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本文以我国2010年到2016年创业板股票的收益率为研究对象,对创业板股票的异常收益率来源进行经验分析,并使用Conrad-Kual恒等式分解的方法将异常收益率分解为个股时间可预测性、组合时间可预测性和股票横截面风险。
This article takes the return rate of the GEM stocks in China from 2010 to 2016 as the research object, and empirically analyzes the sources of the abnormal returns of the GEM stocks, and uses the method of Conrad-Kual identity decomposition to decompose the abnormal return rate into individual stocks with predictable time Sex, Portfolio Time Predictability and Stock Cross-Section Risk.