【作者】 杨华； 陈迅； 易成栋；

【Author】 YANG hua~(1,2),CHEN Xun~1,YI Cheng-dong~3 (1.School of Business Administration,Chongqing University,Chongqing 400044,China;2.Zhejiang University of Finance and Economics,Hangzhou 310018,China;3.School of Management Engineering,Central University of Finance and Economics,Beijing 100081,China)

【机构】 重庆大学经济与工商管理学院； 浙江财经学院； 中央财经大学管理工程学院；

【摘要】 规模效应是与经典资产定价理论相悖的常见金融异象之一,许多研究者已经对此从不同角度作了大量的研究,但是这些研究结论彼此存在较大差异,特别是,研究大多采用线性分析方法。有鉴于此,本文以我国上海A股市场上市公司2000年1月—2008年12月的面板数据为例,运用Hansen(1999)提出的非线性面板门限模型分析检验规模效应,研究表明发现,公司规模不存在门限效应,但公司规模与股票超额收益显著负相关,即存在明显的规模效应。更多还原

【Abstract】 Size effect is a universal phenomenon of market anomalies which is asset pricing anomalies.Many investigators have verified whether it is present from different angles,but these conclusions exists differences,especially, most studies using linear analysis methods.Thus,we use Hansen(1999)’s Panel Threshold Regression model to verify Shanghai stock market,which has phenomenon of unusual return.Panel data and empirical study are based on the Shanghai stock market from January 2000 to August 2008.We find that there is a reverse direction between the stock return and the firm.The size effect exists in Shanghai stock market,and unusual return has no threshold effect.更多还原