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“规模效应”是股票市场上一种重要的异常收益现象,反映了股票收益与公司规模之间的反向关系。选择沪市所有A股为样本,以流通市值来衡量公司的规模,1997年1月至2002年12月间沪市股票(组合)的平均收益与公司规模之间具有明显的负相关关系。通过逐月横截面回归分析进一步检验了公司规模对股票收益的解释能力,证明了沪市“规模效应”的稳健性。上海股票市场“规模效应”产生的原因主要在于市场操纵和公司购并行为。
The “size effect” is an important anomaly in the stock market, reflecting the inverse relationship between stock returns and company size. Select all Shanghai A shares as a sample to measure the size of the company by the circulating market capitalization. Between January 1997 and December 2002, the average return of the stock (combination) in Shanghai stock market has a significant negative correlation with the company size. Through monthly cross-sectional regression analysis to further test the size of the company’s ability to explain the stock returns, to prove the Shanghai market “size effect ” robustness. Shanghai stock market “size effect ” mainly due to market manipulation and corporate mergers and acquisitions.