本文選題：IPO鎖定期 + 博弈論�。� 參考：《寧波大學(xué)》2013年碩士論文

【摘要】：本文從理論和實(shí)證的角度分別闡述IPO鎖定期解除對(duì)中國A股市場影響的內(nèi)在機(jī)理和外在表現(xiàn)，基于研究中發(fā)現(xiàn)的問題提出政策建議。 在理論部分的研究中，本文把IPO鎖定期解除前后的投資博弈主體分為IPO限售股股東、長期投資者和短期投資者三種類型，通過分析各類投資者的行為模式（偏好）確定各自的效用函數(shù)，構(gòu)建完全信息的靜態(tài)博弈模型、不完全信息的靜態(tài)博弈模型、不完全信息的動(dòng)態(tài)博弈模型，分析三類投資者在各種假設(shè)條件下滿足效用最大化原則的投資策略。 在實(shí)證部分的研究中，本文首先回歸分析IPO鎖定期解除對(duì)中國A股指數(shù)的影響，接著通過事件研究法分析IPO鎖定期解除和IPO鎖定期解除前后原始股東股份變動(dòng)對(duì)股價(jià)的影響，然后比較IPO鎖定期解除前是否存在增持行為對(duì)IPO鎖定期解除前后股價(jià)影響的差異，最后比較IPO鎖定期解除和IPO鎖定期解除后原始股東減持對(duì)股價(jià)影響的差異。 在政策建議部分，本文從延長鎖定期限、加強(qiáng)信息披露、增加減持限制、調(diào)整融資結(jié)構(gòu)、鼓勵(lì)兼并重組等角度分別進(jìn)行相關(guān)闡述。 本文主要的研究結(jié)論有： （1）IPO鎖定期為3年以下的股票解禁數(shù)量和市值是股指波動(dòng)的重要原因。 （2）IPO鎖定期解除事件在較短時(shí)間內(nèi)對(duì)股價(jià)具有明顯的負(fù)效應(yīng)，其影響主要集中在IPO鎖定期解除前。 （3）解禁市值、股票估值和解禁股東數(shù)量在IPO鎖定期解除前后與股票的CAR（累計(jì)異常收益）負(fù)相關(guān)；控股股東解禁股票在IPO鎖定期解除后有較高的CAR；解禁股份占該公司總股本比例較高時(shí)，IPO鎖定期解除前股票的CAR較低，，IPO鎖定期解除后股票的CAR較高。 （4）IPO鎖定期解除前的增持行為會(huì)使個(gè)股股價(jià)在事件日前后劇烈波動(dòng)。 （5）相比于IPO鎖定期解除事件，原始股東在IPO鎖定期解除后的減持行為會(huì)給個(gè)股股價(jià)帶來更大更久的負(fù)面影響。
[Abstract]:In this paper, the internal mechanism and external performance of IPO lockout on Chinese A-share market are discussed from the theoretical and empirical perspectives, and some policy suggestions are put forward based on the problems found in the research. In the theoretical part of the study, this paper divides the investors before and after the release of IPO lockout into three types: shareholders, long-term investors and short-term investors. By analyzing the behavior patterns (preferences) of various investors to determine their utility functions, a static game model with complete information and a dynamic game model with incomplete information are constructed. This paper analyzes the investment strategies of three types of investors which satisfy the principle of utility maximization under various assumptions. In the empirical part of the study, this paper first regression analysis of the impact of IPO lockout on China A-share index, and then through the event research method to analyze the stock price changes of original shareholders before and after the release of IPO lockout and IPO lockout. Then we compare the difference of the stock price before and after the IPO lock release, and finally compare the difference between the original shareholder reduction and the stock price after the IPO lock release and the IPO lock release. In the part of policy suggestion, this paper elaborates separately from the angles of prolonging the locking period, strengthening information disclosure, increasing the restriction of reducing holdings, adjusting the financing structure, encouraging mergers and acquisitions, and so on. The main conclusions of this paper are as follows: the number of stocks whose lock-up period is less than 3 years and the market value are the important reasons of stock index fluctuation. The impact is mainly before the release of the lock period. (3) lifting the ban on market value. The stock valuation and the number of shareholders before and after the release of the lockout period are negatively correlated with the cumulative abnormal return of the stock. The controlling shareholder has higher CARs after the release of IPO lock; When the proportion of shares released to the total share capital of the company is high, the car of stocks before the IPO lockout is lower and the car of the stock after the release of the IPO lock is higher. The behavior of increasing the holdings before the release of the IPO lock will cause the stock price to increase before the event day. Compared with the IPO lockout event, The initial shareholder's reduction after the IPO lockout will have a bigger and longer negative impact on the stock price.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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