上市公司被ST后的超额累积收益的实证研究  

Evidence Study on Cumulate Abnormal Returns after "ST" Announcement

作　　者：张建华[1] 舒象改[1] 张玲[2] 

机构地区：[1]怀化学院经管系数学系,湖南怀化418008 [2]湖南大学工商管理学院,湖南长沙410082

出　　处：《管理工程学报》2006年第1期130-132,共3页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70172018)

摘　　要：市场有效性是一个资本市场健全发展的主要标志,而过度反应是进行市场有效性研究的一种最优方法之一。本文则对由于ST公告这一事件所导致的市场价格异常进行研究。通过实证分析,得出中国股票市场存在过度反应,即市场是非有效的。这一研究有助于深化人们对股票价格变化原因的认识,同时也有助于投资者进行投资组合决策分析。The efficiency of market is the mainly sign for a perfect capital market; We can find that the overreaction is an available means to research the efficiency market by the study of overreaction. This paper make a research on the abnormal prize caused by the event that the company be announced in ST position, we find that there are exist overreaction in the stock market, At the same time, this research is conducive to bring more in-depth knowledge about cause that affect the change of price; and could help investors to make smart decision in portfolio management.

关 键 词：收益回复 过度反应 公告效应 

分 类 号：F830.91[经济管理—金融学]