创业板IP0限售股解禁效应的实证分析

发布时间：2018-01-02 08:05

本文关键词：创业板IP0限售股解禁效应的实证分析　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：在古典金融理论体系中,一个基本假设是每个资产都有完美替代物,风险相同的资产应该具有同等的收益率。从这一假设出发,有效市场理论的推论就是股票需求曲线是水平的或几乎是水平的。但现实中的金融市场并不完美。单个金融资产的需求弹性可能并非是无限的。为探究这一问题,本文以创业板IPO限售股解禁事件为研究对象,选用异常收益率、异常交易量、非流动比率等指标,对解禁后的价格效应、交易量效应、信息效应、流动性效应、投资者认知效应进行了全面分析,发现以上效应均存在。在D-7日至D+6日间,非询价对象累计异常收益率为-1.97%,在1%的水平下显著；解禁后交易量永久性增长80%"100%；限售股上市流通前后各两个月内,各机构对每股收益的预测值下调了21.61%；解禁后投资者数量增加,影子成本下降。在对子样本的进一步研究中,我们看到,不同市场状态下,不同持股对象在解禁时的表现是有差异的；是否为高新技术企业、解禁限售股是否包含风险投资则对解禁效应无影响。在对价格效应的回归分析中,我们得到供给冲击的价格反应强度为0.025,在1%的水平下显著,同时流动性指标(SAAV)、信息效应指标(INFO)的回归系数也均显著。说明累计异常收益率不能完全被信息效应、流动性效应所解释,其中部分异常收益应归因于供给冲击,短期股票需求曲线弹性有限。在解禁后两个月内,价格未出现反转,说明长期股票需求弹性有限。创业板非询价对象的解禁效应支持信息假说、流动性假说、向下倾斜需求曲线假说。在与主板市场、中小板市场的对比分析中,我们看到中小板市场的价格效应十分特别,无论是询价对象还是非询价对象,均表现出强反弹趋势,因此除价格压力假说成立外,不能判断其他假说是否成立。而在主板市场上,1年期对象的解禁效应支持流动性假说、向下倾斜需求曲线假说,3年期对象的解禁效应仅支持流动性假说。基于上述研究结论,本文从监管者、公司决策者、投资者三个层面提出了政策建议。
[Abstract]:In the classical financial theory system, a basic assumption is that every asset has a perfect substitute, and the asset with the same risk should have the same yield. The corollary of efficient market theory is that the stock demand curve is horizontal or almost horizontal. But the real financial market is not perfect. The demand elasticity of individual financial assets may not be unlimited. . In this paper, the gem IPO restricted share release as the research object, select abnormal return rate, abnormal trading volume, non-current ratio and other indicators to the price effect, trading volume effect, information effect after the lifting of the ban. The liquidity effect and investors' cognitive effect are analyzed comprehensively and the above effects are found. Between D-7 and D 6th, the accumulative abnormal return rate of non-inquiry objects is -1.97%. At the level of 1%; After the lifting of the ban, the volume of trading volume increased permanently by 80% "100"; Within two months before and after the circulation of restricted shares, the forecast value of earnings per share was reduced by 21.61%. After the lifting of the ban, the number of investors increased and the shadow cost decreased. In the further study of sub-samples, we can see that the performance of different shareholding objects is different when the ban is lifted under different market conditions; Whether it is a high-tech enterprise or not, whether the release of restricted shares includes venture capital has no effect on the effect of lifting the ban. In the regression analysis of price effect, we get the price response intensity of supply shock is 0.025. At the level of 1%, the regression coefficients of liquidity index, information effect index and information effect index are significant, which indicates that the cumulative abnormal return rate can not be completely affected by information effect. As explained by the liquidity effect, some of the abnormal returns are due to supply shocks, and the short-term demand curve has limited elasticity. Within two months after the lifting of the ban, prices did not reverse. It shows that the long-term stock demand elasticity is limited. The lifting effect of gem non-inquiry object supports the information hypothesis, liquidity hypothesis, downward tilt demand curve hypothesis. In the comparative analysis with the main board market, small and medium-sized board market. We see that the price effect of the small and medium-sized board market is very special, whether the inquiry object or non-inquiry object, all show a strong rebound trend, so in addition to the price pressure hypothesis is established. It is impossible to judge whether other hypotheses are valid. In the main board market, the lifting effect of one-year objects supports the liquidity hypothesis and the downward tilt demand curve hypothesis. Based on the above conclusions, this paper puts forward policy recommendations from three levels: regulators, firm decision makers and investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【相似文献】