中国A股市场账面-市价比效应实证研究

Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (6): 6-11.

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An Empirical Research on the"Book-to-Market Effect" for Shanghai Stock Market

SHAO Xiao-yang, SU Jing-qin, YU Sheng-rui

School of Administration, Dalian University of Technology, Dalian 116024, China

Received:2004-04-15 Revised:2004-10-08 Online:2004-12-28 Published:2012-03-07

Abstract

Abstract: This paper adopted the data of A shares from 1994 to 2003 listed on Shanghai Securities Exchange to test and analyze the"book-to-market effect"based on annual yield.In order to eliminate the influence of financial reporting,this paper measured stocks’ annual yields from every June to the next May,and measured book-to-market ratios with the data at the last trading day of every May.The research shows:①The"book-to-market effect"exists on Shanghai Stock Market;②Book-to-market ratios can predict the expected returns on stocks because of the positive correlation between them;③The semistrong form efficiency in Shanghai Stock Market is untenable;④Investing on value stocks in Shanghai Stock Market can get abnormal returns.

Key words: anomaly, book-to-market effect, market efficiency, value investment

CLC Number:

F832

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.

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An Empirical Research on the"Book-to-Market Effect" for Shanghai Stock Market

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