房地产政策调控效应的截面异质性  

The Cross-sectional Heterogeneity of the Effects of the Real Estate Market Regulatory Policy

作　　者：陈丹妮[1] 薛志宏[2] 陈瑶[3] 

机构地区：[1]武汉大学经济与管理学院 [2]复旦大学经济学院 [3]中央财经大学保险学院

出　　处：《统计研究》2013年第11期92-98,共7页Statistical Research

摘　　要：房地产上市公司自身特征的异质性决定了其面对政策调控的不同反应。本文以"新国十条"发布为背景,以房地产上市公司为样本,通过运用基于Carhart四因素模型的事件研究法,考察房地产上市公司的累计异常回报率,并对此进行截面分析,以研究政策调控对房地产上市公司股价的异质性影响。实证结果表明,"新国十条"的发布对房地产股票造成了巨大的冲击,并且不同特征的公司对于政策调控的反应具有显著的不同。具体而言,前期扩张速度快、主营房地产业务的房地产上市公司受政策影响较大。进一步的随机时期推断结果表明以上的截面异质性效应仅仅与特定的政策背景相关。The heterogeneity of the characteristics of the listed real estate companies determines their different responses to the regulatory policies. This paper takes the release of the State Council No. 10 National Notice as the policy background and the listed real estate companies in Chinese stock market as the research sample. Through the use of event study methodology based on the Carhart four-factor model, we study the cumulative abnormal return of the listed real estate companies and do further research on the cross-sectional heterogeneity of the effects generated by the regulatory policy on the stock prices of the real estate companies in our sample. The empirical results show that the release of the State Council No. 10 National Notice created a huge impact on stock prices of the real estate sector, and the companies of different characteristics have significantly diversifying reactions to the regulatory policy. In particular, the real estate companies with a fast pace in the early expansion stage and those who concentrated mainly on real estate business are heavily influenced by the policy regulation. Further inference results from the randomized periods using bootstrap method show that the above cross-section heterogeneity of the regulatory effects is related to specific policy backgrounds.

关 键 词：事件研究法 房地产市场 脱靴(Bootstrap)检验 

分 类 号：C812[社会学—统计学]