上交所限售股鎖定期解除效應的實證研究
發(fā)布時間：2018-08-21 11:44
【摘要】：2006年5月18日,中國證監(jiān)會發(fā)布的《首次公開發(fā)行并上市管理辦法》,標志著中國A股全流通發(fā)行時代的正式開啟。在全流通發(fā)行的新時期,首次公開發(fā)行的新股上市后不再有流通股和非流通股之分,所有股份都是流通股。但是為了減少全流通發(fā)行對二級市場產(chǎn)生的供給沖擊,參照國際慣例,對IPO公司已發(fā)行的部分股票的上市流通時間給予了一定的約束,即這部分有一定的鎖定期,在期滿后才能上市流通。這類股票的上市流通將對股票價格和成交量產(chǎn)生怎樣的影響,尤其是配售對象(詢價對象和戰(zhàn)略投資者)所持有的限售股的解禁將市場產(chǎn)生怎樣的影響,本文著重研究配售對象限售股解禁的原因在于這類限售股持有者在鎖定期解除后拋售意愿更為強烈,對市場的沖擊程度更大。 因此本文通過對樣本股票的進行初步的統(tǒng)計分析和建立模型進行多元回歸分析,檢驗上市公司IPO配售限售股解禁事件的價量效應,以及從上市公司股票沖擊程度、公司規(guī)模、市場環(huán)境、經(jīng)營業(yè)績、治理結(jié)構(gòu)這幾個角度對引起這種價格和成交量異常變動的原因進行定性和定量分析,最后將問題引申到股票需求彈性這一命題上,測度A股市場的需求彈性。 根據(jù)上文的研究目的,本文的確立了如下的研究框架： 第一章為緒論。該章主要說明本文研究的問題,以及選擇該題目的背景、研究目的與意義,以及對配售限售股解禁這一命題的研究思路和研究方法,最后指出本文的創(chuàng)新之處和不足之處。 第二章為限售股的界定與相關(guān)文獻綜述。該章分別從我國資本市場的發(fā)展歷程、股權(quán)分置改革和全流通發(fā)行以及限售股解禁相關(guān)概念介紹限售股解禁的相關(guān)知識,再對國際國內(nèi)對相關(guān)事件的研究成果進行概述。 第三章為上交所IPO限售股解禁事件影響的初步統(tǒng)計分析,該章對事件研究方法及樣本的選擇進行了簡要的介紹,并且對全樣本和分組后的子樣本進行了統(tǒng)計分析,研究限售股鎖定期效應的影響因素。 第四章為上交所IPO限售股解禁的回歸分析,該章在對詳細闡述了擬建立模型的理論基礎后,構(gòu)建了包含流動改善代理變量的多元線性回歸模型,并對回歸結(jié)果在統(tǒng)計意義上和經(jīng)濟意義上進行了分析,最后測度了我國A股市場的股票需求彈性。 第五章為研究結(jié)論與政策建議,該章對本文的研究結(jié)論進行了綜述,分別從監(jiān)管者、上市公司決策者、機構(gòu)投資者、普通投資者角度給出了相關(guān)的政策建議。 本文的創(chuàng)新之處在于建立了一個對股票需求彈性進行實證研究的模型。當股票市場受到供給沖擊,一方面供給的增加會使供給曲線向右移動,從而使價格下降,成交量增加,即出現(xiàn)負的異常收益率和正的異常成交量；另一方面股票供給的增加會使股票的流動性增強,從而股票的需求增加,股票需求曲線亦向右移動,從而使價格上升,成交量增加,即出現(xiàn)正的異常收益率和正的異常成交量。從上面的分析可以看出,當股票受到供給沖擊時,異常成交量會為正,而異常收益狀況則取決于供給和需求這兩種力量的對比。本文將這一理論運用到模型之中,引入了流動性改善的代理變量—短期異常成交量(SAV)來度量因流動性改善而帶來的需求的增加。 本文除了對全樣本進行分析,還對樣本股票按擴容壓力、公司規(guī)模、市場環(huán)境、經(jīng)營業(yè)績進行了分組,分析不同因素對配售限售股解禁這一事件所產(chǎn)生的影響。并對形成這種現(xiàn)象的原因進行了深入的分析。 通過一系列的研究分析,本文得出以下結(jié)論： 1、IPO配售限售股解禁具有顯著的鎖定期解除效應。對樣本股票的全樣本統(tǒng)計顯示,在鎖定期解除日前后就出現(xiàn)顯著的負的異常收益情況,從T-3日至T3日,平均累積異常收益率達到-4.57%,這一累積異常收益情況在研究窗口期內(nèi)都未出現(xiàn)反轉(zhuǎn)。并且在鎖定期解除日當天,出現(xiàn)了-2.19%的顯著地逐日異常收益率,同時成交量異常放大,異常成交量的均值達到177.1%%,并且在鎖定期解除日后出現(xiàn)了17.55%的長期異常成交量。 由于IPO鎖定期解除的相關(guān)信息在招股說明書和上市公告書等文件中都有明確的披露,限售股解禁日的到來并未給市場傳遞新的信息,因此,這種價量效應可以看作是非信息的。對于這種非信息的價量效應,可能的解釋有買賣價差效應、價格壓力學說、交易成本假說、流動性效應和有限的股票需求彈性假說。 2、通過分組樣本的統(tǒng)計分析和回歸分析結(jié)果,可以觀測到： (1)累積異常收益率與供給沖擊程度成反方向變動。即限售股解禁規(guī)模越大,股票價格下跌越明顯,研究窗口期內(nèi)的累積異常收益率也就越低,反之亦然。 (2)累積異常收益率與上市公司規(guī)模(以首發(fā)規(guī)模表示)呈正相關(guān)關(guān)系。即上市公司規(guī)模越大,研究窗口期內(nèi)的累積異常收益率就越高,反之亦然。原因在于公司新股發(fā)行規(guī)模越大,從一定程度上說明公司實力越強大,其維持股價穩(wěn)定的能力也就越強,累積異常收益率下降水平也就越有限。 (3)在牛市中,累積異常收益率比在熊市中低,表現(xiàn)為更為嚴重的負的累積異常收益率。 (4)公司的經(jīng)營業(yè)績與股票價格成反方向變動,這與傳統(tǒng)理論相背離,本文認為這樣的結(jié)果可由Merton(1987)關(guān)于公司經(jīng)營狀況與預期收益率,以及預期收益率與累積異常收益率的關(guān)系來解釋,即公司經(jīng)營狀況越好,投資者對股票的預期收益率就越高,而預期收益率與累積異常收益率是負向關(guān)系,從而累積異常收益率就越低,反之亦然。 (5)累積異常收益率與上市公司的股權(quán)集中程度成正方向變動關(guān)系,即在一定程度范圍內(nèi)的股權(quán)集中程度越高,在限售股鎖定期解除前后的一段時間內(nèi)累積異常收益率越高,這與我們通常所熟知的分散化的股權(quán)結(jié)構(gòu)更有利支撐股價的理論相反,本文認為出現(xiàn)這種背離的原因在于本文選取的是Herfindah1-5作為股權(quán)集中程度的指標,如果不存在“一股獨大”的股權(quán)結(jié)構(gòu),再加上小股東基本上不參與公司治理,前五大股東之間相互制衡的股權(quán)結(jié)構(gòu)同樣有利于公司股價的上升,所以出現(xiàn)了累積異常收益率與股權(quán)集中程度成正方向變化的結(jié)果。 3、為了準確測量我國A股市場的股票需求彈性,本文建立了一個包含流動性改善需求代理變量的的多元回歸模型,模型認為供給的沖擊使股票價格的變動受到流動性改善效應和沖擊程度兩方面因素的影響,而傳統(tǒng)模型僅考慮了沖擊程度這一因素的影響,本文將包含流動性改善代理變量的模型A與傳統(tǒng)模型B相對比進行分析,實證研究結(jié)果發(fā)現(xiàn)包含流動性改善的模型A對樣本數(shù)據(jù)的擬合程度更高,本文還檢驗了模型的穩(wěn)健性。根據(jù)該模型的實證結(jié)果,測算出我國A股市場的股票需求彈性為-55.48,支持有限的股票需求彈性的假說。
[Abstract]:On May 18, 2006, the China Securities Regulatory Commission (CSRC) issued the Regulations on the Management of Initial Public Issuance and Listing, marking the formal opening of the era of full circulation of A shares in China. With reference to international conventions, the supply shocks to the secondary market caused by general issuance restrict the time of circulation of some stocks issued by IPO companies, i.e. these stocks have a certain period of lock-in and can be listed and circulated only after the expiration of the period. How will the circulation of these stocks affect the stock price and turnover, in particular It is the placement object (inquiry object and strategic investor) that holds the restricted shares that will have what kind of impact on the market. This paper focuses on the placement object of restricted shares lifted because the holders of such restricted shares have a stronger willingness to sell after the lock-in period is lifted, and the impact on the market is greater.
Therefore, through the preliminary statistical analysis of the sample stocks and the establishment of multiple regression analysis, this paper examines the Price-Volume effect of the lifting of the ban on the IPO placement of restricted stocks of listed companies, and the impact of the listed companies on the stock market, the size of the company, the market environment, operating performance, and the governance structure of these angles to cause such prices and This paper makes qualitative and quantitative analysis on the causes of abnormal volume changes, and finally extends the problem to the proposition of stock demand elasticity to measure the demand elasticity of A-share market.
Based on the above research purposes, the following research framework has been established.
The first chapter is the introduction, which mainly explains the research problems, the background, the purpose and significance of the research, and the research ideas and methods of the proposition of the lifting of the ban on the allotment and restricted stock. Finally, it points out the innovation and shortcomings of this paper.
The second chapter is the definition of restricted shares and related literature review. This chapter introduces the relevant knowledge of the lifting of restricted shares from the development of China's capital market, the reform of non-tradable shares, the full circulation of shares and the related concepts of the lifting of restricted shares, and then summarizes the international and domestic research results of related events.
Chapter 3 is a preliminary statistical analysis of the impact of the lifting of the ban on restricted shares in the Shanghai Stock Exchange. This chapter gives a brief introduction to the event research methods and sample selection, and makes a statistical analysis of the whole sample and the sub-sample after grouping to study the factors affecting the lock-in period effect of restricted shares.
The fourth chapter is the regression analysis of the lifting of the IPO restricted stock ban on the Shanghai Stock Exchange. After elaborating the theoretical basis of the proposed model, this chapter constructs a multivariate linear regression model including the flow improvement agent variables, and analyzes the regression results statistically and economically. At last, it measures the stock demand of the A-share market in China. Elasticity.
The fifth chapter is the research conclusion and policy suggestion. This chapter summarizes the research conclusion of this paper, and gives relevant policy suggestions from the perspective of regulators, decision makers of listed companies, institutional investors and ordinary investors.
The innovation of this paper lies in the establishment of an empirical model to study the elasticity of stock demand. When the stock market is impacted by supply, on the one hand, the increase of supply will make the supply curve move to the right, so that the price will fall and the turnover will increase, that is, there will be negative abnormal return and positive abnormal turnover; on the other hand, the stock supply will move to the right. The increase of stock liquidity will increase the demand for stocks, and the demand curve will move to the right, so that the price will rise and the turnover will increase, that is, there will be positive abnormal returns and positive abnormal turnover. This paper applies this theory to the model and introduces the proxy variable of liquidity improvement, short-term abnormal turnover (SAV), to measure the increase of demand caused by liquidity improvement.
In addition to the analysis of the whole sample, this paper also classifies the sample stocks according to the pressure of expansion, company size, market environment and operating performance, and analyzes the impact of different factors on the lifting of the ban on allotment restricted shares.
Through a series of research and analysis, the following conclusions can be drawn:
1. The lifting of IPO placement restrictions has a significant release effect of lock-in period. The whole sample statistics show that there are significant negative abnormal returns before and after the release of lock-in period. From T-3 to T-3, the average cumulative abnormal returns reach - 4.57%. The cumulative abnormal returns are not reversed during the study window period. On the day of the release of the lock-in period, a significant daily abnormal yield of - 2.19% was observed. At the same time, the volume was abnormally enlarged. The mean value of abnormal volume reached 177.1%, and 17.55% long-term abnormal volume appeared after the release of the lock-in period.
Since the information about the lifting of IPO lock-in period is clearly disclosed in the prospectus and the public announcement, the arrival of the lifting of the ban on restricted shares does not convey new information to the market, so the price effect can be regarded as non-information. Price pressure theory, transaction cost hypothesis, liquidity effect and limited stock demand elasticity hypothesis.
2, through statistical analysis and regression analysis of grouped samples, we can observe:
(1) The cumulative abnormal rate of return and the degree of supply shocks change in the opposite direction. That is to say, the larger the ban is, the more obvious the stock price drops, and the lower the cumulative abnormal rate of return in the study window period, and vice versa.
(2) The cumulative abnormal returns are positively correlated with the size of listed companies (expressed as the initial size). That is, the larger the size of listed companies, the higher the cumulative abnormal returns during the study window, and vice versa. The reason is that the larger the issuing scale of new shares, to some extent, the stronger the company's strength, the ability to maintain the stability of stock prices. The stronger the cumulative abnormal returns, the more limited.
(3) In the bull market, the cumulative abnormal rate of return is lower than in the bear market, showing a more serious negative cumulative abnormal rate of return.
(4) The operating performance of a company changes in the opposite direction to the stock price, which is contrary to the traditional theory. This paper holds that this result can be explained by Merton (1987) on the relationship between the operating condition of the company and the expected return, and the expected return and the cumulative abnormal return, that is, the better the operating condition of the company, the investors'expected return on the stock. The higher the rate, the lower the cumulative abnormal rate of return, and vice versa.
(5) The cumulative abnormal return is positively related to the degree of ownership concentration of listed companies, that is, the higher the degree of ownership concentration within a certain range, the higher the cumulative abnormal return before and after the release of the lock-in period of restricted shares, which is more conducive to supporting the stock price with the decentralized ownership structure as we usually know. On the contrary, this paper argues that the reason for this deviation lies in the fact that Herfindah 1-5 is chosen as an indicator of the degree of ownership concentration. If there is no "one-share-dominant" ownership structure and minority shareholders basically do not participate in corporate governance, the equity structure of the top five shareholders which checks and balances each other is also conducive to the company's share price. As a result, there is a positive change in cumulative abnormal returns and ownership concentration.
3. In order to accurately measure the elasticity of stock demand in China's A-share market, this paper establishes a multivariate regression model with liquidity-improving demand proxy variables. The model considers that the impact of supply on stock price is affected by liquidity-improving effect and impact degree, while the traditional model only considers the impact range. This paper compares the model A with the traditional model B. The empirical results show that the model A with liquidity improvement has a higher degree of fitting to the sample data. The paper also tests the robustness of the model. The elasticity of stock demand is -55.48, which supports the hypothesis of limited stock demand elasticity.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51
本文編號：2195610
[Abstract]:On May 18, 2006, the China Securities Regulatory Commission (CSRC) issued the Regulations on the Management of Initial Public Issuance and Listing, marking the formal opening of the era of full circulation of A shares in China. With reference to international conventions, the supply shocks to the secondary market caused by general issuance restrict the time of circulation of some stocks issued by IPO companies, i.e. these stocks have a certain period of lock-in and can be listed and circulated only after the expiration of the period. How will the circulation of these stocks affect the stock price and turnover, in particular It is the placement object (inquiry object and strategic investor) that holds the restricted shares that will have what kind of impact on the market. This paper focuses on the placement object of restricted shares lifted because the holders of such restricted shares have a stronger willingness to sell after the lock-in period is lifted, and the impact on the market is greater.
Therefore, through the preliminary statistical analysis of the sample stocks and the establishment of multiple regression analysis, this paper examines the Price-Volume effect of the lifting of the ban on the IPO placement of restricted stocks of listed companies, and the impact of the listed companies on the stock market, the size of the company, the market environment, operating performance, and the governance structure of these angles to cause such prices and This paper makes qualitative and quantitative analysis on the causes of abnormal volume changes, and finally extends the problem to the proposition of stock demand elasticity to measure the demand elasticity of A-share market.
Based on the above research purposes, the following research framework has been established.
The first chapter is the introduction, which mainly explains the research problems, the background, the purpose and significance of the research, and the research ideas and methods of the proposition of the lifting of the ban on the allotment and restricted stock. Finally, it points out the innovation and shortcomings of this paper.
The second chapter is the definition of restricted shares and related literature review. This chapter introduces the relevant knowledge of the lifting of restricted shares from the development of China's capital market, the reform of non-tradable shares, the full circulation of shares and the related concepts of the lifting of restricted shares, and then summarizes the international and domestic research results of related events.
Chapter 3 is a preliminary statistical analysis of the impact of the lifting of the ban on restricted shares in the Shanghai Stock Exchange. This chapter gives a brief introduction to the event research methods and sample selection, and makes a statistical analysis of the whole sample and the sub-sample after grouping to study the factors affecting the lock-in period effect of restricted shares.
The fourth chapter is the regression analysis of the lifting of the IPO restricted stock ban on the Shanghai Stock Exchange. After elaborating the theoretical basis of the proposed model, this chapter constructs a multivariate linear regression model including the flow improvement agent variables, and analyzes the regression results statistically and economically. At last, it measures the stock demand of the A-share market in China. Elasticity.
The fifth chapter is the research conclusion and policy suggestion. This chapter summarizes the research conclusion of this paper, and gives relevant policy suggestions from the perspective of regulators, decision makers of listed companies, institutional investors and ordinary investors.
The innovation of this paper lies in the establishment of an empirical model to study the elasticity of stock demand. When the stock market is impacted by supply, on the one hand, the increase of supply will make the supply curve move to the right, so that the price will fall and the turnover will increase, that is, there will be negative abnormal return and positive abnormal turnover; on the other hand, the stock supply will move to the right. The increase of stock liquidity will increase the demand for stocks, and the demand curve will move to the right, so that the price will rise and the turnover will increase, that is, there will be positive abnormal returns and positive abnormal turnover. This paper applies this theory to the model and introduces the proxy variable of liquidity improvement, short-term abnormal turnover (SAV), to measure the increase of demand caused by liquidity improvement.
In addition to the analysis of the whole sample, this paper also classifies the sample stocks according to the pressure of expansion, company size, market environment and operating performance, and analyzes the impact of different factors on the lifting of the ban on allotment restricted shares.
Through a series of research and analysis, the following conclusions can be drawn:
1. The lifting of IPO placement restrictions has a significant release effect of lock-in period. The whole sample statistics show that there are significant negative abnormal returns before and after the release of lock-in period. From T-3 to T-3, the average cumulative abnormal returns reach - 4.57%. The cumulative abnormal returns are not reversed during the study window period. On the day of the release of the lock-in period, a significant daily abnormal yield of - 2.19% was observed. At the same time, the volume was abnormally enlarged. The mean value of abnormal volume reached 177.1%, and 17.55% long-term abnormal volume appeared after the release of the lock-in period.
Since the information about the lifting of IPO lock-in period is clearly disclosed in the prospectus and the public announcement, the arrival of the lifting of the ban on restricted shares does not convey new information to the market, so the price effect can be regarded as non-information. Price pressure theory, transaction cost hypothesis, liquidity effect and limited stock demand elasticity hypothesis.
2, through statistical analysis and regression analysis of grouped samples, we can observe:
(1) The cumulative abnormal rate of return and the degree of supply shocks change in the opposite direction. That is to say, the larger the ban is, the more obvious the stock price drops, and the lower the cumulative abnormal rate of return in the study window period, and vice versa.
(2) The cumulative abnormal returns are positively correlated with the size of listed companies (expressed as the initial size). That is, the larger the size of listed companies, the higher the cumulative abnormal returns during the study window, and vice versa. The reason is that the larger the issuing scale of new shares, to some extent, the stronger the company's strength, the ability to maintain the stability of stock prices. The stronger the cumulative abnormal returns, the more limited.
(3) In the bull market, the cumulative abnormal rate of return is lower than in the bear market, showing a more serious negative cumulative abnormal rate of return.
(4) The operating performance of a company changes in the opposite direction to the stock price, which is contrary to the traditional theory. This paper holds that this result can be explained by Merton (1987) on the relationship between the operating condition of the company and the expected return, and the expected return and the cumulative abnormal return, that is, the better the operating condition of the company, the investors'expected return on the stock. The higher the rate, the lower the cumulative abnormal rate of return, and vice versa.
(5) The cumulative abnormal return is positively related to the degree of ownership concentration of listed companies, that is, the higher the degree of ownership concentration within a certain range, the higher the cumulative abnormal return before and after the release of the lock-in period of restricted shares, which is more conducive to supporting the stock price with the decentralized ownership structure as we usually know. On the contrary, this paper argues that the reason for this deviation lies in the fact that Herfindah 1-5 is chosen as an indicator of the degree of ownership concentration. If there is no "one-share-dominant" ownership structure and minority shareholders basically do not participate in corporate governance, the equity structure of the top five shareholders which checks and balances each other is also conducive to the company's share price. As a result, there is a positive change in cumulative abnormal returns and ownership concentration.
3. In order to accurately measure the elasticity of stock demand in China's A-share market, this paper establishes a multivariate regression model with liquidity-improving demand proxy variables. The model considers that the impact of supply on stock price is affected by liquidity-improving effect and impact degree, while the traditional model only considers the impact range. This paper compares the model A with the traditional model B. The empirical results show that the model A with liquidity improvement has a higher degree of fitting to the sample data. The paper also tests the robustness of the model. The elasticity of stock demand is -55.48, which supports the hypothesis of limited stock demand elasticity.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51
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