中国A股市场存在小盘股效应吗?  

Is There a Small-Cap Effect in China's A-share Market?

作　　者：陈慰 张兵[1] CHEN Wei,ZHANG Bing(School of Business,Nanjing University, Nanjing 210093, China)

机构地区：[1]南京大学商学院,江苏南京210093

出　　处：《华东经济管理》2018年第8期105-112,共8页East China Economic Management

基　　金：国家自然科学基金项目(71371096)

摘　　要：文章利用1996-2016年2 698家上市公司数据对中国股票市场的小盘股效应进行探讨。研究表明,中国A股市场存在明显的小盘股效应,并且在控制了流动性、特质波动率、博彩型偏好等8种定价因素之后仍然显著。买入小盘股、卖出大盘股的投资策略可以带来每月2.32%的收益。进一步借助隐含资本成本法,用现金流风险度量宏观经济风险,并从这一角度对小盘股效应进行了解释。分析发现,小公司受宏观经济环境的影响更大,因此面临较高的现金流风险,并且现金流风险拥有更高的风险价格,这造成了小规模高收益这一现象。随后的稳健性检验也支持研究的结论。This paper,using the data of 2698 listed companies from 1996 to 2016,discusses the small-cap effect in China＇s Ashare market. The results show that small-cap stocks do achieve higher returns even after controlling for liquidity,idiosyncratic volatility,lottery demand and other 8 pricing factors. Long-short strategy that takes a long position of small-cap stocks and a short position of big-cap stocks can gain 2. 32% per month. Furthermore,the paper employs ICC method to explain this phenomenon. We apply cash flow beta to measure macroeconomic risk and find that small-cap firms always have higher cash flow risk and the cash flow risk has a higher risk price,which can explain the small-cap effect. The subsequent robustness tests also prove our conclusions.

关 键 词：小盘股效应 隐含资本成本法 现金流风险 

分 类 号：F281[经济管理—国民经济] F830.9