摘要
本文对事件研究法在证券市场上的应用进行了综合讨论 ,采用模拟抽样的方法对广泛采用的 3种基本模型结合中国证券的交易数据进行了经验比较 ,结果显示了市场模型的局限性以及均值调整模型在中国市场上的某些优势。
Through the comprehensive discussion about application of event study to securities markets, we conducted the simulated sampling selection by Chinese to securities market data to compare 3 models empirically which have been wildly used. The results present that the mean-a djusted model is superior to market model under Chinese market structure.
出处
《经济研究》
CSSCI
北大核心
2002年第1期40-47,共8页
Economic Research Journal
