中国股市规模效应和账面市值比效应的实证分析

摘要

本文以2002—2010年中国A股股票作为研究对象,对中国股市的规模效应和账面市值比效应进行了实证分析。结果表明,在样本期间内中国股市存在规模效应和账面市值比效应,而且规模效应不具有显著性、账面市值比效应具有显著性。本文认为风险溢价和投资者非理性行为的综合作用是规模效应和账面市值比效应产生的主要原因。%This paper analyzes the scale effect and book-to-market effect of the stock market in China based on the data of A shares from 2002 to 2010.The results show that the scale effect and book-to-market effect exist in China stock market, and the scale effect is not significant, the book-to-market effect is significant. This paper finds that the combined effects of risk premium and irrational behavior of investors is the main causes of the scale effect and book-to-market effect.