects[J].Journal of Financial Economics,1983,12:89-104.
[6] Blume,Marshall and Robert Stambaugh.Biases in computed returns:an application to the size effect[J].Journal of Financial Economics,1983,12:387-404.
[7] Fama,Eugene and Kenneth French.The cross-section of expected stock returns[J].Journal of Finance,1992,47:427-465.
[8] Dimson,Elroy and Paul Marsh.Murphy's law and market anomalies[J].Journal of Portfolio Management,1999,25(2):53-69.
[9] Horowitx,J.L.,T.Loughran,and N.E.Savin.The disappearing size effect[J].Research in Economics,2000,54:83-100.
[10] Goyal,Amit and Ivo Welch.Predicting the equity premium[R].UCLA working paper,1999.
[11] Barry,Christopher B.and Stephen J.Brown.Differential information and the small firm effect[J].Journal of Financial Economics,1984,13:283-294.
[12] Brown,Phillip,Allen Kleidon,and Terry Marsh.New evidence on the nature of size-related anomalies in stock prices[J].Journal of Financial Economics,1983,12:33-56.
[13] Schultz,Paul.Transaction costs and the small firm effect:a comment[J].Journal of Financial Economics,1983,12:81-88.
[14] Stoll,Hans R.,and Robert E.Whaley.Transaction costs and the small firm effect[J].Journal of Financial Economics,1983,12:57-79.
[15] Keim,Donald.Trading patterns,bid-ask spreads,and estimated security returns:The case of common stock at calendar turning points[J].Journal of Financial Economics,1989,25:75-97.
[16] DeBondt W.F.M.,Thaler R.H..Further evidence on investor overreaction and stock market seasonality[J].Journal of Finance,1987,42:557-581.
[17] Lakonishok J.,Shleifer,A.,Vishny R.W..Contrarian investment,extrapolation,and risk[J].Journal of Finance,1994,49:1541-1578.
[18] LaPorta R..Expectations and the cross-section of stock returns[J].Journal of Finance,1996,51:1715-1741.
[19] Chan,K.C.and Chen,N..An unconventional asset pricing test and the role of firm size as an instrumental variable for risk[J].Journal of Finance,1988,43:309-325.
[20] Chan,K.C.and Chen,N..Structural and return characteristics of small and large firms[J].Journal of Finance,1991,46:1467-1484.
[21] 宋颂兴,金伟根.上海股票市场有效实证研究[J].经济学家,1995,(4):107-113.
[22] 周文,李友爱.收益率相关性、规模效应与市场有效性-对沪、深股票市场的实证检验[J].当代经济科学,1999,(1):56-62.
[23] 陈小悦,孙爱军.CAPM在中国股市的有效性检验[J].北京大学学报(哲学社会科学系),2000,(4)28-37.
[24] 杨朝军,蔡明超,傅继波.上海股票市场资本资产定价的横截面研究[J].系统工程理论与实践,2001,(10):66-70.

An Empirical Research on the "Size Effect" for the List Companies in China

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 7

Metrics

Comments

Recommended 0

[1]	Zhongqun Wu,Ruijin Zheng. The Generators Bidding Model Introducing Financial Transmission Rights under the USP Electricity Price Mechanism [J]. Chinese Journal of Management Science, 2024, 32(3): 48-59.
[2]	Feng He,Hanyu Du,Jing Hao. Is There an Internet Media Coverage Premium in the Chinese Stock Market? [J]. Chinese Journal of Management Science, 2024, 32(10): 20-29.
[3]	LIU Zhuo-jun, LI Xiao-ming. An Approach for Unusual Transaction Detection Based on Customer Behavior Time Series Analysis [J]. Chinese Journal of Management Science, 2014, 22(12): 102-108.
[4]	YAO Sheng-bao. Multi-unit Multi-attribute Reverse Auctions with Variable Marginal Costs for Suppliers [J]. Chinese Journal of Management Science, 2010, 18(1): 113-119.
[5]	ZHANG Xiao-yan, ZHANG Zong-cheng. Empirical Tests on Efficiency of Commodity Futures Markets in China [J]. Chinese Journal of Management Science, 2005, (6): 1-5.
[6]	CHEN Zhan-hui. Cross-Sectional Variations and Three Factors Asset Pricing Model:Empirical Evidences from China A Share Market [J]. Chinese Journal of Management Science, 2004, (6): 12-17.
[7]	SHAO Xiao-yang, SU Jing-qin, YU Sheng-rui. An Empirical Research on the"Book-to-Market Effect" for Shanghai Stock Market [J]. Chinese Journal of Management Science, 2004, (6): 6-11.