限售股流通与股价效应关系的实证研究  

Empirical Study on Relationship between Restricted Share’s Circulation and Stock Price Effect

作　　者：冯玲[1] 

机构地区：[1]福州大学财金系,福州350002

出　　处：《技术经济》2008年第9期98-104,共7页Journal of Technology Economics

基　　金：国家教育部人文社科研究2005年度规划基金项目(05JA790016);福建省科技厅2006年软科学重点项目(2006R0023);福建省2007年度新世纪优秀人才支持计划(闽教科文[2007]20号)

摘　　要：本文运用事件研究法对限售股上市流通的股价效应进行了实证研究。研究结果表明:限售股的上市流通带来负的股价效应;样本公司的特征及股票的交易特性显著影响股价效应;在累积超额收益率为正的样本中,累积超额收益率与净资产收益率负相关,与区间日均股票换手率、股票每股收益正相关;在累积超额收益率为负的样本中,累积超额收益率与IPO到限售流通股上市流通的时间、账面市值比、区间日均成交量负相关。This paper empirically studies the stock price effect of restricted share＇s circulation by using the event study. The result shows that, the circulation of restricted share causes a negative effect of stock price; firm-specific and stock＇s trading features have significant effect on the stock price effect;in the samples of listed companies with positive cumulative abnormal return, cumulative average abnormal return is negative correlation with return on equity,and is positive correlation with the inter-zone average turnover ratio and book to price ratio;in the samples of listed companies with negative cumulative abnormal return,cumulative average abnormal return is negative correlation with time, book to price ratio and inter-zone average trading volume.

关 键 词：限售股 股票流通 股价效应 事件研究法 

分 类 号：F832.51[经济管理—金融学]