摘要
本文探讨1981—1993年香港股市中的小盘股效应反季节效应，得到了一些有益的结果。
The objective of the paper is to examine the small firm effects and monthly effects on the Hong Kong stock returns during 1981 -- 1993. We find that smaller firms obtain higher risk--adjusted returns,on average,than larger firms. We also document that the existence of January effect in Hong Kong stock returns. Stock return of small and as well as large Hong Kong firms are found to be higher in January than the other months. However,the well known tax-loss-selling hypothesis can not be used to explained these anomalies because there are no capital tax or loss offsets in Hong Kong.
出处
《系统工程理论方法应用》
1997年第3期44-49,共6页
Systems Engineering Theory·Methodology·Applications
