超额收益率

在各种行业中，只有商业类收购公司和目标公司都获得了显著的累积超额收益率；

In the different Industries , the commercial Industry of acquiring company and target company has got the significant CAR .

本文将采用事件分析法，通过计算各公司的累计超额收益率（CAR）及累计超额收益对并购活动影响股东价值的短期效应进行分析、检验并以会计分析法作为长期定性分析的指标作为参考。

The paper is adopting the case analysis method to analyze , test and refer to the long-term qualitative index through calculating individual company 's CAR and CA and its influence on the stock value .

超额收益率的时序研究被普遍应用于有关上市公司信息对其股票价格影响的研究，是事件研究EventStudy中常用的方法。

Rate of return over the timing is widely used in research related to information of listed companies on its stock price effects , the incident is commonly used in research Event Study .

日历效应（calendareffects）是指证券市场出现的在某一特定时间进行交易可以获得超额收益率的现象，主要包括星期效应和月份效应。

Calendar effects are phenomena that excess returns associate with the specific trading date in securities market , which include day of the week effects , month of the year effects .

保罗沃克尔（PaulVolcker）取得成功后的25年里，对未来的通胀提供担保所需的超额收益率已经下降了100至150个基点。

In the quarter century since Paul Volcker 's triumph , excess yields required to insure against future inflation have shrunk by 100 to 150 basis points .

具体到IPO股票上市首日，笔者认为只有首日超额收益率高到某个程度时正向反馈交易者才会出现。

Specific to the IPO stocks listed on the first day , I think that only the first day of excess income to a degree higher than positive feedback traders will appear .

它给出了资产超额收益率和它与市场收益beta值的线性关系，具有较高Beta值的股票应该得到较高的平均收益。

It presents that the relationship between the excess return of assets and beta of market return is linear . As regards CAPM , stocks with higher beta should own higher average returns .

IPO抑价（IPOUnder-pricing）现象是指首次公开发行的股票上市后的市场交易价格远高于发行价格，导致首次公开发行的新股上市存在较高的超额收益率。

IPO under-pricing is the stock market price much higher than the offering price , resulting in an initial public offering . IPO is a higher rate of excess return .

IPO抑价是本文的核心概念，本章对其内涵进行了详细的阐述，并重点介绍了抑价与溢价、首日超额收益率之间的区别。

As the core concept of the paper , under-pricing is described in detail . The difference between " under-pricing " and " overpricing " and " excess returns in the first day " is highlighted .

但由于股票内在价值不可直接观察，为了方便研究，就有另外两个概念：IPO溢价和首日超额收益率。

However , due to the intrinsic value of the stock can not be directly observed , in order to facilitate research , there are two other concepts : IPO first day of premium and abnormal returns .

而在股票上市以后由于二级市场的弱式有效及浓重的投机氛围，造成首日收盘价很高，存在超额收益率现象，这就是IPO抑价现象。

When the stock get into the secondary market , due to the weak efficiency and the speculation , resulting in a high closing price on the first day , there are extra earnings , this is the phenomenon of IPO underpricing .

在时间序列上，论文采用新流动性比率指标（LDX）衡量流动性，检验了股票市场非流动性与股票超额收益率之间的关系。

The paper verified the relation between stock market illiquidity and stock excess return in time series by new liquidity measure ( LDX ) .

相同之处主要表现在：（1）同股票超额收益率、ROE、EPS、EVA等现有评估指标一样，借助于股权再融资价值创造函数不仅可以考评资金取得效率，还可以考量资金使用效率。

The similarities lie in : ( 1 ) Both the existing assessment indices , such as excess return rate of stock , ROE , EPS and EVA , and the function of value creation of SEO can examine the efficiency of acquirement and use of funds .

第二部分对超额收益率进行理论解释。

The second part of the excess returns to theoretical explanations .

整体上市股票超额收益率及其影响因素研究

Study of Holistic Listing Stocks ' Abnormal Return and Its Influencial Factoes

第四，计算超额收益率与累积超额收益率。

Fourthly , calculating the abnormal return ratio and the cumulative return ratio .

本文采用超额收益率的研究方法。

In this paper , over-yield research methods .

募集资金变更比例越高市场超额收益率越低；

The lower the AR the higher in proportion of the fund-raising change is ;

上市公司盈余质量对股票超额收益率的影响

The Influence of Earning Quality of Listed Company on Abnormal Returns of Stock Prices

相反的是在建工程减值准备与累计超额收益率呈显著的正相关关系。

The opposite is the impairment of construction in progress has a significant positive one .

验证了做仓股票超额收益率的存在。

From the viewpoint of cross-sectional return , prove the existing of the abnormal return .

当扩展样本期再次模拟交易时，交易次数和超额收益率都有增加。

When the sample period is expanded , number of trades and average abnormal return raise .

结果表明：（1）与国外成熟市场不同，我国股市预期和未预期到的市场流动性对股票超额收益率均产生正向影响。

Different from developed markets , expected and unexpected market liquidity positively affect on stock excess return .

然而，无形资产减值准备与累计超额收益率并没有显著的线性关系，与预期不符。

However , provision for impairment of intangible assets has no significant relationship with cumulative abnormal return .

然后对持有股票是否具有超额收益率进行个股和整体的显著性检验。

Then we do individual stock and overall significant test to know whether it has excess return .

323家农业上市公司中，超额收益率千差万别，有的甚至出现亏损。

In 23 agricultural listed companies , the excess earning ratios are various and some are even minus .

本文的实证研究结果表明，主板公司和中小板公司的投资超额收益率与公司的成长性都存在着显著的正相关关系，成长性越高的企业将为投资者带来更高的超额收益。

The empirical results show that there are significant positive correlation between the excess return and the growth .

基于长期超额收益率的不同资产重组方式绩效实证研究

The Empirical Study of the Long-run Extra Stock Returns of the Listed Corporate Recombination in Different Recombination Forms

最后统计发现价值投资组合相对于成长性投资组合取得了超额收益率。

The final analysis found that value relative to the growth portfolio investment portfolio made excess return rate .

对于这部分超额收益率的来源学术上主要有两种解释。

For this part of the source of the excess yield academic to basically have two kinds of explanation .