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考察我国股市2005-2008年规模异常和市净率异常现象发现:期间我国股市规模异常仅在一定程度上存在且不稳定,但投资中小流通市值的股票组合对于获得较高的投资收益有很大帮助;而市净率异常显著存在,并具有较好的稳定性,从而投资市净率较小的股票组合往往能够获得较高收益。
Examine the anomaly of scale and P / B of China’s stock market in 2005-2008. During the period, the anomaly of China’s stock market only exists to a certain degree and is not stable. However, the portfolio of small and medium liquidity market capitalization has a very big investment return Help; However, the exception of the market-rate anomaly significant existence, and has good stability, so the investment portfolio with a smaller market-cap ratio tends to be able to obtain higher returns.