基于 CAR 模型国内 A 股市场反应不足的实证分析∗

摘要

This paper focused on one of the main anomalies-under-reaction.Based on the HS model,we analyzed the ex-ample of investment strategy in security market under the background of IPO reformation.With market adjusted model,we calculated the cumulative abnormal return and divided the formation period and testing period according to the conditions of the samples.On this basis,we applied the traditional “inners”and “osers”combination model to empirical analysis and come to the conclusion that there is under-reaction in A-share market.%主要关注的主体异象为反应不足，在已有的 HS 模型基础上，对我国 IPO 改革背景下的证券市场投资策略进行了实证研究。实证过程中主要采用了市场调整模型计算累计超额收益率，并根据样本条件划分适当的形成期和检验期。在此基础上，以经典的“赢者组合”和“输者组合”方法对实证数据进行分析，最终发现 A 股市场中存在反应不足的金融异象。