我国股票市场期望收益的横向关系

On the Cross Section of Expected Returns in Chinese Stock Market

本文研究了在上海和深圳股票交易市场中 ,β值、公司规模和股票的账面—市场价值比对月度和季度横截面普通股预期收益的解释作用。经验结果表明 ,无论是在上海股票交易市场还是在深圳股票交易市场 ,股票的 β值以及其账面—市场价值比对月度和季度的横截面股票预期收益都完全没有解释能力 。

This paper illustrates how beta, size, and ratio of book\|to\|market equity account for the cross\|section of expected stock returns in Shanghai and Shenzhen stock markets respectively on the base of one\|month and three\|month investment horizons. The empirical results show that beta and the ratio of book\|to\|market equity fail to explain the cross\|section of expected returns over both monthly and quarterly intervals in Chinese stock market. There is a slightly negative relation between the size of firm and the expected return.