长期事件研究方法论——一个综述

被引：19

作者：

袁显平

柯大钢

机构：

[1] 西安交通大学管理学院

来源：

数理统计与管理 | 2007年 / 05期

关键词：

长期事件研究; 累积异常收益; 购入-持有异常收益; 设定;

D O I：

10.13860/j.cnki.sltj.2007.05.009

中图分类号：

F832.51 [];

学科分类号：

1201 ; 020204 ;

摘要：

本文对国外长期事件研究方法论文献进行了全面的梳理,并着重介绍和分析了期望收益模型(或收益基准)选择、异常收益度量,以及检验统计量的设定与检验力等。研究发现,在各期望收益模型、两种度量异常收益方法—AAR(或CAR)与BHAR的选择,以及各检验统计量是否存在错误设定等问题上,国外学界并未达成共识,争论仍在继续。

引用

页码：809 / 820

页数：12

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