中国股市收益的横截面实证研究

An Empirical Study of the Cross Profit of China's Stock Market

除β外,公司规模是影响股票平均收益的一个重要的指标。文章选取了1999年1月至2006年12月所有在市A股股票为样本,分析了股票收益与β和公司规模之间的关系。结果表明,无论β作为单独的解释变量,还是和公司规模一起,它在解释股票收益时,都不具有显著性;相反,公司规模都一直具有很强的解释能力。

Besides β , the size of the company is the biggest index affecting the average benefit of stock shares. This paper, with the samples of A shares from January 1999 to December 2006, analyzes the relations between share benefits and β and the size of the company, finding that β, be it a single variable or a combined variable with the company, is not prominent in interpreting share benefits. On the contrary, the size of the company has been very strong in affecting benefits.