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  本文選題：創(chuàng)業(yè)板　切入點：限售股解禁　出處：《復旦大學》2014年碩士論文

【摘要】：本文以創(chuàng)業(yè)板首發(fā)原始股東限售股解禁為研究對象,著重觀察解禁發(fā)生前后的市場反應變化,并以累積超額收益率作為市場反應的代表,通過博弈模型、描述性統(tǒng)計、計量模型對其發(fā)生變化的原因進行分析。創(chuàng)業(yè)板上市公司的解禁事件會對市場造成負面沖擊,觀察期累積超額收益率以下跌為主,且解禁前跌幅大于解禁后,解禁當天則會有明顯反彈。創(chuàng)業(yè)板解禁前10日累積CAR顯著為負(-1.85%),體現(xiàn)了流通股股東視解禁事件為“利空”因素,并提前做出防御反應�？傮w上,解禁比例越高,異常下跌幅度越大,強市表現(xiàn)顯著好于弱市。流通股股東更害怕高管、PE解禁后套現(xiàn),因而非控股股東限售股解禁時跌幅較明顯。此外,券商一致看好且估值較高的公司表現(xiàn)也相對抗跌。創(chuàng)業(yè)板解禁日CAR值為正(0.72%),且與券商評級顯著相關(guān),評級越高,漲幅越高。創(chuàng)業(yè)板解禁后20日累積CAR值為負(-0.95%),體現(xiàn)了限售股股東解禁后開始拋售其股票,部分流通股股東也會選擇賣出�？傮w上,CAR值與券商評級正相關(guān),與PE值負相關(guān),同樣市場一致看好且估值較高的公司表現(xiàn)也相對抗跌。弱市表現(xiàn)明顯好于強市,可解釋為限售股股東更傾向于在股價高、買盤強烈的強市市場套現(xiàn)。非控股的限售股股東套現(xiàn)欲望強烈,解禁后跌幅較大；而控股股東則因維護股價、保持控制權(quán)等因素,解禁后股價往往保持穩(wěn)定乃至微漲。解禁比例大小對市場反應的影響不成線性,30%以上的大比例解禁以及5-10%的中小比例解禁引起的跌幅較大。解禁市值則因其體量普遍相對較小,對市場沖擊微弱,但在少數(shù)30億以上的巨額解禁樣本中,股價跌幅明顯較大。
[Abstract]:This paper focuses on observing the changes of market reaction before and after the release of gem initial restricted shares, and taking cumulative excess return as the representative of market response, through game model, descriptive statistics. The reason of the change is analyzed by the econometric model. The release of gem companies will have a negative impact on the market. The cumulative excess returns in the observation period mainly fall, and the decline before the lifting of the ban is greater than that after the lifting of the ban. On the day of lifting the ban, there will be an obvious rebound. The accumulated CAR on the 10th day before the lifting of the ban on the gem was significantly negative -1.85, reflecting the fact that the floating stock shareholders regarded the lifting of the ban as a "bad" factor and made a defensive response in advance. In general, the proportion of lifting the ban was higher. The greater the extent of the abnormal decline, the stronger the strong market performed significantly better than the weaker market. Tradable stock shareholders were more afraid of the executive being able to cash out after the lifting of the ban, so the decline of non-controlling shareholders was more obvious when the restrictions were lifted. In addition, The CAR value of the gem on the day of lifting the ban is positive 0.72%, and significantly related to the securities rating, the higher the rating, The higher the increase, the higher the increase. The accumulative CAR value on the 20th day after the lifting of the ban on the gem is negative-0. 95%, which shows that the shareholders of restricted stocks begin to sell their shares after lifting the ban, and some of the shareholders of circulating shares will also choose to sell. Generally speaking, the car value is positively related to the rating of securities firms, and negatively related to PE value. Similarly, companies that are consistently bullish and highly valued are also fighting off the decline. Weak markets are significantly better than strong ones, which can be explained by the fact that restricted share holders tend to have higher stock prices. A strong market with strong buying orders to cash out. Non-holding restricted share holders have a strong desire to cash in, but after lifting the ban, the decline is large; while the controlling shareholders, for example, maintain the stock price and maintain control rights. After the lifting of the ban, stock prices tend to remain stable and even rise slightly. The effect of the lifting proportion on the market response is not linear, more than 30% of the lifting of the ban and a large proportion of 5-10% of the lifting of the ban has caused a larger decline. Market value, because of its general relatively small size, Weak impact to the market, but in a small number of large lifting of the ban of more than 3 billion samples, the stock price fell significantly.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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相關(guān)期刊論文 前1條

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