股权分置改革对中国股票市场的长期效应分析  

General analysis on the long period impact of split-share structure reform upon China's stock market

作　　者：屠钪[1] 宁同科[2] 朱祎莉[1] 

机构地区：[1]上海理工大学理学院,上海200093 [2]上海交通大学安泰经济与管理学院,上海200052

出　　处：《上海理工大学学报》2010年第1期92-95,共4页Journal of University of Shanghai For Science and Technology

基　　金：国家第二十四批博士后基金资助项目(20070420100);上海市教育委员会社会科学基金资助项目(CW0918)

摘　　要：借鉴Fama-French三因子模型的分组方法，对2005-2006年进行股权分置改革的250家上市公司进行分组，并用事件研究法和回归分析对其进行分析，考察了等权重加权组合和资产权重加权组合的超额收益，以此来说明股权分置改革对中国证券市场的总体影响．The method of Fama-French three factors models was used to group the 250 listed companies which had undergone split-share structure reform from 2005 to 2006. And also the method of event studies combined with regression analysis were applied in the analysis, mainly focusing on the abnormal return of the portfolio, equally weighted and valuedly weighted, to illustrate the general study on the impact of split-share structure reform upon China＇s stock market.

关 键 词：股权分置改革 事件研究法 超额收益 

分 类 号：F830.91[经济管理—金融学]