价值溢价与一月效应——来自上海A股市场的经验证据

Value Premium and January Effect——Experience and Evidence from Shanghai A-share Market

以2000年1月至2011年12月沪市A股上市公司为样本,按Size-B/M方法构建6投资组合,考察我国股市的价值溢价是否存在一月效应现象,检验大盘股、小盘股价值溢价在1月和非1月是否不同,并采用CAPM模型检验价值溢价的一月效应。实证结果发现:1)采用账面市值比B/M划分成长-价值型股票组合,大盘股和小盘股股票都存在价值溢价;2)大盘股和小盘股的价值溢价在1月与非1月存在不同的模式——大盘股在1月存在显著的价值溢价,而小盘股的价值溢价主要在非1月的月份出现;3)CAPM模型能够解释我国股市从2007年1月至2011年12月期间的价值溢价。相对小盘股,大盘股的价值溢价的一月效应更为显著。

Using the listing corporations from the Shanghai Stock Market A--shares during the period of January 2000 to December 2011 as sample to build investment portfolios based on the Size--B/M method, we investigate the existence of January effect in the value premium in Chinese stock market, and examines the difference between January and non--January value premiums both in large--cap stocks and small--cap stocks. Moreover, we use CAPM model to test the January effect of value premium. The empirical result shows that： 1. Using book--to--market to divide growth--value stock portfolios, value premium exists both in large--cap stocks and small--cap stocks; 2. Value premiums of large--cap stocks and small--cap stocks have different pat- terns between January and non-January, i.e. value premium of large-cap stocks is significant in January while value premium of small-- cap stocks mainly exists in months that are non-- January; 3. CAPM model can explain the value premium in Chinese stock market during the period of January 2007 to December 2011. In com- parison with small--cap stocks, January effect is more significant in value premium of large--cap stocks.