Chinese Listed Companies Of Scale Empirical Study

"Size effect" in stock market means that small cap firms have higher income-rate than large cap firms. The purpose of study is to test whether there is "size effect" in China stock market as the mature stock market in West Country. As a relative study of EMH "size effect" has been controversial in academe and business environment. Western study comes to mature gradually but it just begins in china. Especially it is a blank domain to practical application by the institutional investment. In spite of short sampling areas, small sizes and lack of datas owe to the only ten-year constitution of china stock market, it is indispensable to do some empirical researches on "size effect".This paper reviews the development of "size effecf'research, and analyzes this anomaly based on both of the outstanding capitalization and the total market capitalization on the different stock markets in China with empirical analysis, the research shows: Firstly, the choice of whether considering the dividends into the following investment has no essential influence on the sequence of different cap's income-rate. Secondly, the choice of the different measuring standards of market capitalization plays an important role in the sequence of different cap's income-rate: the empirical result based on the total market capitalization seems to be more obvious than which based on the outstanding capitalization. At the same time, the"size effecf'taken on in Shanghai stock market is more obvious than that in Shenzhen. Thirdly, compared with 3-portfolio pattern and 5-portfolio pattern, the 10-portfolio pattern's empirical result is more prominent; but the middle-cap stocks on average outperform the other portfolios on Shanghai stock market. Finally, there is no certain special timing policy based on firm size in the course of investment according to the 10-portfolio pattern's empirical result.