关键词: 事件研究法, 房地产市场, 脱靴（Bootstrap）检验

Abstract: The heterogeneity of the characteristics of the listed real estate companies determines their different responses to the regulatory policies. This paper takes the release of the State Council's No.10 National Notice as the policy background and the listed real estate companies in Chinese stock market as the research sample. Through the use of event study methodology based on the Carhart four-factor model, we study the cumulative abnormal return of the listed real estate companies and do further research on the cross-sectional heterogeneity of the effects generated by the regulatory policy on the stock prices of the real estate companies in our sample. The empirical results show that the release of the State Council's No.10 National Notice created a huge impact on stock prices of the real estate sector, and the companies of different characteristics have significantly diversifying reactions to the regulatory policy. In particular, the real estate companies with a fast pace in the early expansion stage and those who concentrated mainly on real estate business are heavily influenced by the policy regulation. Further inference results from the randomized periods using bootstrap method show that the above cross-section heterogeneity of the regulatory effects is related to specific policy backgrounds.

Key words: Event Study, Real Estate Market, Cumulative Abnormal Return