中国股票市场资产增长效应存在性的实证分析

发布时间：2018-01-15 18:40

本文关键词：中国股票市场资产增长效应存在性的实证分析　出处：《河北大学学报(哲学社会科学版)》2014年04期 　论文类型：期刊论文

【摘要】：资产增长效应的存在对市场有效性理论提出了挑战,近年来该异象受到金融学界的关注。然而截至目前,关于我国股票市场资产增长效应的研究却很少,而且得出的结论也存在很大差异,鉴于此,选取总资产增长率等5个具有代表性的资产增长度量指标,以1994-2012年沪、深交易所非金融类上市公司为样本,使用分组方法、时间序列回归方法以及法马-麦克白斯(Fama-MacBeth)横截面回归的方法,分析了我国股票市场中资产增长和未来股票收益之间的关系。研究结果表明,资产增长与股票收益之间存在负相关关系,而且在控制了规模、账市比效应后,资产增长与股票收益之间负相关关系仍然显著存在,这表明我国股票市场存在显著的资产增长效应。
[Abstract]:The existence of asset growth effect has challenged the theory of market efficiency. In recent years, this phenomenon has attracted the attention of the financial circles. However, up to now, there is little research on the effect of asset growth in China's stock market. And the conclusion is also very different, in view of this, select the total asset growth rate and other five representative indicators of asset growth, with 1994-2012 Shanghai. Shenzhen Stock Exchange non-financial listed companies as a sample, using grouping method, time series regression method and Fama-MacBeth cross-section regression method. This paper analyzes the relationship between asset growth and future stock returns in China's stock market. The results show that there is a negative correlation between asset growth and stock returns. The negative correlation between asset growth and stock returns is still significant, which indicates that there is a significant asset growth effect in China's stock market.
【作者单位】：山西大学经济与管理学院;
【分类号】：F224;F832.51
【正文快照】： 20世纪70年代法马(Fama)提出了有效市场假说,该理论认为如果市场中股票的价格能充分反映所获得的全部信息,股价能够根据得到的信息完全、迅速地调整到位,那么市场就是有效的。在有效的市场中,股票不存在错误定价,投资者不可能找到任何一种好的方法来获取超额收益。依据这一理

【相似文献】