中国股市收益与股本关系的实证研究

A03AJY0081-U-U1---U-2-U3-U2123-U31323334354-U56131“”(small-firmeffect)Banz(1981)“”Keim(1983)Reinganum(1981,1983)BlumeStambaugh(1983)“1”ArbelStrebel(19821983)ChanChenHsieh1985AmihudMendelson(1986)Amihud(2002)“”DavisDesai(1998)“”199519992002“”42002-“”“”20002003-2“”CAPManomaliesBanz(1981)19.8%BanzKeim(1983)Reinganum(1981,1983)BlumeStambaugh(1983)“1”15DavisDesai(1998)19661199612NASDAQ-Beta-Beta-Beta-“”“”901995199311296“”1996“”“”199919961550199619971998“”“”20021997-2001“”“”“6”38“”ArbelStrebel(19821983)“”AmihudMendelson(1986)Amihud(2002)Chan,ChenHsieh1985CAPMAPT“”20023-U312000144671101046ST6008182002427627745120001420031017Wind.NET3245200014595000001.SH15120002003%2000.01.04-2000.08.2552.6952000.08.26-2001.06.246.8772001.06.25-2002.01.28-36.8662002.01.29-2002.03.2223.9392002.06.21-2002.07.0714.2982002.07.08-2003.01.06-22.5012003.01.07-2003.04.1522.2372003.04.16-2003.10.17-15.9913311,1,−−−=titiitiPPPR(1)iiR1,−tiPitP8t-1t122∑∑=iiipwRwR(2)ipRiwTRRpp∑=(3)T34DavisDesai(1998)BetaBetaBetaBeta200119972000β200319936200112ββ1Wind.NET29-β3351522123452000.01.04-2000.08.250.0139180.0206740.0120070.0103840.0130362000.08.26-2001.06.240.0054410.0002860.000804-0.00100-0.0001102001.06.25-2002.01.28-0.015210-0.013540-0.013850-0.013660-0.0134102002.01.29-2002.03.220.0371860.0333830.0377160.0308870.0295782002.06.21-2002.07.070.0402060.0507040.0399770.0477180.0605042002.07.08-2003.01.06-0.006810-0.012440-0.007280-0.011530-0.0100202003.01.07-2003.04.150.0049100.0091370.0078870.0130390.0145632003.04.16-2003.10.17-0.011210-0.011310-0.009000-0.004780-0.0038802000.01.04-2003.10.170.000161-0.000400-0.000530-0.0007800.00014422001.06.25-2002.01.282003.04.16-2003.10.172002.06.21-2002.07.073Beta102003.01.07-2003.04.152000.01.04-2000.08.252002.01.29-2002.03.222002.07.08-2003.01.06“”U20026212003172000.01.04-2003.01.062003.01.07-2003.10.17533200014200316“”2003172003101711“”U43123452000.01.04-2003.01.060.0017410.0006810.000215-0.001290-0.0004202003.01.07-2003.10.17-0.005830-0.004490-0.0033700.0011570.0022712000.01.04-2003.10.170.000161-0.000400-0.000530-0.0007800.0001444-U-U“”“”“”“”“”“”4122003“”200213-U54520001446720031075045A141044Const.2RF000104-00082537.67-7.80***(-3.38)10.05***(2.22)-2.52***(-6.17)0.071(1.16)12.15***(3.26)0.0829.36000826-01062432.00-9.40***(-6.79)3.01(1.06)-1.00***(-5.17)---4.74*(-1.88)0.11116.9010625-020129-1.541.06**(1.99)-5.51*(-1.73)---0.056**(-2.23)2.92*(1.69)0.0305.67020129-02032222.24-2.00***(-7.20)-4.12***(-2.91)-1.39***(-13.74)--4.20**(2.01)0.31172.8020621-0207074.340.36**(2.26)4.27***(5.03)-0.62**(-10.0)----0.17948.9020708-030106-7.700.63**(2.37)-1.93(-1.29)0.44***(4.16)----0.0226.07030107-030415-5.971.12***(4.78)4.73***(5.72)-0.61***(-4.97)--6.27***(6.52)0.18641.3030416-031017-6.980.88***(4.23)----0.015***(2.59)2.04**(2.01)0.03910.6***1%**5%*10%41%152002129322A20026217720031741520027820031620034161017162RF-U1/54/51761“-U”“”“”220026213181.Amihud,YakovandHaimMendelson,1986,LiquidityandStockReturns,FinancialAnalystsJournal,42.2.Amihud,Yakov,2002,IlliquidityandStockReturns:Cross-SectionandTime-SeriesEffects,JournalofFinancialMarkets,5.3.Arbel,A.andP.J.Strebel,1982,TheNeglectedandSmallFirmEffects,FinancialReview,17.4.Arbel,A.andP.J.Strebel,1983,PayAttentiontoNeglectedFirms,JournalofPortfolioManagement,Winter.5.Banz,R.W.,1981,TheRelationshipBetweenReturnandMarketValueofCommonStocks,JournalofFinancialEconomics,9.6.Barry,C.B.andStephenJ.Brown,1984,DifferentialInformationandtheSmallFirmEffect,JournalofFinancialEconomics,13.7.Blume,M.E.andR.F.Stambaugh,1983,Biasesincomputedreturns:Anapplicationtothesizeeffect,JournalofFinancialEconomics12,Oct.8.Chan,K.C.,Nai-fuChen,andDavidA.Hsieh,1985,AnExploratoryInvestigationoftheFirmSizeEffect,JournalofPortfolioManagement,12.9.Davis,JamesL.andAnandS.Desai,1998,StockReturns,BetaandFirmSize:TheCaseofBull,Bear,andFlatMarkets,WorkingPaper,DepartmentofFinace,KansasStateUniversity.10.Elfakhani,SaidandTarekZaher,1998,DifferentialInformationHypothesis,FirmNeglectandtheSmallFirmSizeEffect,JournalofFinancialandStrategicDecisions,11.11.Jegadeesh,Narasimhan,1992,DoesMarketRiskReallyExplaintheSizeEffect?,JournalofFinancialandQuantitativeAnalysis,27.12.Keim,DonaldB.,1983,Size-RelatedAnomaliesandStockReturnSeasonality:FurtherEmpiricalEvidence,JournalofFinancialEconomics12.13.Reinganum,MarcR.,1981,AbnormalReturnsinSmallFirmPortfolios,FinancialAnalystsJournal,37.14.Reinganum,MarcR.,1983,TheAnomalousStockMarketBehaviorofSmallFirmsinJanuary:EmpiricalTestsforTax-LossEffects,JournalofFinancialEconomics,12.15.Roll,R.,1981,APossibleExplanationoftheSmallFirmEffect,JournalofFinance,36.16.Stoll,HansR.andRobertE.Whaley,1983,TransactionsCostsandtheSmallFirmEffect,JournalofFinancialEconomics,12.17.2001218.2003121619.,1995,,41920.2002“”“”1021.2003722.1999112000-1-42000-8-262001-6-252002-1-292002-6-212002-7-82003-1-72003-4-166001482,000.003,600.004,200.004,200.004,200.004,200.004,200.004,200.006001932,300.002,300.004,600.004,600.004,600.004,600.004,600.004,600.006006922,520.002,520.005,292.005,292.005,292.005,292.005,82