| 股票市场规模效应的实证研究 |
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| 引用本文： | 陈君宁,马治天.股票市场规模效应的实证研究[J].华中科技大学学报(社会科学版),2000(4). |
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| 作者姓名： | 陈君宁 马治天 |
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| 作者单位： | 华中科技大学管理学院!湖北武汉430074 |
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| 摘 要： | 股票市场规模效应是指以股票市值为衡量标准的公司规模的大小和该股票的市场收益率之间呈相反的关系。文章研究的目的就是验证我国股票市场是否也和欧美股票市场一样存在规模效应。从上海股票市场随机抽取 60家规模各异的上市公司 ,对其 1 997— 1 999年三年来的实际收益率、正常收益率、异常收益率进行实证研究 ,得出上海股票市场存在规模效应的结论
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| 关 键 词： | 规模效应 CAPM 收益率 股票市场 |
A Demonstration Study on Size Effect in Stock Market |
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| CHEN Jun ning,MA Zhi tian.A Demonstration Study on Size Effect in Stock Market[J].Journal of Huazhong University of Science and Technology(Social Science Edition),2000(4). |
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| Authors: | CHEN Jun ning MA Zhi tian |
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| Abstract: | Size effect in stock market means that small firms have higher rate of market return than large firms. The purpose of study is to test whether there is size effect in China as the mature stock market in Europe and America. We selected sixty firms from Shanghai stock market which had different scales. Through studying and calculating their normal rate of return, real rate of return and abnormal rate of return in three years, we can find that there was size effect in Shanghai stock market. |
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| Keywords: | size effect CAPM rate of return stock market |
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