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以1995年7月—2005年12月我国证券市场深沪两市的上市公司为样本,考察了价值溢价随规模变化的规律,并检验了CAPM能否解释价值溢价以及与权益帐面市值比B/M(或规模)无关的贝塔(β)能否与股票的平均收益相补偿.实证检验发现:1)中国股市存在一定程度的价值溢价,尤其是小规模(S ize)价值股在平均收益上存在着明显的价值溢价,而大规模(S ize)价值股则不存在价值溢价现象.2)CAPM能够解释我国股市从1995年7月至2005年12月期间的价值溢价.
Taking the listed companies in Shenzhen and Shanghai stock markets in China from July 1995 to December 2005 as samples, the paper examines the law of the change of value premium with the scale and examines whether CAPM can explain the value premium and the ratio of the book value to equity B (Or size) irrelevant beta (β) can compensate for the average return of the stock.The empirical results show that: 1) there is a certain level of value premium in the Chinese stock market, especially the value of the small-size value stocks There is a significant premium in value, while there is no value premium in large-scale value shares.2) CAPM can explain the value premium of China’s stock market from July 1995 to December 2005.