2) During the term of test, the trend of six portfolios reverse, most of daily return being negative, and cumulate abnormal return being prominently negative, which is suited with our noise trading model.

• 第二，在事件检验期，六种组合的走势突然反转，日异常收益率绝大部分为负数，累积异常收益率显著为负，与本文噪声交易模型的结论非常吻合。