The Small Firm Effect

The Study on the Small Firm Effect of China Stock Market

中国股市小公司效应研究

The result implies that " the small firm effect " exits in China stock market , even if after risk adjustment .

论文研究的结果表明，中国股市存在小公司效应，即使在进行风险调整后，这一现象依然存在。

Finally , the existence of small firm effect suggests that the Chinese stock market is the half-efficient one .

中国股市存在小公司效应。这说明中国股票市场不是半强有效的。

The research of " small firm effect " has attracted so many scholars in financial circle since Banz ( 1981 ) found the phenomena in American stock market .

自从Banz（1981）发现美国股市存在小公司效应以来，它就成为金融界颇感兴趣的研究领域。

The study on " small firm effect " only started in our country and there is large research space in the field , which has become mature gradually overseas in past 20 years .

在过去的二十几年里，国外对小公司效应的研究渐趋成熟，取得了一系列重要研究成果。在我国，对这一现象的研究相对较少，在这一问题的研究上还有较大空间。

Of course , the deeper reason of a " The small firm effect " formed is the A share market internal structural and institutional defects .

当然，形成小公司效应更深层次的原因还是中国A股市场内部结构性和体制性的缺陷。

The stock combinations of the smallest firms gain significant premium return and the highest risk-adjusted return ( Sharpe ratio ) , the small firm effect exist in the Chinese A stock market .

最小规模公司股票组合获得显著的超额收益，且拥有最高的经风险调整后的收益（Sharpe比率），中国A股市场存在小公司效应。