基于CAR模型国内A股市场反应不足的实证分析
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引用本文:谭婕, 邓浏睿.基于CAR模型国内A股市场反应不足的实证分析[J].经济数学,2015,(3):93-98
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作者单位
谭婕, 邓浏睿 (湖南师范大学 商学院 湖南 长沙410081) 
中文摘要:主要关注的主体异象为反应不足,在已有的HS模型基础上,对我国IPO改革背景下的证券市场投资策略进行了实证研究.实证过程中主要采用了市场调整模型计算累计超额收益率,并根据样本条件划分适当的形成期和检验期.在此基础上,以经典的“赢者组合”和“输者组合”方法对实证数据进行分析,最终发现A股市场中存在反应不足的金融异象.
中文关键词:金融异象  累计超额收益率  反应不足  行为金融
 
The Empirical Analysis of the Under-reaction of Domestic A-share Market Based on CAR Model
Abstract:This paper focused on one of the main anomalies-under-reaction. Based on the HS model, we analyzed the example of investment strategy in security market under the background of IPO reformation. With market adjusted model, we calculated the cumulative abnormal return and divided the formation period and testing period according to the conditions of the samples. On this basis, we applied the traditional “inners”and “osers”combination model to empirical analysis and come to the conclusion that there is under-reaction in A-share market. 
keywords:Financial Anomalies  Cumulative abnormal return  Under-reaction  Behavioral Finance
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