累计超额收益率为每只股票在形成期内月超额收益率的简单加总。
...模型后,对于残差超额收益率(Abnormal return, AR),本文对其进行了累加,得 到了累计超额收益率(Cumulative abnormal return,CAR),通过观察CAR 的变化趋势,来 了解创业板高管辞职之后超额收益率的变化从而推断市场上投资者的反应。
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公司规模越大,则股票的累计超额收益率越大;
第二部分,考察盈余公告前的R平方和超额累计收益率的关系。
Using data around earnings announcement in Chinese market, this paper explores the topic about R square around earnings announcement.
IPO长期业绩的早期研究以算术平均的累计调整收益率为指标,发现我国新股存在着长期超额报酬。
By equal-weighted CAR, former researches on the long-run performance of Chinese IPOs have found that IPOs in Chinese stock exchanges outperform index in the three years after going public.
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