禁售期设置、大宗交易折价与合谋——来自“减持新规”的经验证据  

Lock-up Provisions, Block Transaction Discount and Collusion——Evidence from‘New Regulation on Insider Selling’

作　　者：曾庆生[1,2] 殷媛 Zeng Qingsheng;Yin Yuan

机构地区：[1]上海财经大学会计与财务研究院 [2]上海财经大学会计学院,200433

出　　处：《会计研究》2022年第4期41-52,共12页Accounting Research

基　　金：国家自然科学基金重点项目(71632006);高等学校学科创新引智计划项目(B18033);教育部人文社会科学重点研究基地重大项目;上海财经大学研究生创新基金项目(CXJJ-2021-303)资助

摘　　要：本文研究了“减持新规”对大股东通过大宗交易减持的受让方股份设置禁售期的经济后果。研究发现,减持新规实施后,大宗交易折价率显著扩大;同时,折价率越低,公司在受让方股份解禁前的季度盈余管理程度越高;进一步,受让方股份可交易的前半年内公司股价崩盘风险更高,且与解禁前的季度盈余管理水平显著正相关。这表明禁售期设置使得出让方面临更大的折价损失,出让方为缓解折价损失与受让方进行了合谋,即允诺后者在其股票解禁前通过盈余管理为其减持造势,以换取更小的交易折价;而该行为加大了公司股价崩盘风险。本文揭示了禁售期设置的负效应,不仅为投资者理解禁售期设置提供新视角,而且为市场监管部门完善大宗交易制度提供借鉴。This study investigates the economic consequences of the“New Regulation on Insider Selling”,which impose a lock-up period on transferees’shares obtained from large shareholders’shareholding reduction through block trading.We find that the discount rate increases significantly after the implementation of the New Regulation.Meanwhile,the lower the discount rate,the higher the earnings management in the latest quarterly report before the end of lock-up period.We further find that the stock crash risk during the first half of the allowed trading period is higher,and it is positively related with quarterly earnings management before the end of lock-up period.The empirical results indicate that the lock-up make transferors suffer larger discount and they may conspire with transferees by promising a positive share price momentum through earnings management before the end of lock-up,in exchange for a smaller discount.The study illustrates that the lock-up period has negative effects,which is not only useful for investors to better understand the impact of lock-up,but also meaningful for regulators to improve the block trading regulations.

关 键 词：大宗交易 禁售期 盈余管理 崩盘风险 

分 类 号：F832.51[经济管理—金融学]