摘要
本文利用事件研究法对股票更名事件公告的交易量和收益率反应进行了研究,发现股票更名公告具有一定的信息含量,对累计超常交易量进行回归分析中发现超常交易量与公司规模负相关,交易量对2000年的更名公告的反应比2001年的强烈,同时发现在发生股票更名事件时,超常交易量与超额收益率存在不对称的关系。
By using event study, this paper studies the reactions of the trading volume and returns to the stock rename announcement. It discovers that the rename announcement contains certain information content and the regression analysis on the abnormal trading volume reveals that the abnormal trading volume has a negative correlation with the size of the company. The trading volume to the stock rename in 2000 has a stronger reaction than that of 2001. And when the rename takes place, the abnormal trading volume and returns have asymmetrical correlation.
出处
《中国软科学》
CSSCI
北大核心
2004年第3期40-45,共6页
China Soft Science
基金
国家杰出青年科学基金资助项目(79270052)
