The new method uses reference portfolio formed on the base of corporation market value to calculate long-run abnormal returns, uses adjusted-t test or rank test to test abnormal returns. 改进的长期异常回报率计算方法是基于市值的参考组合法,改进的检测方法是偏度矫正的t检验法和秩和法。
Furthermore, we give the asymptotic characteristics and limit distributions of statistics in such cases that long-run variance is constant and long-rum variance exists a drift case, under max Chow test, mean Chow test and exponential Chow test. 给出长期方差为常数和长期方差存在漂移的情况,在最大Chow检验,平均Chow检验和指数Chow检验下统计量的渐近性质和极限分布。
Long-Run Abnormal Returns Calculation and Test in Chinese Stock Market 我国股票市场长期异常回报率的计算和检测方法研究