上市公司规模效应、节日效应与投资者交易时机  

The Scale Effect of Listed Company、 Festival Effect and Investors' Trading Opportunity

作　　者：周战强[1] 

机构地区：[1]中央财经大学经济学院,北京100081

出　　处：《改革》2011年第7期130-137,共8页Reform

基　　金：教育部人文社会科学研究项目"基于行为金融的中国股市传闻研究"(批准号:08JC790110)

摘　　要：利用1996-2010年沪深A股按流通市值分组数据，实证研究了公司规模与节日效应的关系。结果表明：仅大规模组存在节前效应。任何一个规模组都存在节后效应；所有规模组的节前或节后收益率不存在显著差异，但最大和最小规模组的收益率差异存在节前效应，而非节后效应；星期效应、月度更替效应和风险不能完全解释节日效应。这说明规模因素仅能为节前效应提供一定的解释。This paper investigates the relation between firm sizes and holiday effects using the grouped data by tradable market values of listed companies in Shanghai and Shenzhen A-share markets from 1996 to 2010. It turned out that the pre-holiday effect is only pronounced for the large size portfolios, and the post-holiday effect is pronounced for any one of the portfolios. The difference in pre- or post-holiday returns is not present. The difference in returns between the largest and smallest exhibits the pre-holiday effect, and no post-holiday effect. The holiday effect is not explained by the-day-of-the week effect, the-turn-of-the-month effect and the risk factor. The results reveal that the firm size is able to explain the pre-holiday effect to a certain extent.

关 键 词：股票市场 上市公司规模 上市公司节日效应 

分 类 号：F715[经济管理—产业经济]