CAJ | 학술논문

股票市场中普遍存在规模效应现象，即小公司的股票回报率高于大公司。本文基于投资的资产定价理论关于股东的股票回报率应该等于公司本身的杠杆资本回报率的假说．研究不同规模公司的股票回报率和资本投资回报率之间的关系，分析决定不同规模公司资本回报率的内在机理。使用中国上市公司1998-2013年的数据，实证发现中国股票市场存在规模效应，股票回报率与它的预测值之间的平均绝对误差为3．09％，解释了股市中的规模效应。进一步的经验证据表明，资本回报率也存在规模效应，其内在机理是，小公司为降低资本沉淀风险，投资率低，进而其资本边际调整成本低，资本产出高，使得其红利收益率高；小公司的投资率增速高于大公司。其资本增值速度高于大公司。
고표시장중보편존재규모효응현상，즉소공사적고표회보솔고우대공사。본문기우투자적자산정개이론관우고동적고표회보솔응해등우공사본신적강간자본회보솔적가설．연구불동규모공사적고표회보솔화자본투자회보솔지간적관계，분석결정불동규모공사자본회보솔적내재궤리。사용중국상시공사1998-2013년적수거，실증발현중국고표시장존재규모효응，고표회보솔여타적예측치지간적평균절대오차위3．09％，해석료고시중적규모효응。진일보적경험증거표명，자본회보솔야존재규모효응，기내재궤리시，소공사위강저자본침정풍험，투자솔저，진이기자본변제조정성본저，자본산출고，사득기홍리수익솔고；소공사적투자솔증속고우대공사。기자본증치속도고우대공사。
The phenomenon of size effect usually exists in the stock markets, i.e. the stock returns in the small companies are higher than that in the large ones. Based on the hypothesis that the stock returns are equal to the levered capital returns in companies, which is provided by investment-based asset pricing, this paper analyzes the relationships between stock returns and capital returns in companies with different sizes and studies the internal mechanism of capital returns. Using the listed companies＇ data in China from 1998 to 2013, the empirical evidence suggests that the size effect exists in China＇ s stock market. The absolute value of error between the stock returns and their predicted values is 3.09%, which explains the size effect in the stock markets. What＇ s more, the size effect in the capital returns exists as well as in the stock market. The internal mechanism is that （ 1 ） the investment ratios of the small companies are low for reducing the risks of sunk costs, so the marginal adjustment costs of capital are low, the marginal product of capital is high, and then the dividend yields are high; （2） the growth rates of investment ratios in the small companies exceed the large ones, and then the capital gains in small companies are higher than the large ones.