中国股市为研究历史股价对未来(中期)横截面股票收益的影响提供了一个深入考察的环境。
Chinese stock market provides an environment for deeply understanding of influence of historical stock prices on future (intermediate horizon) cross-sectional stock return.
采用深圳证券市场交易数据对资本资产定价模型进行了横截面检验，研究了股票组合和单支股票收益率与系统风险的关系，并分析了个股风险构成。
The paper has transverse check to CAPM by using data from Shenzhen's securities, studies relations between stock group and single stock and system risk, and analyzes single stock risk construction.
进一步，进行横截面分析，分别按照规模、换手率、股票价格、市净率进行分析，发现大盘股、低换手率股票和高价格股票具有较大的动量净利润。
Further more, in the cross-section; I get the conclusion that the stocks with big size, stocks with low turnover and stocks with high price can earn large abnormal momentum profit.
本篇文章研究1963年到2006年，特质风险对于股票周收益率横截面数据的影响。
This paper examines the impact of idiosyncratic risk on the cross-section of weekly stock returns from 1963 to 2006.
本篇文章研究1963年到2006年，特质风险对于股票周收益率横截面数据的影响。
This paper examines the impact of idiosyncratic risk on the cross-section of weekly stock returns from 1963 to 2006.
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