创业板上市公司限售股解禁的市场反应研究

发布时间：2018-03-31 21:51

本文选题：创业板　切入点：限售股解禁　出处：《复旦大学》2014年硕士论文

【摘要】：本文以创业板首发原始股东限售股解禁为研究对象,着重观察解禁发生前后的市场反应变化,并以累积超额收益率作为市场反应的代表,通过博弈模型、描述性统计、计量模型对其发生变化的原因进行分析。创业板上市公司的解禁事件会对市场造成负面冲击,观察期累积超额收益率以下跌为主,且解禁前跌幅大于解禁后,解禁当天则会有明显反弹。创业板解禁前10日累积CAR显著为负(-1.85%),体现了流通股股东视解禁事件为“利空”因素,并提前做出防御反应。总体上,解禁比例越高,异常下跌幅度越大,强市表现显著好于弱市。流通股股东更害怕高管、PE解禁后套现,因而非控股股东限售股解禁时跌幅较明显。此外,券商一致看好且估值较高的公司表现也相对抗跌。创业板解禁日CAR值为正(0.72%),且与券商评级显著相关,评级越高,涨幅越高。创业板解禁后20日累积CAR值为负(-0.95%),体现了限售股股东解禁后开始抛售其股票,部分流通股股东也会选择卖出。总体上,CAR值与券商评级正相关,与PE值负相关,同样市场一致看好且估值较高的公司表现也相对抗跌。弱市表现明显好于强市,可解释为限售股股东更倾向于在股价高、买盘强烈的强市市场套现。非控股的限售股股东套现欲望强烈,解禁后跌幅较大；而控股股东则因维护股价、保持控制权等因素,解禁后股价往往保持稳定乃至微涨。解禁比例大小对市场反应的影响不成线性,30%以上的大比例解禁以及5-10%的中小比例解禁引起的跌幅较大。解禁市值则因其体量普遍相对较小,对市场冲击微弱,但在少数30亿以上的巨额解禁样本中,股价跌幅明显较大。
[Abstract]:This paper focuses on observing the changes of market reaction before and after the release of gem initial restricted shares, and taking cumulative excess return as the representative of market response, through game model, descriptive statistics. The reason of the change is analyzed by the econometric model. The release of gem companies will have a negative impact on the market. The cumulative excess returns in the observation period mainly fall, and the decline before the lifting of the ban is greater than that after the lifting of the ban. On the day of lifting the ban, there will be an obvious rebound. The accumulated CAR on the 10th day before the lifting of the ban on the gem was significantly negative -1.85, reflecting the fact that the floating stock shareholders regarded the lifting of the ban as a "bad" factor and made a defensive response in advance. In general, the proportion of lifting the ban was higher. The greater the extent of the abnormal decline, the stronger the strong market performed significantly better than the weaker market. Tradable stock shareholders were more afraid of the executive being able to cash out after the lifting of the ban, so the decline of non-controlling shareholders was more obvious when the restrictions were lifted. In addition, The CAR value of the gem on the day of lifting the ban is positive 0.72%, and significantly related to the securities rating, the higher the rating, The higher the increase, the higher the increase. The accumulative CAR value on the 20th day after the lifting of the ban on the gem is negative-0. 95%, which shows that the shareholders of restricted stocks begin to sell their shares after lifting the ban, and some of the shareholders of circulating shares will also choose to sell. Generally speaking, the car value is positively related to the rating of securities firms, and negatively related to PE value. Similarly, companies that are consistently bullish and highly valued are also fighting off the decline. Weak markets are significantly better than strong ones, which can be explained by the fact that restricted share holders tend to have higher stock prices. A strong market with strong buying orders to cash out. Non-holding restricted share holders have a strong desire to cash in, but after lifting the ban, the decline is large; while the controlling shareholders, for example, maintain the stock price and maintain control rights. After the lifting of the ban, stock prices tend to remain stable and even rise slightly. The effect of the lifting proportion on the market response is not linear, more than 30% of the lifting of the ban and a large proportion of 5-10% of the lifting of the ban has caused a larger decline. Market value, because of its general relatively small size, Weak impact to the market, but in a small number of large lifting of the ban of more than 3 billion samples, the stock price fell significantly.
【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

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