我做的论文有关股票超额收益的,计算t=0时,股利支付组和股利不支付组的CAR差异显著性的t检验应如何操作?
事件窗口
| 股利支付组
| 股利不支付组
| CAR差值的t值检验
|
AAR(%)
| CAR(%)
| AAR(%)
| CAR(%)
| 支付——不支付
|
T=-5
| 0.0201
| 0.0201
| -0.0016
| -0.0016
|
|
T=-4
| 0.0081
| 0.0282
| 0.018
| 0.0162
|
|
T=-3
| 0.0096
| 0.0378
| 0.0049
| 0.0211
|
|
T=-2
| -0.0096
| 0.0282
| 0.0149
| 0.0360
|
|
T=-1
| 0.0241
| 0.0523
| 0.0156
| 0.0516
|
|
T=0
| 0.0057
| 0.0580
| 0.0077
| 0.0593
|
|
T=1
| 0.0345
| 0.0925
| 0.0560
| 0.0560
|
|
T=2
| 0.0017
| 0.0942
| 0.0076
| 0.0636
|
|
T=3
| -0.0225
| 0.0718
| 0.0076
| 0.0712
|
|
T=4
| 0.0152
| 0.0870
| -0.0059
| 0.0653
|
|
T=5
| -0.0236
| 0.0634
| -0.0083
| 0.0570
|
|