张维^*， 李逍凡

（  天津大学管理与经济学部，天津 300072；  ）

摘要： 作为一种市场异象，"规模效应"的研究在西方股票市场己经处于比较成熟的阶段。随着中国股票市场的发展，股票样本数量的逐渐扩大，"规模效应"研究成果的说服力逐渐增强。本文基于横截面回归分析法和描述统计分析法对中国股市1995年6月至2016年6月所有A 股进行实证分析，将公司按照总市值分为五组，证实了"规模效应"的存在性。本文还发现"规模效应"的存在不是连续的，在近9年表现的更加显著，中国股市存在"2月效应"。针对我国股票市场的特殊背景，本文对我国股票市场"规模效应"的成因进行了探讨，本文认为新经济环境下小规模企业盈利能力的提高，机构投资者对小盘股的操纵，以及面向小企业的公司重组是导致我国股市规模效应的主要原因。
关键词： 规模效应；月效应；平均回报率

ZHANG Wei^1,*， LI Xiaofan^2,

（  1、College of Management and Economics, Tianjin University, Tianjin 300072 ；       2、College of Management and Economics, Tianjin University, Tianjin 300072；  ）

Abstract： As one of the market anomalies, the study of "size effect" in western countries is relatively practiced. As there are more and more stock samples due to the development in China's stock market, the study results about "size effect" has been much more persuasive. This study was based on the data of China's A-stock market from June. 1995 to June. 2016, under the condition of being grouped by total market value, using Fama-Macbeth's cross-sectional analysis and descriptive statistical analysis, finally found the "size effect" in China. Meanwhile, the study also confirmed that "size effect" is discontinuous and went significant during the last 9 years. "February effect" is also found. Also, we discussed the causes of "size effect" under China's unique background. Small sized enterprises' improvement at profitability, institutional investors' control on small-cap stocks and corporate restructuring are three important reasons to the formation of "size effect".
Keywords： size effect; month effect; average return

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