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超额收益率
    An Empirical Study on Abnormal Return of Initial Public Offerings in China
    影响我国新股超额收益率的实证研究
    The momentum (or reversal) strategy based on trading volume can get significant abnormal return while the simple momentum can't, which indicates that trading volume contains important information about price change for the second time.
    简单动量策略并不能获得显著的超额收益率,而基于交易量的动量(反转)策略能获得显著的超额收益,这再次说明交易量包含了与价格变化相关的重要信息。
    There has long been high abnormal return in the primary stock market of China, attracting a huge sum of money lingering in the primary market seeking risk free abnormal return.
    我国股票一级市场长期存在着较高的超额收益率,吸引了巨额资金长期驻留于一级市场寻求无风险超额回报。
    Among the empirical part, this paper adopt event study to analysis the cumulative abnormal return in the MBO event windows at first, the result is that there is remarkable cumulative abnormal return;
    在实证研究部分中,本文首先采用事件研究法分析了管理层收购事件窗口里的累积超额收益率,分析表明存在显著的超额累积收益率;
    It has a cumulative abnormal return of -0.36% over the period [0,1]. And the analysis shows that announcement effects of CBo have a significant positive share marker response. It has a cumulative abnormal return of 0.39% over the period [0,1].
    实证结果发现,我国上市公司董事会通过发行可转换债券后,二级市场股票价格表现为显著下降,[0,1]时间窗口的累计超额收益率为-0.36%,而上市公司发布发行可转换债券公告后,二级市场股票价格表现为显著上升,[0,1]时间窗口的累计超额收益率为0.39%。
    Researches on performance of M&A is conducted on two respect: one is to evaluate the reaction on the secondary market by calculate the abnormal return after M&A.
    他们对并购绩效的研究,一般沿着两条主线展开:第一条线是用超额收益率法来评价并购事件在二级市场上的反应。
    Fourth part distinguishes the residual of estimative model, and set up 101 regression models by single-factor model which derive from CAPM; analyzes the reaction to right offer when right offer price is higher and lower by the model by CAR(cumulative abnormal return), and takes the reaction of announcement to the test of significance approach to compare the significance of them.
    并运用以CAPM模型为基础衍生出的计算模型──单一指数模型,建立了101 个回归方程,进行累计超额收益率(CAR)分析,分别针对偏高和偏低的配股价格分析我国上市公司配股的公告效应,并对公告效应引起的超额收益率进行显著性检验,进一步比较两者的公告效应有无显著异常。
    The result proved that there is significant abnormal return in announcement day no matter what the right offer price is higher or lower and there is significant different reaction between the higher price and the lower price.
    实证结果表明无论配股价格偏高或者偏低,配股公告均在公告的当天对股票价格产生了显著的负超额收益率,并且配股价格偏高和配股价格偏低时的公告效应存在显著差异。
    In order to investigate whether the stock market react to the environmental disclosure events, the abnormal return of stock prices (ARit), the average abnormal return of stock prices (AARt) and the accumulate average abnormal return of stock prices (CAART) are computed and statistical tested.
    接下来对这些样本股票在事件窗内的对环境信息披露的市场反应进行了计算和实证检验,即分别计算和检验超额收益率、平均超额收益率、累计平均超额收益率来考察单个事件在事件窗第t天的市场反应、不同类别事件在事件窗第t天的市场反应、不同类别事件在事件窗T时间段的市场反应。
    This paper empirically studied the market reaction of the split share structure reform and find the market has significant positive abnormal return and abnormal trading volume.
    该文运用事件研究法对股权分置改革这一特殊事件的市场反应进行了实证研究,发现市场对这类事件有显著为正的超额收益率和超常交易量反应。
    This paper also analyzed the factors which affect the reaction of abnormal return, and we find that the percentage of bonus shares in the reform plan, the market value of tradable shares, the stock price, the special commitment of non-tradable shareholders and the supporting rate of tradable shareholders to the reform plan are the main factors.
    文章还对超额收益率反应的影响因素进行了分析,结论是股改方案中的送股比例、流通市值、股票价格、非流通股股东的特别承诺以及流通股股东对股改方案投赞成票的比例是影响超额收益率的主要因素。
    Among these factors, the percentage of bonus shares, the stock price and the special commitment have significant positive impacts on the reaction of abnormal return, while the market value of tradable shares and the supporting rate of tradable shareholders have significant negative impacts on the reaction.
    其中,送股比例、股票价格和特别承诺对超额收益率的影响显著为正,而流通市值和流通股股东投赞成票的比例对超额收益率的影响显著为负。 在对全面股权分置改革的研究中,文章还从市场涨跌状况和市价高低两个角度分析了股改时机选择的问题,认为在市场上涨和市价较高时存在较为理想的股改时机。
    There has long been high abnormal return in the primary stock market of China, attracting a huge sum of capital lingering in the primary market seeking risk free abnormal return.
    我国股票一级市场长期存在着较高的超额收益率,吸引了巨额资金长期驻留于一级市场寻求无风险超额回报。
    This paper investigates 121 listed companies which change investment project of fund raised in Chinese stock market of 2004. Through calculate market abnormal return we find that there is generally a significant negative effect during the period of announcement, but it was insignificance when considering the every-day abnormal return during the process.
    本文以中国A股市场2004年进行募集资金投向变更的121家上市公司为对象,通过计算市场超额收益率发现在我国资本市场募集资金变更公告对上市公司带来了总体上显著的负面影响但是对上市公司各交易日的超额收益率没有显著影响。
    We also study the IPO changes and SEOs changes, weekend announcement effect and non-weekend announcement effect, the difference of companies diverting funds raised in Shanghai and Shenzhen stock market. The regression results of this three change patterns did not have remarkable difference in average abnormal return, however, they indeed have different remarkable influence factors, which indicates that the focus of investors to the change announcements vary from each other.
    本文对IPO变更和再融资变更、周末公告变更和非周末公告变更、深市变更和沪市变更分别进行了公告效应影响因素回归分析的对比研究,结果发现三类变更在公告日的平均超额收益率没有显著差异,但均具有不同的显著影响因素,说明中国资本市场的投资者对不同的变更关注点不同。
    The evidence shows that abnormal return of these firms are negative.
    证据表明,那些因舞弊财务报告而受到证监会处罚的上市公司,其股价的超额收益率显著为负。
    Thirty listed companies,whose cash is owned by the big shareholders,are going to be selected from Shanghai A stock market. The event study is employed to conduct the analysis. When the stock information is released,we analyze the abnormal return ratio and accumulative return ratio so that the further empirical research of efficiency for Shanghai A stock market can be done.
    选择上海A股市场中具有大股东占用上市公司资金现象的30家上市公司作为样本,采用事件研究法,对信息公布日前后,股票的超额收益率和累积超额收益率的变化情况进行分析,以对上海A股市场的有效性进行实证研究。
 

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