中国A股市场账面-市价比效应实证研究被引量：9

An Empirical Research on the"Book-to-Market Effect" for Shanghai Stock Market

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摘要本文以1994年到2003年期间在上海证券交易所上市的全部A股股票作为研究对象,对账面-市价比效应进行了实证检验和研究,得出以下结论:一、在本文研究的时间阶段,我国证券市场上存在账面市价比效应;二、我国证券市场上市公司的账面-市价比对股票收益有显著的预测作用;三、我国的证券市场未达到半强有效;四、在我国,价值投资也可以获得良好的投资回报。 This paper adopted the data of A shares from 1994 to 2003 listed on Shanghai Securities Exchange to test and analyze the'book-to-market effect'based on annual yield.In order to eliminate the influence of financial reporting,this paper measured stocks' annual yields from every June to the next May,and measured book-to-market ratios with the data at the last trading day of every May.The research shows:①The'book-to-market effect'exists on Shanghai Stock Market;②Book-to-market ratios can predict the expected returns on stocks because of the positive correlation between them;③The semistrong form efficiency in Shanghai Stock Market is untenable;④Investing on value stocks in Shanghai Stock Market can get abnormal returns.

作者邵晓阳苏敬勤于圣睿

机构地区大连理工大学管理学院

出处《中国管理科学》 CSSCI 2004年第6期6-11,共6页 Chinese Journal of Management Science

关键词市场异象账面-市价比效应市场有效性价值投资 anomaly book-to-market effect market efficiency value investment

分类号 F832 [经济管理—金融学]

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参考文献14

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