THE RELATIONSHIP BETWEEN SECURITIES YIELDS, FIRM SIZE, EARNINGS/PRICE RATIOS AND TOBIN'Sq
研究股票收益率与公司规模、市盈率及托宾q的关系，发现规模效应比市盈率效应更稳健，且规模效应几乎只出现在一月，而市盈率效应则出现在非一月。
Several studies in financial economics have found a positive relationship between stock returns and firm size. This relationship persists even after controlling for various measures of risk. There is also a well documented inverse relationship between stock returns and the Price/Earnings (P/E) ratio. However, there is still substantial controversy whether the size effect subsumes the P/E effect or vice versa. In this paper, we demonstrate that neither the size nor the P/E effect subsumes the other. We introduce Tobin's q as a variable that is closely related to stock returns as well as to both the size and P/E effects and show that the size effect persists after controlling for both P/E and q , while the P/E effect becomes much smaller after controlling for size and q . This leads us to conclude that the size effect is more robust to additional controls such as Tobin's q than the P/E effect. Finally, the size effect is almost entirely a January phenomenon whereas the P/E effect is a non‐January effect.