基于投资者有限注意的限售股解禁研究

发布时间：2018-09-08 13:06

【摘要】：基于保护国有资产和掌握控股权目的的股权分置设计,一方面孕育了中国的资本市场,另一方面却日渐成为资本市场发挥资源配置和资金融通作用的束缚。为了中国资本市场持续健康发展,证监会于2005年4月29日启动了股权分置改革,这意味着占总股本近三分之二的非流通股要陆续上市流通,股市面临巨大的扩容压力。从至此以后,股改限售股的解禁成为国内广大学者热衷讨论和研究的问题。短短几年里,相关研究的文献逐渐丰富,研究的内容主要侧重于限售股解禁是否冲击市场、是否影响个股收益以及相关影响因素的研究；而研究方法则采用规范的描述性分析和以事件分析法为代表的实证分析。普遍的观点是,限售股解禁的确给市场走势及个股价格带了显著的负向冲击。原因有二：第一是投资者预期限售股解禁后将有大量股票流通上市因为恐慌提前抛售形成的短期供给压力,第二则是因为向下倾斜的需求曲线意味着股票供给的增加将导致股价永久性下跌。国内学者将此二者简称为提前反应和减持效应。然而,在实证研究中学者们也发现限售股票在解禁前期会出现显著为正的异常收益,对于这种明显违背提前反应和减持效应理论的现象,他们并没有给出合理的解释,只是以“悖论”概而言之。时至今日,股权分置改革已然被堆叠进历史的橱柜,股改限售股的解禁也已基本完成。由其引起的问题与矛盾固然值得研究,但也必将远去。相反,就目前而言IPO首发限售股将成为市场上最主要的限售股,并且会伴随着证券市场的不断发展而一直存在。事实上,随着股改限售股的减少和不断的新股IPO,自2009年起首发限售股在限售股中的比重远远超过了股改限售股,成为市场面临的最大的解禁压力。因此,本文借鉴前人对于股改限售股解禁的研究理论与方法主要对我国创业板市场的IPO限售股解禁的价格效应进行了分析。通过典型事件分析法,我们发现创业板限售股在解禁前存在显著为正的累积异常收益。而这正是本文研究的逻辑起点,基于传统理论在价格下行压力之下探讨是何种因素导致这种出人意料的正的超额收益。行为金融中的有限注意理论认为,个体投资者在决策时倾向于选择引起自己注意的股票,并由此产生净的买入行为从而形成价格上升压力。这正好为我们研究的问题提供了新的视角。本文引入行为金融学有限注意的理论,并以百度指数作为其代理变量来衡量投资者对具体某只股票的注意程度。通过对创业板2011年至2013年的473次解禁事件样本的研究,对投资者购买决策中的有限注意行为进行了考察,在提出假设的基础上构建模型进行实证检验。本文主要结论如下：第一,在衡量投资者注意程度的代理变量选择上,百度指数要优于媒体资讯等其他变量,是目前投资者注意程度最好的代理指标。在关于有限注意理论的研究中,投资者注意程度的衡量一直是难点。本文基于创业板的投资主体和上市主体特点,选择了百度指数作为投资者注意的代理变量。我们认为建立于百度搜索基础上的百度指数更加符合注意行为的主动性,也符合现代信息获取的方式,能够有效描述与刻画投资者对某只股票的注意程度。第二,在实证研究中,百度指数衡量的投资者注意程度很好地解释了创业板股票解禁前所产生的显著为正的异常收益。个股的成交量和换手率等市场指标与用百度指数衡量的投资者对个股的注意程度,在限售股解禁的前期都有显著地正向变化。在对它们进行的回归分析中,也发现他们之间存在显著地正向相关关系。据此,我们通过实证验证了投资者注意确实能引起净的购买行为从而产生正的价格压力。这也解释了为什么在解禁后的供给压力之下,为什么个股依然存在显著为正的异常收益。第三,为了全面考察限售股解禁前存在异常收益的影响因素,公司财务特征和治理特征的指标被加入模型,但其回归结果并不显著。这说明在有限注意之下,投资者更加注重市场与行业等宏观、整体层面的信息而忽视公司基本面的信息,进一步提高了投资者注意程度对股票解禁前异常收益的解释力度。同时,我们还发现市场情绪能够通过投资者有限注意的投资决策机制强化对股票价格的影响,具体表现为投资情绪高涨时会对股票倾注更多注意从而发生更多的买入行为。第四,不可否认,在实证中限售股的解禁比例被发现对股票解禁前的异常收益有着显著地负向冲击,然而这并不影响反而是更加有力地证明了我们的结论,即投资者注意是解释限售股解禁前存在正的异常收益的最重要的影响因素。或者更一般性的结论为,投资者对某只股票的注意程度与其收益成正向相关。总之,我们可以看到有限注意理论很好地解释了限售股票在解禁前存在的正的累积异常收益,并通过实证得到了投资者注意程度与股票收益之间的相关关系。因此,我们可以利用投资者对某只股票注意程度的变化进行买入策略以赚取超额收益。事实上本文更大的意义在于,有限注意可以脱离解禁事件本身而拓展开去。虽然事实上引起投资者注意的原因很多,但这并不是最重要的；重要的是投资者的注意能够引起购买冲动从而造成价格的上升。因此,我们只需找到一个能精确有效衡量投资者注意程度的中间变量,跟踪其变化趋势,然后决定我们的买进卖出的投资策略以期获得超额回报。本文认为作为衡量投资者注意程度的变量百度指数更新即时且极易获得,使得跟踪其指数变化的投资策略具有一定的可操作性。
[Abstract]:On the one hand, the design of non-tradable shares based on the purpose of protecting state-owned assets and holding controlling rights has bred China's capital market, on the other hand, it has become a constraint for the capital market to play the role of resource allocation and financing. This means that non-tradable shares, which account for nearly two-thirds of the total stock capital, will be listed and circulated one after another, and the stock market is facing enormous pressure to expand its capacity. Whether the ban will impact the market, whether it will affect individual stock returns and related factors are studied, while the research methods are normative descriptive analysis and empirical analysis represented by event analysis.
The general view is that the lifting of the restricted shares does have a significant negative impact on market trends and individual stock prices. The first is that investors expect a large number of shares to go public after the lifting of the restricted shares because of the short-term supply pressure caused by panic selling ahead of time, and the second is that the downward sloping demand curve means stocks. However, in empirical studies, scholars have also found that there will be significant positive abnormal returns in the early period of the lifting of the ban on restricted shares, and they have not given the phenomenon of obvious violation of the theory of early response and holding effect. A reasonable explanation is only a generalization of "paradox".
Today, the reform of non-tradable shares has been stacked into the cabinet of history, and the lifting of the ban on restricted shares has been basically completed. In fact, with the reduction of restricted shares and the continuous IPO of new shares, the proportion of initial restricted shares in restricted shares since 2009 has far exceeded that of restricted shares, which has become the biggest pressure on the market to lift the ban.
Therefore, this paper mainly analyzes the price effect of IPO restricted shares lifting in the GEM market by referring to the research theories and methods of the predecessors. Through the typical event analysis, we find that the GEM restricted shares have significant positive cumulative abnormal returns before lifting the ban. This is the logic of this paper. The starting point is to explore what causes this unexpectedly positive excess return based on traditional theories under downward pressure on prices.
Limited Attention Theory in Behavioral Finance holds that individual investors tend to choose stocks that attract their own attention when making decisions, and thus generate net buying behavior which results in price pressure. This provides a new perspective for our research. This paper introduces Limited Attention Theory in Behavioral Finance and uses Baidu Index. As a proxy variable to measure the degree of investor's attention to a specific stock, this paper investigates the limited attention behavior of investors in purchasing decision-making through 473 samples of the lifting ban events of GEM from 2011 to 2013, and constructs an empirical test on the basis of hypothesis.
The main conclusions are as follows:
Firstly, Baidu index is superior to other variables such as media information in the choice of proxy variables to measure the degree of investor attention. It is the best proxy index to measure the degree of investor attention. We believe that the Baidu index based on Baidu search is more in line with the initiative of attention behavior and the way of modern information acquisition. It can effectively describe and describe the degree of investors'attention to a stock.
Second, in the empirical study, the attention of investors measured by Baidu index well explains the significant positive abnormal returns before the lifting of the ban on GEM stocks. In the regression analysis, we also find that there is a significant positive correlation between them. Based on this, we verify that investors'attention can indeed lead to net purchasing behavior and thus generate positive price pressure. This also explains why individual stocks remain under the pressure of supply after the lifting of the ban. There are significant positive abnormal returns.
Thirdly, in order to investigate the influencing factors of abnormal returns before the lifting of restricted shares, the indexes of financial characteristics and corporate governance characteristics are added to the model, but the regression results are not significant. At the same time, we also find that market sentiment can strengthen the impact on stock prices by investor's limited attention investment decision-making mechanism, which is manifested in the fact that when investment sentiment is high, more attention will be paid to the stock and more buying will occur. Behavior.
Fourthly, it is undeniable that the proportion of restricted shares is found to have a significant negative impact on the abnormal returns before the lifting of the ban. However, this does not affect the abnormal returns, but more strongly proves our conclusion that investor attention is the most important factor to explain the positive abnormal returns before the lifting of the ban. A more general conclusion is that investors' attention to a stock is positively related to their earnings.
In a word, we can see that the theory of limited attention explains the positive cumulative abnormal returns of restricted stock well before the ban is lifted, and the correlation between the degree of investor's attention and the stock's return is obtained by empirical analysis. Excess returns. In fact, the greater significance of this article is that limited attention can be extended beyond the lifting of the ban itself. Although there are many reasons to attract investors'attention, this is not the most important thing; the important thing is that investors' attention can arouse the impulse to buy and cause prices to rise. An intermediate variable that can accurately and effectively measure investor's attention, track its changing trend, and then determine our buying and selling investment strategy in order to obtain excess returns. It has a certain maneuverability.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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