风险投资、IPO解禁与市场反应研究——来自中国创业板经验数据  

Venture Capital, IPO Lockup Expiration and Market Reaction——Evidence from the GEM in China

作　　者：付朝干[1] 朱建华[2] 

机构地区：[1]广西经济管理干部学院财税金融系 [2]中南大学商学院

出　　处：《投资研究》2015年第9期116-129,共14页Review of Investment Studies

基　　金：国家社科基金项目(12BMZ076);广西高校研究项目(KY2015LX579)对本文的资助

摘　　要：本文研究了创业板IPO首次解禁的市场反应,结果表明：从解禁日前第7天开始累积异常收益率显著为负,解禁造成累积收益率永久下降2%～2.5%。个股价格受到的负向冲击分为解禁日前3天的即期效应和解禁日前7天的综合效应;前者来自于市场预期的自我实现,后者额外受到承销商声誉和公司成长性的影响。解禁期内,风投参与未对股票价格产生显著影响,但风投机构的联合投资对股价产生负面的冲击。此外,券商直投具有传递公司质量的信号作用。We examine stock price reaction to the first expiration of IPO lockup based on the data from GSM in China. Results indicate there are significantly negative cumulative abnormal return from 7 days ahead of the expiration date till the end of the event window. There is a 2% -2.5% permanent drop in the abnormal return. For the individual share price, there are three-day immediate negative effect and seven-day comprehensive negative effect before the expiration date. Both of them are due to the self-fulfillment of expectation. The latter is also influenced by the reputation of underwriter and the Tobin Q. No evidence sup- ports there is difference between the venture-financed firms and non-venture-financed firms in the share price reaction. Howev- er, VC syndication has negative effect on the price before event. Broker direct investment serves as a signal of firm quality.

关 键 词：IPO解禁 市场反应 风险资本 券商直投 

分 类 号：F832.51[经济管理—金融学]