限售股解禁的价格效应研究  

The Price Impact of the Lockup Expiration of Non-tradable Shares

作　　者：黄张凯[1] 赵龙凯[2] 祖国鹏[2] 

机构地区：[1]清华大学经济管理学院,北京100084 [2]北京大学光华管理学院,北京100871

出　　处：《金融研究》2010年第9期129-146,共18页Journal of Financial Research

基　　金：然科学基金项目(项目号70873002和70932002)资助

摘　　要：本文研究了1004家公司限售股解禁的价格效应,研究发现,解禁事件带来显著为负的异常收益,-3至0天的累积异常收益为-1.58%,解禁导致平均换手率增加了20%。进一步分组比较发现,非政府控制的公司以及存在限售自然人股份的公司异常收益明显较低,说明这两类公司解禁股东出售股份更为积极。对于同时有A+H股交叉上市的解禁公司来说,只有A股股票有显著为负的异常收益,进一步说明A股的解禁交易导致了股价下跌。横截面回归的结果显示,异常收益与公司限售国有股比例正相关,与分组比较的结果相符;与套利风险显著负相关,支持了需求曲线向下倾斜的假说。另外,回归结果还显示异常换手率与异常收益正相关,这与股份供给增加导致股价下跌的假设并不一致。This paper studies the price impact of lockup expiration of non-tradable shares of 1004 Chinese companies. It is found that the event has a negative CAR of - 1.58% in a [ -3,0] window. The average turnover has a permanent increase of 20%. Companies controlled by a non-government shareholder and companies with individual holders of non-tradable shares experience larger price drops. A shares show larger price impact than their H share counterparts. These suggest that the trading activities in the A share market following the expiration event lead to the price drop. Regression results show that the negative CAR is positively related to the proportion of government shares and negatively related to the arbitrage risk of the share, supporting a downwardsloping demand curve for stocks. However, the authors also find a positive role of the abnormal turnover, which is inconsistent with the hypothesis that increases in the supply of shares cause the price drop.

关 键 词：股份解禁 异常收益 异常换手率 套利风险 

分 类 号：F224[经济管理—国民经济] F832.51