经济数学Issue(3)：93-98,6.
基于 CAR 模型国内 A 股市场反应不足的实证分析∗
The Empirical Analysis of the Under-reaction of Domestic A-share Market Based on CAR Model
摘要
Abstract
This paper focused on one of the main anomalies-under-reaction.Based on the HS model,we analyzed the ex-ample 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.关键词
金融异象/累计超额收益率/反应不足/行为金融Key words
Financial Anomalies/Cumulative abnormal return/Under-reaction/Behavioral Finance分类
管理科学引用本文复制引用
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):93-98,6.基金项目
国家自然科学基金(71201051),湖南省哲学社会科学基金(14YBA264)和湖南师范大学青年优秀人才培养计划(2014YX04) （71201051）
