限售股解禁的价格效应研究

发布时间：2018-01-08 09:07

本文关键词：限售股解禁的价格效应研究　出处：《金融研究》2010年09期 　论文类型：期刊论文

【摘要】：本文研究了1004家公司限售股解禁的价格效应,研究发现,解禁事件带来显著为负的异常收益,-3至0天的累积异常收益为-1.58%,解禁导致平均换手率增加了20%。进一步分组比较发现,非政府控制的公司以及存在限售自然人股份的公司异常收益明显较低,说明这两类公司解禁股东出售股份更为积极。对于同时有A+H股交叉上市的解禁公司来说,只有A股股票有显著为负的异常收益,进一步说明A股的解禁交易导致了股价下跌。横截面回归的结果显示,异常收益与公司限售国有股比例正相关,与分组比较的结果相符;与套利风险显著负相关,支持了需求曲线向下倾斜的假说。另外,回归结果还显示异常换手率与异常收益正相关,这与股份供给增加导致股价下跌的假设并不一致。
[Abstract]:In this paper, the price effect of the release of restricted shares in 1004 companies is studied. It is found that the cumulative abnormal return from the lifting of the ban is -1.58%, which is a significant negative abnormal return from 3 to 0 days. The lifting of the ban led to an increase of 20 percent in the average turnover rate. Further grouping and comparison found that the abnormal returns of non-government controlled companies and companies with restricted natural person shares were significantly lower. It shows that the two types of companies are more active to sell shares. For the companies with A-H cross-listing, only A-share stocks have significantly negative abnormal returns. The results of cross-sectional regression show that abnormal returns are positively correlated with the proportion of restricted state-owned shares, which is consistent with the results of grouping comparison. There is a significant negative correlation with arbitrage risk, which supports the hypothesis that the demand curve tilts downward. In addition, the regression results also show that abnormal turnover rate is positively correlated with abnormal returns. This is inconsistent with the assumption that an increase in share supply leads to a fall in share prices.
【作者单位】：清华大学经济管理学院;北京大学光华管理学院;
【基金】：然科学基金项目(项目号70873002和70932002)资助
【分类号】：F224;F832.51
【正文快照】： 一、引言股份限售是IPo过程中常见的现象，，通常用来限制IP0之前进人公司的股东以及公司内部人在上市之后的某段时间内出售其持有的公司股份。IPO限售可作为原有股东为减轻道德风险所做的一项承诺机制，也可通过控制股票的供给为承销商的股票定价提供支撑。最近在中国市场上出

【参考文献】