...因此,在样本股票实际收益中剔除假定某个事件没有发生而估计出来的正常收益(normal return)就可以得到异常收益(abnormal return),异常收益可以衡量股价对事件发生或信息披露异常反应的程度。
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股票市场中异常收益检测的实验表明,VODM及其算法是有效的。
Experiments carried out on abnormal returns detection in stock market show that the VODM is feasible.
首先,我们用事件研究法检验可转债的发行宣告是否会给公司带来异常收益。
First of all, we examine whether issuance of convertible bond bring abnormal return to company by event study.
研究表明,并购事件公布所引致的市场异常收益说明中国证券市场属于非半强式有效;
The results indicate that the abnormal return caused by M&A announcement implies that Chinese security market is of non-semistrong-form efficiency;
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