Excess rate of return refers to the rate of return that exceeds the normal (or expected) rate of return, which is equal to the difference between the rate of return on a certain day and the normal (expected) rate of return required by investors (or markets) on that day.

The excess rate of return is the difference between the actual rate of return of a stock and its normal rate of return, in which the normal rate of return is the expected rate of return when the event does not occur.

Here we use the data of the above parameter estimation period to estimate the normal rate of return, and here we choose the market model, which is expressed as:? Rit？ =αi？ +βiRim？ +εit, where Rit is the actual rate of return of T-period stock I; Rim is the yield of T-period market, which is expressed by celestial circulation index; ε It is a random perturbation term.

Extended data:

Calculation method of excess return:

Regression of the above formula with the least square estimation method, estimation of αi and βi with the data of parameter estimation period, assuming that V and βi remain unchanged during the event period, so that we can get the excess return rate and cumulative excess return rate during the event period:

Among them, ARit is the calculated excess return of stock I in the event period in T, Rit is the actual return of stock I in the event period in T, and Rim is the celestial circulation index (market return rate) in the event period in T;

αi and βi are the parameter values estimated by the market model, CARit is the cumulative excess return of stock I in event period T, AARt is the average excess return of event period T, and CARt is the cumulative average excess return of event period T. ..

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