公司规模与回报

Corporate Size and Return

股票市场中普遍存在规模效应现象,即小公司的股票回报率高于大公司。本文基于投资的资产定价理论关于股东的股票回报率应该等于公司本身的杠杆资本回报率的假说,研究不同规模公司的股票回报率和资本投资回报率之间的关系,分析决定不同规模公司资本回报率的内在机理。使用中国上市公司1998-2013年的数据,实证发现中国股票市场存在规模效应,股票回报率与它的预测值之间的平均绝对误差为3.09%,解释了股市中的规模效应。进一步的经验证据表明,资本回报率也存在规模效应,其内在机理是,小公司为降低资本沉淀风险,投资率低,进而其资本边际调整成本低,资本产出高,使得其红利收益率高;小公司的投资率增速高于大公司,其资本增值速度高于大公司。

The phenomenon of size effect usually exists in the stock markets, i.e. the stock returns in the small companies are higher than that in the large ones. Based on the hypothesis that the stock returns are equal to the levered capital returns in companies, which is provided by investment-based asset pricing, this paper analyzes the relationships between stock returns and capital returns in companies with different sizes and studies the internal mechanism of capital returns. Using the listed companies＇ data in China from 1998 to 2013, the empirical evidence suggests that the size effect exists in China＇ s stock market. The absolute value of error between the stock returns and their predicted values is 3.09%, which explains the size effect in the stock markets. What＇ s more, the size effect in the capital returns exists as well as in the stock market. The internal mechanism is that （ 1 ） the investment ratios of the small companies are low for reducing the risks of sunk costs, so the marginal adjustment costs of capital are low, the marginal product of capital is high, and then the dividend yields are high; （2） the growth rates of investment ratios in the small companies exceed the large ones, and then the capital gains in small companies are higher than the large ones.