黑天鹅事件指发生概率极小,冲击极大的事件。本文基于FF三因子模型和CAR模型的事件研究法,探究了A股市场上自1997年来的黑天鹅事件的当期市场反应,以及黑天鹅事件后个股的超额收益。研究结果表明,市场对黑天鹅事件存在过度反应,黑天鹅事件个股在市场过度反应后短期内会产生显著超额收益。但这种超额收益有逐年减少的趋势,表明市场的有效性在逐步提高。 Black Swan event refers to the event of a very small probability, a great impact. Based on the FF three-factor model and the CAR event-based approach, this paper explores the current market reaction of the Black Swan event in the A-share market since 1997 and the excess returns of individual stocks after the Black Swan event. The results show that the market overreaction to Black Swan events, Black Swan event stocks in the market over-short-term significant excess returns. However, this excess return has been declining year by year, indicating that the effectiveness of the market is gradually increasing.