上交所限售股锁定期解除效应的实证研究
发布时间：2018-08-21 11:44
【摘要】：2006年5月18日,中国证监会发布的《首次公开发行并上市管理办法》,标志着中国A股全流通发行时代的正式开启。在全流通发行的新时期,首次公开发行的新股上市后不再有流通股和非流通股之分,所有股份都是流通股。但是为了减少全流通发行对二级市场产生的供给冲击,参照国际惯例,对IPO公司已发行的部分股票的上市流通时间给予了一定的约束,即这部分有一定的锁定期,在期满后才能上市流通。这类股票的上市流通将对股票价格和成交量产生怎样的影响,尤其是配售对象(询价对象和战略投资者)所持有的限售股的解禁将市场产生怎样的影响,本文着重研究配售对象限售股解禁的原因在于这类限售股持有者在锁定期解除后抛售意愿更为强烈,对市场的冲击程度更大。 因此本文通过对样本股票的进行初步的统计分析和建立模型进行多元回归分析,检验上市公司IPO配售限售股解禁事件的价量效应,以及从上市公司股票冲击程度、公司规模、市场环境、经营业绩、治理结构这几个角度对引起这种价格和成交量异常变动的原因进行定性和定量分析,最后将问题引申到股票需求弹性这一命题上,测度A股市场的需求弹性。 根据上文的研究目的,本文的确立了如下的研究框架： 第一章为绪论。该章主要说明本文研究的问题,以及选择该题目的背景、研究目的与意义,以及对配售限售股解禁这一命题的研究思路和研究方法,最后指出本文的创新之处和不足之处。 第二章为限售股的界定与相关文献综述。该章分别从我国资本市场的发展历程、股权分置改革和全流通发行以及限售股解禁相关概念介绍限售股解禁的相关知识,再对国际国内对相关事件的研究成果进行概述。 第三章为上交所IPO限售股解禁事件影响的初步统计分析,该章对事件研究方法及样本的选择进行了简要的介绍,并且对全样本和分组后的子样本进行了统计分析,研究限售股锁定期效应的影响因素。 第四章为上交所IPO限售股解禁的回归分析,该章在对详细阐述了拟建立模型的理论基础后,构建了包含流动改善代理变量的多元线性回归模型,并对回归结果在统计意义上和经济意义上进行了分析,最后测度了我国A股市场的股票需求弹性。 第五章为研究结论与政策建议,该章对本文的研究结论进行了综述,分别从监管者、上市公司决策者、机构投资者、普通投资者角度给出了相关的政策建议。 本文的创新之处在于建立了一个对股票需求弹性进行实证研究的模型。当股票市场受到供给冲击,一方面供给的增加会使供给曲线向右移动,从而使价格下降,成交量增加,即出现负的异常收益率和正的异常成交量；另一方面股票供给的增加会使股票的流动性增强,从而股票的需求增加,股票需求曲线亦向右移动,从而使价格上升,成交量增加,即出现正的异常收益率和正的异常成交量。从上面的分析可以看出,当股票受到供给冲击时,异常成交量会为正,而异常收益状况则取决于供给和需求这两种力量的对比。本文将这一理论运用到模型之中,引入了流动性改善的代理变量—短期异常成交量(SAV)来度量因流动性改善而带来的需求的增加。 本文除了对全样本进行分析,还对样本股票按扩容压力、公司规模、市场环境、经营业绩进行了分组,分析不同因素对配售限售股解禁这一事件所产生的影响。并对形成这种现象的原因进行了深入的分析。 通过一系列的研究分析,本文得出以下结论： 1、IPO配售限售股解禁具有显著的锁定期解除效应。对样本股票的全样本统计显示,在锁定期解除日前后就出现显著的负的异常收益情况,从T-3日至T3日,平均累积异常收益率达到-4.57%,这一累积异常收益情况在研究窗口期内都未出现反转。并且在锁定期解除日当天,出现了-2.19%的显著地逐日异常收益率,同时成交量异常放大,异常成交量的均值达到177.1%%,并且在锁定期解除日后出现了17.55%的长期异常成交量。 由于IPO锁定期解除的相关信息在招股说明书和上市公告书等文件中都有明确的披露,限售股解禁日的到来并未给市场传递新的信息,因此,这种价量效应可以看作是非信息的。对于这种非信息的价量效应,可能的解释有买卖价差效应、价格压力学说、交易成本假说、流动性效应和有限的股票需求弹性假说。 2、通过分组样本的统计分析和回归分析结果,可以观测到： (1)累积异常收益率与供给冲击程度成反方向变动。即限售股解禁规模越大,股票价格下跌越明显,研究窗口期内的累积异常收益率也就越低,反之亦然。 (2)累积异常收益率与上市公司规模(以首发规模表示)呈正相关关系。即上市公司规模越大,研究窗口期内的累积异常收益率就越高,反之亦然。原因在于公司新股发行规模越大,从一定程度上说明公司实力越强大,其维持股价稳定的能力也就越强,累积异常收益率下降水平也就越有限。 (3)在牛市中,累积异常收益率比在熊市中低,表现为更为严重的负的累积异常收益率。 (4)公司的经营业绩与股票价格成反方向变动,这与传统理论相背离,本文认为这样的结果可由Merton(1987)关于公司经营状况与预期收益率,以及预期收益率与累积异常收益率的关系来解释,即公司经营状况越好,投资者对股票的预期收益率就越高,而预期收益率与累积异常收益率是负向关系,从而累积异常收益率就越低,反之亦然。 (5)累积异常收益率与上市公司的股权集中程度成正方向变动关系,即在一定程度范围内的股权集中程度越高,在限售股锁定期解除前后的一段时间内累积异常收益率越高,这与我们通常所熟知的分散化的股权结构更有利支撑股价的理论相反,本文认为出现这种背离的原因在于本文选取的是Herfindah1-5作为股权集中程度的指标,如果不存在“一股独大”的股权结构,再加上小股东基本上不参与公司治理,前五大股东之间相互制衡的股权结构同样有利于公司股价的上升,所以出现了累积异常收益率与股权集中程度成正方向变化的结果。 3、为了准确测量我国A股市场的股票需求弹性,本文建立了一个包含流动性改善需求代理变量的的多元回归模型,模型认为供给的冲击使股票价格的变动受到流动性改善效应和冲击程度两方面因素的影响,而传统模型仅考虑了冲击程度这一因素的影响,本文将包含流动性改善代理变量的模型A与传统模型B相对比进行分析,实证研究结果发现包含流动性改善的模型A对样本数据的拟合程度更高,本文还检验了模型的稳健性。根据该模型的实证结果,测算出我国A股市场的股票需求弹性为-55.48,支持有限的股票需求弹性的假说。
[Abstract]:On May 18, 2006, the China Securities Regulatory Commission (CSRC) issued the Regulations on the Management of Initial Public Issuance and Listing, marking the formal opening of the era of full circulation of A shares in China. With reference to international conventions, the supply shocks to the secondary market caused by general issuance restrict the time of circulation of some stocks issued by IPO companies, i.e. these stocks have a certain period of lock-in and can be listed and circulated only after the expiration of the period. How will the circulation of these stocks affect the stock price and turnover, in particular It is the placement object (inquiry object and strategic investor) that holds the restricted shares that will have what kind of impact on the market. This paper focuses on the placement object of restricted shares lifted because the holders of such restricted shares have a stronger willingness to sell after the lock-in period is lifted, and the impact on the market is greater.
Therefore, through the preliminary statistical analysis of the sample stocks and the establishment of multiple regression analysis, this paper examines the Price-Volume effect of the lifting of the ban on the IPO placement of restricted stocks of listed companies, and the impact of the listed companies on the stock market, the size of the company, the market environment, operating performance, and the governance structure of these angles to cause such prices and This paper makes qualitative and quantitative analysis on the causes of abnormal volume changes, and finally extends the problem to the proposition of stock demand elasticity to measure the demand elasticity of A-share market.
Based on the above research purposes, the following research framework has been established.
The first chapter is the introduction, which mainly explains the research problems, the background, the purpose and significance of the research, and the research ideas and methods of the proposition of the lifting of the ban on the allotment and restricted stock. Finally, it points out the innovation and shortcomings of this paper.
The second chapter is the definition of restricted shares and related literature review. This chapter introduces the relevant knowledge of the lifting of restricted shares from the development of China's capital market, the reform of non-tradable shares, the full circulation of shares and the related concepts of the lifting of restricted shares, and then summarizes the international and domestic research results of related events.
Chapter 3 is a preliminary statistical analysis of the impact of the lifting of the ban on restricted shares in the Shanghai Stock Exchange. This chapter gives a brief introduction to the event research methods and sample selection, and makes a statistical analysis of the whole sample and the sub-sample after grouping to study the factors affecting the lock-in period effect of restricted shares.
The fourth chapter is the regression analysis of the lifting of the IPO restricted stock ban on the Shanghai Stock Exchange. After elaborating the theoretical basis of the proposed model, this chapter constructs a multivariate linear regression model including the flow improvement agent variables, and analyzes the regression results statistically and economically. At last, it measures the stock demand of the A-share market in China. Elasticity.
The fifth chapter is the research conclusion and policy suggestion. This chapter summarizes the research conclusion of this paper, and gives relevant policy suggestions from the perspective of regulators, decision makers of listed companies, institutional investors and ordinary investors.
The innovation of this paper lies in the establishment of an empirical model to study the elasticity of stock demand. When the stock market is impacted by supply, on the one hand, the increase of supply will make the supply curve move to the right, so that the price will fall and the turnover will increase, that is, there will be negative abnormal return and positive abnormal turnover; on the other hand, the stock supply will move to the right. The increase of stock liquidity will increase the demand for stocks, and the demand curve will move to the right, so that the price will rise and the turnover will increase, that is, there will be positive abnormal returns and positive abnormal turnover. This paper applies this theory to the model and introduces the proxy variable of liquidity improvement, short-term abnormal turnover (SAV), to measure the increase of demand caused by liquidity improvement.
In addition to the analysis of the whole sample, this paper also classifies the sample stocks according to the pressure of expansion, company size, market environment and operating performance, and analyzes the impact of different factors on the lifting of the ban on allotment restricted shares.
Through a series of research and analysis, the following conclusions can be drawn:
1. The lifting of IPO placement restrictions has a significant release effect of lock-in period. The whole sample statistics show that there are significant negative abnormal returns before and after the release of lock-in period. From T-3 to T-3, the average cumulative abnormal returns reach - 4.57%. The cumulative abnormal returns are not reversed during the study window period. On the day of the release of the lock-in period, a significant daily abnormal yield of - 2.19% was observed. At the same time, the volume was abnormally enlarged. The mean value of abnormal volume reached 177.1%, and 17.55% long-term abnormal volume appeared after the release of the lock-in period.
Since the information about the lifting of IPO lock-in period is clearly disclosed in the prospectus and the public announcement, the arrival of the lifting of the ban on restricted shares does not convey new information to the market, so the price effect can be regarded as non-information. Price pressure theory, transaction cost hypothesis, liquidity effect and limited stock demand elasticity hypothesis.
2, through statistical analysis and regression analysis of grouped samples, we can observe:
(1) The cumulative abnormal rate of return and the degree of supply shocks change in the opposite direction. That is to say, the larger the ban is, the more obvious the stock price drops, and the lower the cumulative abnormal rate of return in the study window period, and vice versa.
(2) The cumulative abnormal returns are positively correlated with the size of listed companies (expressed as the initial size). That is, the larger the size of listed companies, the higher the cumulative abnormal returns during the study window, and vice versa. The reason is that the larger the issuing scale of new shares, to some extent, the stronger the company's strength, the ability to maintain the stability of stock prices. The stronger the cumulative abnormal returns, the more limited.
(3) In the bull market, the cumulative abnormal rate of return is lower than in the bear market, showing a more serious negative cumulative abnormal rate of return.
(4) The operating performance of a company changes in the opposite direction to the stock price, which is contrary to the traditional theory. This paper holds that this result can be explained by Merton (1987) on the relationship between the operating condition of the company and the expected return, and the expected return and the cumulative abnormal return, that is, the better the operating condition of the company, the investors'expected return on the stock. The higher the rate, the lower the cumulative abnormal rate of return, and vice versa.
(5) The cumulative abnormal return is positively related to the degree of ownership concentration of listed companies, that is, the higher the degree of ownership concentration within a certain range, the higher the cumulative abnormal return before and after the release of the lock-in period of restricted shares, which is more conducive to supporting the stock price with the decentralized ownership structure as we usually know. On the contrary, this paper argues that the reason for this deviation lies in the fact that Herfindah 1-5 is chosen as an indicator of the degree of ownership concentration. If there is no "one-share-dominant" ownership structure and minority shareholders basically do not participate in corporate governance, the equity structure of the top five shareholders which checks and balances each other is also conducive to the company's share price. As a result, there is a positive change in cumulative abnormal returns and ownership concentration.
3. In order to accurately measure the elasticity of stock demand in China's A-share market, this paper establishes a multivariate regression model with liquidity-improving demand proxy variables. The model considers that the impact of supply on stock price is affected by liquidity-improving effect and impact degree, while the traditional model only considers the impact range. This paper compares the model A with the traditional model B. The empirical results show that the model A with liquidity improvement has a higher degree of fitting to the sample data. The paper also tests the robustness of the model. The elasticity of stock demand is -55.48, which supports the hypothesis of limited stock demand elasticity.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
本文编号：2195610
[Abstract]:On May 18, 2006, the China Securities Regulatory Commission (CSRC) issued the Regulations on the Management of Initial Public Issuance and Listing, marking the formal opening of the era of full circulation of A shares in China. With reference to international conventions, the supply shocks to the secondary market caused by general issuance restrict the time of circulation of some stocks issued by IPO companies, i.e. these stocks have a certain period of lock-in and can be listed and circulated only after the expiration of the period. How will the circulation of these stocks affect the stock price and turnover, in particular It is the placement object (inquiry object and strategic investor) that holds the restricted shares that will have what kind of impact on the market. This paper focuses on the placement object of restricted shares lifted because the holders of such restricted shares have a stronger willingness to sell after the lock-in period is lifted, and the impact on the market is greater.
Therefore, through the preliminary statistical analysis of the sample stocks and the establishment of multiple regression analysis, this paper examines the Price-Volume effect of the lifting of the ban on the IPO placement of restricted stocks of listed companies, and the impact of the listed companies on the stock market, the size of the company, the market environment, operating performance, and the governance structure of these angles to cause such prices and This paper makes qualitative and quantitative analysis on the causes of abnormal volume changes, and finally extends the problem to the proposition of stock demand elasticity to measure the demand elasticity of A-share market.
Based on the above research purposes, the following research framework has been established.
The first chapter is the introduction, which mainly explains the research problems, the background, the purpose and significance of the research, and the research ideas and methods of the proposition of the lifting of the ban on the allotment and restricted stock. Finally, it points out the innovation and shortcomings of this paper.
The second chapter is the definition of restricted shares and related literature review. This chapter introduces the relevant knowledge of the lifting of restricted shares from the development of China's capital market, the reform of non-tradable shares, the full circulation of shares and the related concepts of the lifting of restricted shares, and then summarizes the international and domestic research results of related events.
Chapter 3 is a preliminary statistical analysis of the impact of the lifting of the ban on restricted shares in the Shanghai Stock Exchange. This chapter gives a brief introduction to the event research methods and sample selection, and makes a statistical analysis of the whole sample and the sub-sample after grouping to study the factors affecting the lock-in period effect of restricted shares.
The fourth chapter is the regression analysis of the lifting of the IPO restricted stock ban on the Shanghai Stock Exchange. After elaborating the theoretical basis of the proposed model, this chapter constructs a multivariate linear regression model including the flow improvement agent variables, and analyzes the regression results statistically and economically. At last, it measures the stock demand of the A-share market in China. Elasticity.
The fifth chapter is the research conclusion and policy suggestion. This chapter summarizes the research conclusion of this paper, and gives relevant policy suggestions from the perspective of regulators, decision makers of listed companies, institutional investors and ordinary investors.
The innovation of this paper lies in the establishment of an empirical model to study the elasticity of stock demand. When the stock market is impacted by supply, on the one hand, the increase of supply will make the supply curve move to the right, so that the price will fall and the turnover will increase, that is, there will be negative abnormal return and positive abnormal turnover; on the other hand, the stock supply will move to the right. The increase of stock liquidity will increase the demand for stocks, and the demand curve will move to the right, so that the price will rise and the turnover will increase, that is, there will be positive abnormal returns and positive abnormal turnover. This paper applies this theory to the model and introduces the proxy variable of liquidity improvement, short-term abnormal turnover (SAV), to measure the increase of demand caused by liquidity improvement.
In addition to the analysis of the whole sample, this paper also classifies the sample stocks according to the pressure of expansion, company size, market environment and operating performance, and analyzes the impact of different factors on the lifting of the ban on allotment restricted shares.
Through a series of research and analysis, the following conclusions can be drawn:
1. The lifting of IPO placement restrictions has a significant release effect of lock-in period. The whole sample statistics show that there are significant negative abnormal returns before and after the release of lock-in period. From T-3 to T-3, the average cumulative abnormal returns reach - 4.57%. The cumulative abnormal returns are not reversed during the study window period. On the day of the release of the lock-in period, a significant daily abnormal yield of - 2.19% was observed. At the same time, the volume was abnormally enlarged. The mean value of abnormal volume reached 177.1%, and 17.55% long-term abnormal volume appeared after the release of the lock-in period.
Since the information about the lifting of IPO lock-in period is clearly disclosed in the prospectus and the public announcement, the arrival of the lifting of the ban on restricted shares does not convey new information to the market, so the price effect can be regarded as non-information. Price pressure theory, transaction cost hypothesis, liquidity effect and limited stock demand elasticity hypothesis.
2, through statistical analysis and regression analysis of grouped samples, we can observe:
(1) The cumulative abnormal rate of return and the degree of supply shocks change in the opposite direction. That is to say, the larger the ban is, the more obvious the stock price drops, and the lower the cumulative abnormal rate of return in the study window period, and vice versa.
(2) The cumulative abnormal returns are positively correlated with the size of listed companies (expressed as the initial size). That is, the larger the size of listed companies, the higher the cumulative abnormal returns during the study window, and vice versa. The reason is that the larger the issuing scale of new shares, to some extent, the stronger the company's strength, the ability to maintain the stability of stock prices. The stronger the cumulative abnormal returns, the more limited.
(3) In the bull market, the cumulative abnormal rate of return is lower than in the bear market, showing a more serious negative cumulative abnormal rate of return.
(4) The operating performance of a company changes in the opposite direction to the stock price, which is contrary to the traditional theory. This paper holds that this result can be explained by Merton (1987) on the relationship between the operating condition of the company and the expected return, and the expected return and the cumulative abnormal return, that is, the better the operating condition of the company, the investors'expected return on the stock. The higher the rate, the lower the cumulative abnormal rate of return, and vice versa.
(5) The cumulative abnormal return is positively related to the degree of ownership concentration of listed companies, that is, the higher the degree of ownership concentration within a certain range, the higher the cumulative abnormal return before and after the release of the lock-in period of restricted shares, which is more conducive to supporting the stock price with the decentralized ownership structure as we usually know. On the contrary, this paper argues that the reason for this deviation lies in the fact that Herfindah 1-5 is chosen as an indicator of the degree of ownership concentration. If there is no "one-share-dominant" ownership structure and minority shareholders basically do not participate in corporate governance, the equity structure of the top five shareholders which checks and balances each other is also conducive to the company's share price. As a result, there is a positive change in cumulative abnormal returns and ownership concentration.
3. In order to accurately measure the elasticity of stock demand in China's A-share market, this paper establishes a multivariate regression model with liquidity-improving demand proxy variables. The model considers that the impact of supply on stock price is affected by liquidity-improving effect and impact degree, while the traditional model only considers the impact range. This paper compares the model A with the traditional model B. The empirical results show that the model A with liquidity improvement has a higher degree of fitting to the sample data. The paper also tests the robustness of the model. The elasticity of stock demand is -55.48, which supports the hypothesis of limited stock demand elasticity.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
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