基于2006-2008年沪深两市所有A股数据,利用事件研究法估计解禁事件的市场冲击(累计超额收益率CAR),从解禁特征、公司特征(微观角度)和股市周期(宏观角度)对影响CAR大小的主要因素进行分析后发现,公司财务特征对CAR的解释作用很小,股市周期对CAR有很强的解释作用,而解禁特征作用居中。 Based on the data of all A-shares in Shanghai and Shenzhen stock markets from 2006 to 2008, we use the event research method to estimate the market impact of the lift-off event (cumulative excess return CAR). From the characteristics of the ban, the company characteristics (micro perspective) and the stock market cycle After analyzing the main factors influencing the size of CAR, we found that the financial characteristics of the company have little effect on the interpretation of CAR, the stock market cycle has a strong explanatory role on CAR, and the ban on the bankers has a central role.