春节文化下的一月价值溢价与小公司效应——基于中国内地、香港和台湾的比较分析

Value Premium and Little Firm Effect in January under Spring Festival Culture:——Based on the Chinese Mainland,Hong Kong and Taiwan Compared

以2003年1月至2011年12月沪深两市所有A股、香港和台湾股票市场所有股票为研究样本,利用Fama-MacBeth时间序列横截面回归法发现,中国内地存在"一月价值溢价效应",而香港和台湾市场存在"一月小公司效应";根据股票收益率的标准差将三大新兴市场的股票分别分成5个组合发现,中国内地投资者偏好高BM的股票,而香港和台湾的投资者更加偏好小公司中的高风险股票;如通过选择息税前利润和GDP增长率作为年终奖金的代理变量发现春节文化背景下的年终奖金可以作为解释"一月价值溢价效应"和"一月小公司效应"的依据。

Using the data from 2003 to 2011, this paper investigates the culture influence in China Mainland, Hong Kong and Taiwan stock markets. Firstly, we find that the value premium effect in January is apparent in China Mainland market, and the little firm effect in January is apparent in Hongkong and Taiwan market using Fama-MacBeth method. And we dividend the stocks of the three emerging markets into five combinations basing on the standard deviation of stock returns, and find that the investors in China Mainland prefer the stocks with higher BM, but the investors in Hongkong and Taiwan prefer the little size stocks with the highest standard deviation. Finally, this study finds that year-end bonuses under Spring Festival create the value premium and little firm effect in January.