大宗交易、券商声誉与首发限售股解禁  

Block Trading,Underwriter Reputation and Unlock of Initial Restricted Shares

作　　者：李然 Li Ran(School of Accounting,Zhongnan University of Economics and Law,Wuhan 430073,China)

机构地区：[1]中南财经政法大学会计学院

出　　处：《中南财经政法大学研究生学报》2018年第5期45-54,共10页Journal of the Postgraduate of Zhongnan University of Economics and Law

摘　　要：2017年5月以来发生的一系列因为限售股解禁导致的公司股价崩盘事件引起了证监会的注意,为限制大股东通过＂大宗交易＂过桥减持,证监会于5月27日颁布了《减持新规》。材料选取了2009年至2017年6月4日A股市场上所有的首发限售股解禁的事件,采取事件研究法和横截面回归进行分析。事件研究法分析发现大宗交易会导致首发限售股解禁期间股价下降幅度更大,解禁日之后价格反弹的幅度更小;券商声誉会削弱大宗交易对公司股价造成的负面效应。横截面回归得出的结论是大宗交易金额与事件窗口期的累计异常报酬呈显著负相关,而券商声誉与大宗交易额的交乘项与事件窗口期的累计异常报酬率显著正相关,验证了分组事件研究法得出的结论。Lots of company＇s stock price has been decreased largely because of unlock of non-tradable shares since May. It caused the attentions of China Securities Regulatory Commission. In order to avoid the stock crash,China Securities Regulatory Commission issued ‘The guide to stock reduction＇ at May27 th 2017. This paper selected the all the cases of unlock of initial restricted shares. Then this paper do researches by case study and cross-section regression. By case study,this paper found that block trading could aggravate the crash of stock price and underwriter reputation could slow down this decreasing. By cross-section regression,this paper got conclusions that block trading has negative relationship with the stock price and underwriter reputation has positive relationship with the stock price,which prove the finds got by case study.

关 键 词：大宗交易 券商声誉 首发限售股解禁 

分 类 号：F832.51[经济管理—金融学]