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.

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

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