中国A股市场账面-市价比效应实证研究

中国管理科学 ›› 2004, Vol. ›› Issue (6): 6-11.

中国A股市场账面-市价比效应实证研究

邵晓阳, 苏敬勤, 于圣睿

大连理工大学管理学院辽宁大连 116024

收稿日期:2004-04-15 修回日期:2004-10-08 出版日期:2004-12-28 发布日期:2012-03-07

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

摘要/Abstract

摘要： 本文以1994年到2003年期间在上海证券交易所上市的全部A股股票作为研究对象,对账面-市价比效应进行了实证检验和研究,得出以下结论:一、在本文研究的时间阶段,我国证券市场上存在账面市价比效应;二、我国证券市场上市公司的账面-市价比对股票收益有显著的预测作用;三、我国的证券市场未达到半强有效;四、在我国,价值投资也可以获得良好的投资回报。

关键词: 市场异象, 账面-市价比效应, 市场有效性, 价值投资

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

中图分类号:

F832

邵晓阳, 苏敬勤, 于圣睿. 中国A股市场账面-市价比效应实证研究[J]. 中国管理科学, 2004, (6): 6-11.

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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