基于限售股减持异常收益的实证检验

发布时间：2018-05-19 14:53

本文选题：限售股 + 减持　；参考：《统计与决策》2011年11期

【摘要】：文章以2006～2009年沪深两市的限售股减持数据为样本,使用事件分析法进行了研究,我们发现减持窗口期的累积异常收益率和异常交易量显著为正,其中减持前90天至后30天CAR均值为11.16%。这表明在减持期间,限售股股东获得了超出市场的收益水平。随后采用多因素回归模型对操纵行为、需求曲线效应和过度反应等特征变量进行了实证检验,结果显示,减持股东对公司价值具有更准确的认识,减持时机的选择非常准确,但并不存在普遍的操纵现象。
[Abstract]:Based on the sample of the 2006~2009 years' limited stock reduction data in the Shanghai and Shenzhen two cities, the paper uses event analysis method to study. We find that the cumulative abnormal return rate and abnormal trading volume of the reduced window period are positive, in which the CAR mean of the 90 days to the 30 days after the reduction is 11.16%., which indicates that the Limited shareholders have gained more than the market during the reduction. Then, the multi factor regression model was used to test the manipulation behavior, the demand curve effect and the overreaction. The results show that the reducing shareholders have a more accurate understanding of the company value, and the choice of the time of reduction is very accurate, but there is no universal manipulation.
【作者单位】：上海财经大学金融学院;
【基金】：2008年国家社会科学基金资助重大项目(08&ZD036)
【分类号】：F832.51

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