摘要
本文以1995～2005年沪市和深市全部A股股票作为研究对象,对中国股市账面-市值比效应进行了实证检验,并从有限套利的角度对账面-市值比效应进行了解释。本文认为,我国证券市场存在着账面-市值比效应;账面-市值比效应对股票收益有着显著的预测作用;从有限套利角度考虑的套利风险因素、套利成本因素对账面市值比效应有着较强的解释能力,从而支持账面-市值比效应是因为偏误定价所造成的观点。
This paper collected the data of A shares from 1995 to 2005 listed on Shanghai and Shenzhen Stock Exchange to test the book-to-market effect, and provided explanation of its effect based on limited arbitrage. The research shows that the book-to-market effect exists at China stock market, and book-to-market ratio can predict the expected returns. This paper also finds that based on limited arbitrage, the book-to-market effect is correlated with factors like arbitrage risk and arbitrage cost. And the paper concludes that the book-to-market effect is due to market mispricing.
出处
《证券市场导报》
CSSCI
北大核心
2008年第2期35-41,共7页
Securities Market Herald
基金
国家社会科学基金重点项目(编号:07AJL003)
