Empirical Analysis Of Small-firm Effect, Time Effect And Book-to-market Effect In Chinese Security Market

Empirical Analysis of Small-firm Effect, Time Effect and Book-to-market Effect in Chinese Security MarketAbstractChinese security market has developed from naught to existence, from small to big and gradually become grandness. But we should realize that there are still many dissatisfying aspects in this booming security market. It is still developing market that required consummating and standardizing. There are still some anomalies such as small-firm effect, time effect, Book-to-market effect, momentum trading strategy and contrary investment strategy. The existence of these instances becomes an obstacle to the healthy development of Chinese security market. Therefore, it is imperious and essential to analyze these irrational and inefficient phenomena and disclose the causes behind them for the further development and perfect of Chinese security market.From this point of view, I choose the anomalies in Chinese security market to focus on in this dissertation. Moreover, I proved the existence of market anomalies in Chinese security market, and disclosed the reasons and mechanism with the theory of behavioral finance. Relevant policy implications are presented to security market regulation agency. The conclusion is helpful for building up correct investing idea and standardizing investing behavior. The dissertation consists of six parts as followed:First of all, summarizing the theory of behavioral finance and analyzing the criticism and refutation from behavioral finance to EMH. This is also the research method and theory foundation of the market anomalies.Second, proving the existence of small-firm effect. At the beginning .reviewing the research of small-firm effect in China and overseas, then proving that small-firm effect is existed in Chinese security market, at last explaining this anomaly in the view of behavioral finance.Third, proving the existence of time effect. At the beginning .reviewing the research of time effect in China and overseas, then proving that time effect is existed in Chinese security market, at last explaining this anomaly in the view of behavioral finance.Fourth, proving the existence of Book-to-market effect. At the beginning, reviewing the research of Book-to-market effect in China and overseas, then proving that Book-to-market effect is existed in Chinese security market, at last giving the investment strategies to investors.Fifth, proving the existence of momentum trading strategy and contrary investment strategy. At the beginning , reviewing the research and the reason of momentum trading strategy and contrary investment strategy in China and overseas, then proving that momentum trading strategy and contrary investment strategy is existed at different period in Chinese security market, at last pointing out the appropriate investment strategy.Sixth, discussing the study conclusion and police implication of the dissertation.Wei Hua (finance) Directed by Yang Chun-Peng...