系统风险、规模与股票收益

An Empirical Research on the Relationship Between the Systematic Risk,Size and Stock Return

该文运用经验研究方法探讨系统风险系数(Beta)、规模与未来股票收益之间的关系。研究发现:无论是否考虑市场风险溢价符号,Beta始终没有对未来股票收益表现出显著的解释能力。在不考虑市场风险溢价符号时,规模对股票收益具有显著的解释能力,规模效应存在。当市场风险溢价符号为正时,规模效应依然存在;当市场风险溢价符号为负时,规模效应消失。本文还发现,Beta系数与公司规模没有明显的关系。

This paper analyzes the relationships between the Beta, size and future stock returns in different portfolios by empirical approach. Compared with the existing domestic researches, this approach is extended in this paper by combination of both the methodological advances separately proposed by Fama and French (1992) and Pettengill et al. (1995). It is found that Beta does not have explanatory power to future stock return over the two different portfolios whether the sign of the risk premium is taken into consideration or not. A strong size effect is observed over the portfolios, if the sign of risk premium is not to be considered. If the sign of risk premium is considered, however, conditional relation exists between the size and average return when the risk premium is positive, and flat relation exists when risk premium is negative over the beta portfolios. In addition, no obvious relation between beta and size has been found.