中国上市公司“规模效应”的实证研究

中国管理科学 ›› 2002, Vol. ›› Issue (6): 8-12.

中国上市公司“规模效应”的实证研究

陈收, 陈立波

湖南大学工商管理学院, 湖南, 长沙, 410082

收稿日期:2002-05-08 出版日期:2002-12-28 发布日期:2012-03-06
基金资助:
国家自然科学基金资助项目(70142008);加拿大国际开发署(CIDA)中-加大学与产业合作项目(CCUIPP)

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

CHEN Shou, CHEN Li-bo

College of Business Administration, Hunan University, Changsha 410082, China

Received:2002-05-08 Online:2002-12-28 Published:2012-03-06

摘要/Abstract

摘要： 本文回顾了异象中公司规模效应的研究历程,分别基于流通值和总市值对深市和沪市的规模效应进行实证分析,研究表明:①作为市值度量的流通值和总市值的选择对不同规模组合收益率的排序没有本质的影响。②深市无论是从总市值还是流通市值的规模排序,其组合呈现出“规模效应”即收益率与规模成反比;而沪市的中盘股投资组合收益率明显好于其它两个组合。③深、沪两市收益率均不存在“季节效应”。

关键词: 异象, 公司规模效应, 季节效应, 市场有效性

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

中图分类号:

F832

陈收, 陈立波. 中国上市公司“规模效应”的实证研究[J]. 中国管理科学, 2002, (6): 8-12.

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.

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