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中文摘要：
边际条件随机占优（MCSD）规则基于二阶随机占优,以资产的整体收益分布进行排序,弥补了传统的基于CAPM和因素模型的分析方法中收益与风险分离、决策过程与效用最大化分离的缺陷,其方法与结果均具有更强的有效性。以2000-2007年的申银万国全市场A股股价指数日收益率作为市场核心组合的基准,选取规模指数将核心组合划分成互斥的大、中、小盘股组合,并通过MCSD方法两两比较子组合,发现基于规模的投资方式具有MCSD有效性,且在下降市场中显著。在上升市场和每年的6月10月,投资于大盘股更有效;而在下降市场和每年的9月,更宜投资小盘股。研究结论说明了以Fama的三因素模型进行规模效应的检验存在一定的非有效性。
英文摘要：
The traditional portfolio models such as CAPM and factors model have intrinsic defects of ＂data snapping＂ and ＂risk compensation hypothesis＂, which made the inconsistent opinion on the efficiency of investment style based on firm size. Marginal conditional stochastic dominance （MCSD） derived from the second stochastie dominance approach ranks the assets by the entire return distribution of assets. MCSD ranking rules avoid the limitations of traditional portfolio models that separate the returns with risk and the decision process from utility maximization by restricting either the individual utility function or the assets＇ return distribution. We select ShenyinWanguo A stock market index as the core portfolio and constructed small size portfolios and large size portfolios based on the size index. By comparing the subsets for MCSD, the results showed that large stocks perform better than small firms while small firms perform better than medium firm, which is significant in downside market. Large firms perform better in upside market and inJune and October; whereas small firms perform better in downside market and in September. The results indeeate that Fama and French＇s （1993,1996） three- factor risk-return model be used with caution.
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