小公司效应

小公司效应&来自沪市的经验证据

The Small-firm Effect & Empirical Evidences from Shanghai Securities Exchange

最小规模公司股票组合获得显著的超额收益，且拥有最高的经风险调整后的收益（Sharpe比率），中国A股市场存在小公司效应。

The stock combinations of the smallest firms gain significant premium return and the highest risk-adjusted return ( Sharpe ratio ) , the small firm effect exist in the Chinese A stock market .

自从Banz（1981）发现美国股市存在小公司效应以来，它就成为金融界颇感兴趣的研究领域。

The research of " small firm effect " has attracted so many scholars in financial circle since Banz ( 1981 ) found the phenomena in American stock market .

中国股市小公司效应研究

The Study on the Small Firm Effect of China Stock Market

我国证券市场小公司效应的实证研究

Positive Study on the Effect of Small-sized Company in Securities Market of China

小公司效应、E/P效应存在于国内证券市场之中。

The small company effect and E / P effect also existed in the domestic security market .

中国股市存在小公司效应。这说明中国股票市场不是半强有效的。

Finally , the existence of small firm effect suggests that the Chinese stock market is the half-efficient one .

小公司效应是研究证券市场有效性的一个重要方面。

The effect of small-sized company is of importance with regard to the research on validity of securities market .

论文研究的结果表明，中国股市存在小公司效应，即使在进行风险调整后，这一现象依然存在。

The result implies that " the small firm effect " exits in China stock market , even if after risk adjustment .

迄今为止，在各国的研究中发现了诸多金融市场异常现象，如过度反应与不足反应、规模效应、季节效应、周内效应、无信息时的价格波动和小公司效应等。

Many financial anomalies like overreaction , underreaction , size effect , seasonal effect , week effect and so on have been found .

当然，形成小公司效应更深层次的原因还是中国A股市场内部结构性和体制性的缺陷。

Of course , the deeper reason of a " The small firm effect " formed is the A share market internal structural and institutional defects .

笔者从中国股票市场的实际情况出发，认为小公司效应的存在是由于超额收益没有考虑到市场操纵而产生的流动性风险。

From the reality of China 's stock , it is believed that the abnormal return can be accounted for by the illiquidity risk caused by manipulation .

在过去的二十几年里，国外对小公司效应的研究渐趋成熟，取得了一系列重要研究成果。在我国，对这一现象的研究相对较少，在这一问题的研究上还有较大空间。

The study on " small firm effect " only started in our country and there is large research space in the field , which has become mature gradually overseas in past 20 years .

第三部分对我国股票市场的小公司效应按照四种不同的规模标准分类，每一种标准均分两种不同的统计周期分段标准进行实证分析；

The third is to verify the size effect in China 's stock market by using correlation test and regression test on the bases of four different criterions , each criterion will be applied with two time-series methods .

总体上中国股市早期存在着小公司规模效应，但从2000年开始逐渐消失；

Since 2000 , small firm effect seems to disappear in Chinese Market .

通过不同月份的检验发现，中国股市不存在小公司一月效应，而是在3月份和8月份这一效应表现比较突出。

" Small firm effect " is more obvious in March and August , but not in January .