Title: Digesting the Size Anomaly of China

Speaker: Gao Jinyao, Associate Professor of the School of Economics, Shandong University. His research interests focus on capital markets, market microstructure, asset pricing, and behavioral finance.

Abstract: The size effect is a classic anomaly in asset pricing: over the past few decades, the size effect in the US market has basically disappeared, but it remains significantly strong in the Chinese market. This study focuses on the causes of this difference, and the core conclusion is:

The size effect in China's stock market is not a unique market anomaly, but can be jointly explained by various factors:

    Risk factors: Such as beta (market risk coefficient), financial distress risk;

    Classic pricing factors: The investment factor proposed by Fama and French (2015);

    Behavioral finance explanations: Such as reversal effect, low-price stock effect.

Date & time: 25 December 2025, 12:15

Venue: B321, Zhixin Building, Central Campus, Shandong University