【摘要】 通过横截面回归方法和纵截面时间序列方法,对我国股票市场从1996年6月到2004年6月100家A股股票收益率的研究,验证了股票市场显著的市值效应,帐面市值比效应,以及着重研究的流动性效应。并分析了这些效应之间的关系,各因子之间的联系。从横截面和时间纵截面上综合分析,得出流动性与收益率之间的正作用关系,两种分析结论相同且结果与实际相一致。更多还原

【Abstract】 Using 100 stocks financial data from January 1996 to November 2003 in China stock market, we document the behavior of size effect, book-to-market effect and liquidity effects. The paper focus on the liquidity, which can be measured by turnover ratio,trading value and the turnover-volatility multiple. We also study the relation between these effects and the factors .The results hold in both cross-sectional and time-series analyses. The positive correlation between stock returns and market liquidity in time-series analysis is consistent with the cross-section analysis.更多还原