%0 Journal Article
%T 股票市场异象与A股定价效率<br>Stock Market Anomalies and the Price Efficiency of AShares
%A 徐
%A 步
%J 华中师范大学报（人文社会科学版）
%D 2018
%X 摘要 本文以A股上市公司1997年1月～2015年6月的数据为样本，基于组合构建法和Fama-French五因子模型，综合研究21种异象的实际表现，并探究了市场效率与各类异象表现的关联性。结果表明：(1)6种异象真实溢价显著，其中4种未被五因子吸收；(2)交易数据类异象的溢价在持有期延长后消失，而财务数据类异象的溢价稳健增长；(3)部分不显著的异象随持有期延长取得了有限规模的真实溢价。本文结果为交易数据类异象源自市场无效提供了经验支持，同时表明A股市场在中长期具有一定有效性，但短期价格效率仍待提升。<br>Abstract：Based on the Ashare sample from January 1997 to June 2015， this study employs portfolio sorts and FamaFrench fivefactor model to comprehensively test the performances of 21 common stock market anomalies， and investigates the relation between market efficiency and the performances of various types of anomalies. It finds that： (1) Six anomalies yield significant real spreads and the spreads in four of them cannot be absorbed by five factors； (2) The spreads of anomalies from trading data disappear after longer holding periods， while the spread of a financialdata anomaly increases steady and remains significant as time goes on； (3) Although some anomalies perform poorly in the short term， they yield significant but limited real spreads in the long term. The results provide empirical evidence that tradingdata anomalies appear as results of market inefficiency. It also implies that the Ashare market is efficient to some extent in the long term， but the shortterm price efficiency needs to be improved.
%U http://journal.ccnu.edu.cn/sk/CN/abstract/abstract5629.shtml