后危机时代我国股票收益率影响因素的实证研究

Empirical Investigation on the Factors Affecting the Stock Yields of the Post-Crisis-Era

文章引入次贷危机的虚拟变量,基于宏观经济、市场流动性和公司基本面等三个层面,选择GDP、市场流动性、公司规模、贝塔值4项指标,建立Panel Data模型对影响股票收益率的因素进行实证分析。通过分析得到的部分结论与以往研究略有不同:"小公司效应"理论在我国股票市场上并未得到理论证实;次贷危机的发生对股票收益率有显著影响。

In this paper, we introduce the subprime mortgage crisis theoretical variable based on three aspects concerning macroeconomic, market liquidity and the company＇s essentials. Furthermore, the following four indicators including GDP, market liquidity, company size and beta value can be selected to build the Panel Data Model in order to analyze the factors which influence the stock yields empirically. Parts of the conclusions derived from the empirical analysis are different from those of the previous studies. ＂Small Company Effect＂ of theory in our stock market has not been theoretically confirmed and subprime mortgage crisis have a significant effect on the stock yields.