CAJ | 학술논문

以上海股票市场为例，先通过分析β，规模，账面市值比，盈利水平以及投资支出这五个变量对平均收益的单因素影响，进而构造股票收益的面板数据模型进行回归分析，得出结论：1）β与平均收益并不存在稳定的正向关系；2）上海股市中的小公司与中、大公司存在方向不同的“规模效应”，且小公司的“规模效应”弱于中、大公司的“规模效应”；3）盈利水平与平均收益正相关；4）中、大公司相对于小公司有更高投资支出，其平均收益也更高。
이상해고표시장위례，선통과분석β，규모，장면시치비，영이수평이급투자지출저오개변량대평균수익적단인소영향，진이구조고표수익적면판수거모형진행회귀분석，득출결론：1）β여평균수익병불존재은정적정향관계；2）상해고시중적소공사여중、대공사존재방향불동적“규모효응”，차소공사적“규모효응”약우중、대공사적“규모효응”；3）영이수평여평균수익정상관；4）중、대공사상대우소공사유경고투자지출，기평균수익야경고。
The data we use in this research were collected from Shanghai stock market. We analyze the influence of the five variables-beta, size, book-to-market ratio, profitability and investment outlay on the average return,and then make a panel data model regression on stock returns. It is concluded that there is a positive relationship between the beta and average return is not stable; Secondly, in Shanghai stock market, small companies have a different "size ef-fect" than medium and big companies, and "size effect" is weaker in small firms; Thirdly, profitability is positively re-lated to average return; Fourthly, medium and big companies have higher investment outlay than small firms, and their average return is also higher.