本文關(guān)鍵詞：創(chuàng)業(yè)板IP0限售股解禁效應(yīng)的實(shí)證分析　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 創(chuàng)業(yè)板 IPO限售股 解禁效應(yīng) 股票需求曲線 信息效應(yīng)

【摘要】：在古典金融理論體系中,一個(gè)基本假設(shè)是每個(gè)資產(chǎn)都有完美替代物,風(fēng)險(xiǎn)相同的資產(chǎn)應(yīng)該具有同等的收益率。從這一假設(shè)出發(fā),有效市場理論的推論就是股票需求曲線是水平的或幾乎是水平的。但現(xiàn)實(shí)中的金融市場并不完美。單個(gè)金融資產(chǎn)的需求彈性可能并非是無限的。為探究這一問題,本文以創(chuàng)業(yè)板IPO限售股解禁事件為研究對象,選用異常收益率、異常交易量、非流動(dòng)比率等指標(biāo),對解禁后的價(jià)格效應(yīng)、交易量效應(yīng)、信息效應(yīng)、流動(dòng)性效應(yīng)、投資者認(rèn)知效應(yīng)進(jìn)行了全面分析,發(fā)現(xiàn)以上效應(yīng)均存在。在D-7日至D+6日間,非詢價(jià)對象累計(jì)異常收益率為-1.97%,在1%的水平下顯著；解禁后交易量永久性增長80%"100%；限售股上市流通前后各兩個(gè)月內(nèi),各機(jī)構(gòu)對每股收益的預(yù)測值下調(diào)了21.61%；解禁后投資者數(shù)量增加,影子成本下降。在對子樣本的進(jìn)一步研究中,我們看到,不同市場狀態(tài)下,不同持股對象在解禁時(shí)的表現(xiàn)是有差異的；是否為高新技術(shù)企業(yè)、解禁限售股是否包含風(fēng)險(xiǎn)投資則對解禁效應(yīng)無影響。在對價(jià)格效應(yīng)的回歸分析中,我們得到供給沖擊的價(jià)格反應(yīng)強(qiáng)度為0.025,在1%的水平下顯著,同時(shí)流動(dòng)性指標(biāo)(SAAV)、信息效應(yīng)指標(biāo)(INFO)的回歸系數(shù)也均顯著。說明累計(jì)異常收益率不能完全被信息效應(yīng)、流動(dòng)性效應(yīng)所解釋,其中部分異常收益應(yīng)歸因于供給沖擊,短期股票需求曲線彈性有限。在解禁后兩個(gè)月內(nèi),價(jià)格未出現(xiàn)反轉(zhuǎn),說明長期股票需求彈性有限。創(chuàng)業(yè)板非詢價(jià)對象的解禁效應(yīng)支持信息假說、流動(dòng)性假說、向下傾斜需求曲線假說。在與主板市場、中小板市場的對比分析中,我們看到中小板市場的價(jià)格效應(yīng)十分特別,無論是詢價(jià)對象還是非詢價(jià)對象,均表現(xiàn)出強(qiáng)反彈趨勢,因此除價(jià)格壓力假說成立外,不能判斷其他假說是否成立。而在主板市場上,1年期對象的解禁效應(yīng)支持流動(dòng)性假說、向下傾斜需求曲線假說,3年期對象的解禁效應(yīng)僅支持流動(dòng)性假說�；谏鲜鲅芯拷Y(jié)論,本文從監(jiān)管者、公司決策者、投資者三個(gè)層面提出了政策建議。
[Abstract]:In the classical financial theory system, a basic assumption is that every asset has a perfect substitute, and the asset with the same risk should have the same yield. The corollary of efficient market theory is that the stock demand curve is horizontal or almost horizontal. But the real financial market is not perfect. The demand elasticity of individual financial assets may not be unlimited. . In this paper, the gem IPO restricted share release as the research object, select abnormal return rate, abnormal trading volume, non-current ratio and other indicators to the price effect, trading volume effect, information effect after the lifting of the ban. The liquidity effect and investors' cognitive effect are analyzed comprehensively and the above effects are found. Between D-7 and D 6th, the accumulative abnormal return rate of non-inquiry objects is -1.97%. At the level of 1%; After the lifting of the ban, the volume of trading volume increased permanently by 80% "100"; Within two months before and after the circulation of restricted shares, the forecast value of earnings per share was reduced by 21.61%. After the lifting of the ban, the number of investors increased and the shadow cost decreased. In the further study of sub-samples, we can see that the performance of different shareholding objects is different when the ban is lifted under different market conditions; Whether it is a high-tech enterprise or not, whether the release of restricted shares includes venture capital has no effect on the effect of lifting the ban. In the regression analysis of price effect, we get the price response intensity of supply shock is 0.025. At the level of 1%, the regression coefficients of liquidity index, information effect index and information effect index are significant, which indicates that the cumulative abnormal return rate can not be completely affected by information effect. As explained by the liquidity effect, some of the abnormal returns are due to supply shocks, and the short-term demand curve has limited elasticity. Within two months after the lifting of the ban, prices did not reverse. It shows that the long-term stock demand elasticity is limited. The lifting effect of gem non-inquiry object supports the information hypothesis, liquidity hypothesis, downward tilt demand curve hypothesis. In the comparative analysis with the main board market, small and medium-sized board market. We see that the price effect of the small and medium-sized board market is very special, whether the inquiry object or non-inquiry object, all show a strong rebound trend, so in addition to the price pressure hypothesis is established. It is impossible to judge whether other hypotheses are valid. In the main board market, the lifting effect of one-year objects supports the liquidity hypothesis and the downward tilt demand curve hypothesis. Based on the above conclusions, this paper puts forward policy recommendations from three levels: regulators, firm decision makers and investors.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：1368359