基于投資者有限注意的限售股解禁研究
發(fā)布時(shí)間：2018-09-08 13:06
【摘要】：基于保護(hù)國(guó)有資產(chǎn)和掌握控股權(quán)目的的股權(quán)分置設(shè)計(jì),一方面孕育了中國(guó)的資本市場(chǎng),另一方面卻日漸成為資本市場(chǎng)發(fā)揮資源配置和資金融通作用的束縛。為了中國(guó)資本市場(chǎng)持續(xù)健康發(fā)展,證監(jiān)會(huì)于2005年4月29日啟動(dòng)了股權(quán)分置改革,這意味著占總股本近三分之二的非流通股要陸續(xù)上市流通,股市面臨巨大的擴(kuò)容壓力。從至此以后,股改限售股的解禁成為國(guó)內(nèi)廣大學(xué)者熱衷討論和研究的問題。短短幾年里,相關(guān)研究的文獻(xiàn)逐漸豐富,研究的內(nèi)容主要側(cè)重于限售股解禁是否沖擊市場(chǎng)、是否影響個(gè)股收益以及相關(guān)影響因素的研究；而研究方法則采用規(guī)范的描述性分析和以事件分析法為代表的實(shí)證分析。 普遍的觀點(diǎn)是,限售股解禁的確給市場(chǎng)走勢(shì)及個(gè)股價(jià)格帶了顯著的負(fù)向沖擊。原因有二：第一是投資者預(yù)期限售股解禁后將有大量股票流通上市因?yàn)榭只盘崆皰伿坌纬傻亩唐诠┙o壓力,第二則是因?yàn)橄蛳聝A斜的需求曲線意味著股票供給的增加將導(dǎo)致股價(jià)永久性下跌。國(guó)內(nèi)學(xué)者將此二者簡(jiǎn)稱為提前反應(yīng)和減持效應(yīng)。然而,在實(shí)證研究中學(xué)者們也發(fā)現(xiàn)限售股票在解禁前期會(huì)出現(xiàn)顯著為正的異常收益,對(duì)于這種明顯違背提前反應(yīng)和減持效應(yīng)理論的現(xiàn)象,他們并沒有給出合理的解釋,只是以“悖論”概而言之。 時(shí)至今日,股權(quán)分置改革已然被堆疊進(jìn)歷史的櫥柜,股改限售股的解禁也已基本完成。由其引起的問題與矛盾固然值得研究,但也必將遠(yuǎn)去。相反,就目前而言IPO首發(fā)限售股將成為市場(chǎng)上最主要的限售股,并且會(huì)伴隨著證券市場(chǎng)的不斷發(fā)展而一直存在。事實(shí)上,隨著股改限售股的減少和不斷的新股IPO,自2009年起首發(fā)限售股在限售股中的比重遠(yuǎn)遠(yuǎn)超過了股改限售股,成為市場(chǎng)面臨的最大的解禁壓力。 因此,本文借鑒前人對(duì)于股改限售股解禁的研究理論與方法主要對(duì)我國(guó)創(chuàng)業(yè)板市場(chǎng)的IPO限售股解禁的價(jià)格效應(yīng)進(jìn)行了分析。通過典型事件分析法,我們發(fā)現(xiàn)創(chuàng)業(yè)板限售股在解禁前存在顯著為正的累積異常收益。而這正是本文研究的邏輯起點(diǎn),基于傳統(tǒng)理論在價(jià)格下行壓力之下探討是何種因素導(dǎo)致這種出人意料的正的超額收益。 行為金融中的有限注意理論認(rèn)為,個(gè)體投資者在決策時(shí)傾向于選擇引起自己注意的股票,并由此產(chǎn)生凈的買入行為從而形成價(jià)格上升壓力。這正好為我們研究的問題提供了新的視角。本文引入行為金融學(xué)有限注意的理論,并以百度指數(shù)作為其代理變量來衡量投資者對(duì)具體某只股票的注意程度。通過對(duì)創(chuàng)業(yè)板2011年至2013年的473次解禁事件樣本的研究,對(duì)投資者購(gòu)買決策中的有限注意行為進(jìn)行了考察,在提出假設(shè)的基礎(chǔ)上構(gòu)建模型進(jìn)行實(shí)證檢驗(yàn)。 本文主要結(jié)論如下： 第一,在衡量投資者注意程度的代理變量選擇上,百度指數(shù)要優(yōu)于媒體資訊等其他變量,是目前投資者注意程度最好的代理指標(biāo)。在關(guān)于有限注意理論的研究中,投資者注意程度的衡量一直是難點(diǎn)。本文基于創(chuàng)業(yè)板的投資主體和上市主體特點(diǎn),選擇了百度指數(shù)作為投資者注意的代理變量。我們認(rèn)為建立于百度搜索基礎(chǔ)上的百度指數(shù)更加符合注意行為的主動(dòng)性,也符合現(xiàn)代信息獲取的方式,能夠有效描述與刻畫投資者對(duì)某只股票的注意程度。 第二,在實(shí)證研究中,百度指數(shù)衡量的投資者注意程度很好地解釋了創(chuàng)業(yè)板股票解禁前所產(chǎn)生的顯著為正的異常收益。個(gè)股的成交量和換手率等市場(chǎng)指標(biāo)與用百度指數(shù)衡量的投資者對(duì)個(gè)股的注意程度,在限售股解禁的前期都有顯著地正向變化。在對(duì)它們進(jìn)行的回歸分析中,也發(fā)現(xiàn)他們之間存在顯著地正向相關(guān)關(guān)系。據(jù)此,我們通過實(shí)證驗(yàn)證了投資者注意確實(shí)能引起凈的購(gòu)買行為從而產(chǎn)生正的價(jià)格壓力。這也解釋了為什么在解禁后的供給壓力之下,為什么個(gè)股依然存在顯著為正的異常收益。 第三,為了全面考察限售股解禁前存在異常收益的影響因素,公司財(cái)務(wù)特征和治理特征的指標(biāo)被加入模型,但其回歸結(jié)果并不顯著。這說明在有限注意之下,投資者更加注重市場(chǎng)與行業(yè)等宏觀、整體層面的信息而忽視公司基本面的信息,進(jìn)一步提高了投資者注意程度對(duì)股票解禁前異常收益的解釋力度。同時(shí),我們還發(fā)現(xiàn)市場(chǎng)情緒能夠通過投資者有限注意的投資決策機(jī)制強(qiáng)化對(duì)股票價(jià)格的影響,具體表現(xiàn)為投資情緒高漲時(shí)會(huì)對(duì)股票傾注更多注意從而發(fā)生更多的買入行為。 第四,不可否認(rèn),在實(shí)證中限售股的解禁比例被發(fā)現(xiàn)對(duì)股票解禁前的異常收益有著顯著地負(fù)向沖擊,然而這并不影響反而是更加有力地證明了我們的結(jié)論,即投資者注意是解釋限售股解禁前存在正的異常收益的最重要的影響因素�；蛘吒话阈缘慕Y(jié)論為,投資者對(duì)某只股票的注意程度與其收益成正向相關(guān)。 總之,我們可以看到有限注意理論很好地解釋了限售股票在解禁前存在的正的累積異常收益,并通過實(shí)證得到了投資者注意程度與股票收益之間的相關(guān)關(guān)系。因此,我們可以利用投資者對(duì)某只股票注意程度的變化進(jìn)行買入策略以賺取超額收益。事實(shí)上本文更大的意義在于,有限注意可以脫離解禁事件本身而拓展開去。雖然事實(shí)上引起投資者注意的原因很多,但這并不是最重要的；重要的是投資者的注意能夠引起購(gòu)買沖動(dòng)從而造成價(jià)格的上升。因此,我們只需找到一個(gè)能精確有效衡量投資者注意程度的中間變量,跟蹤其變化趨勢(shì),然后決定我們的買進(jìn)賣出的投資策略以期獲得超額回報(bào)。本文認(rèn)為作為衡量投資者注意程度的變量百度指數(shù)更新即時(shí)且極易獲得,使得跟蹤其指數(shù)變化的投資策略具有一定的可操作性。
[Abstract]:On the one hand, the design of non-tradable shares based on the purpose of protecting state-owned assets and holding controlling rights has bred China's capital market, on the other hand, it has become a constraint for the capital market to play the role of resource allocation and financing. This means that non-tradable shares, which account for nearly two-thirds of the total stock capital, will be listed and circulated one after another, and the stock market is facing enormous pressure to expand its capacity. Whether the ban will impact the market, whether it will affect individual stock returns and related factors are studied, while the research methods are normative descriptive analysis and empirical analysis represented by event analysis.
The general view is that the lifting of the restricted shares does have a significant negative impact on market trends and individual stock prices. The first is that investors expect a large number of shares to go public after the lifting of the restricted shares because of the short-term supply pressure caused by panic selling ahead of time, and the second is that the downward sloping demand curve means stocks. However, in empirical studies, scholars have also found that there will be significant positive abnormal returns in the early period of the lifting of the ban on restricted shares, and they have not given the phenomenon of obvious violation of the theory of early response and holding effect. A reasonable explanation is only a generalization of "paradox".
Today, the reform of non-tradable shares has been stacked into the cabinet of history, and the lifting of the ban on restricted shares has been basically completed. In fact, with the reduction of restricted shares and the continuous IPO of new shares, the proportion of initial restricted shares in restricted shares since 2009 has far exceeded that of restricted shares, which has become the biggest pressure on the market to lift the ban.
Therefore, this paper mainly analyzes the price effect of IPO restricted shares lifting in the GEM market by referring to the research theories and methods of the predecessors. Through the typical event analysis, we find that the GEM restricted shares have significant positive cumulative abnormal returns before lifting the ban. This is the logic of this paper. The starting point is to explore what causes this unexpectedly positive excess return based on traditional theories under downward pressure on prices.
Limited Attention Theory in Behavioral Finance holds that individual investors tend to choose stocks that attract their own attention when making decisions, and thus generate net buying behavior which results in price pressure. This provides a new perspective for our research. This paper introduces Limited Attention Theory in Behavioral Finance and uses Baidu Index. As a proxy variable to measure the degree of investor's attention to a specific stock, this paper investigates the limited attention behavior of investors in purchasing decision-making through 473 samples of the lifting ban events of GEM from 2011 to 2013, and constructs an empirical test on the basis of hypothesis.
The main conclusions are as follows:
Firstly, Baidu index is superior to other variables such as media information in the choice of proxy variables to measure the degree of investor attention. It is the best proxy index to measure the degree of investor attention. We believe that the Baidu index based on Baidu search is more in line with the initiative of attention behavior and the way of modern information acquisition. It can effectively describe and describe the degree of investors'attention to a stock.
Second, in the empirical study, the attention of investors measured by Baidu index well explains the significant positive abnormal returns before the lifting of the ban on GEM stocks. In the regression analysis, we also find that there is a significant positive correlation between them. Based on this, we verify that investors'attention can indeed lead to net purchasing behavior and thus generate positive price pressure. This also explains why individual stocks remain under the pressure of supply after the lifting of the ban. There are significant positive abnormal returns.
Thirdly, in order to investigate the influencing factors of abnormal returns before the lifting of restricted shares, the indexes of financial characteristics and corporate governance characteristics are added to the model, but the regression results are not significant. At the same time, we also find that market sentiment can strengthen the impact on stock prices by investor's limited attention investment decision-making mechanism, which is manifested in the fact that when investment sentiment is high, more attention will be paid to the stock and more buying will occur. Behavior.
Fourthly, it is undeniable that the proportion of restricted shares is found to have a significant negative impact on the abnormal returns before the lifting of the ban. However, this does not affect the abnormal returns, but more strongly proves our conclusion that investor attention is the most important factor to explain the positive abnormal returns before the lifting of the ban. A more general conclusion is that investors' attention to a stock is positively related to their earnings.
In a word, we can see that the theory of limited attention explains the positive cumulative abnormal returns of restricted stock well before the ban is lifted, and the correlation between the degree of investor's attention and the stock's return is obtained by empirical analysis. Excess returns. In fact, the greater significance of this article is that limited attention can be extended beyond the lifting of the ban itself. Although there are many reasons to attract investors'attention, this is not the most important thing; the important thing is that investors' attention can arouse the impulse to buy and cause prices to rise. An intermediate variable that can accurately and effectively measure investor's attention, track its changing trend, and then determine our buying and selling investment strategy in order to obtain excess returns. It has a certain maneuverability.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51
本文編號(hào)：2230606
[Abstract]:On the one hand, the design of non-tradable shares based on the purpose of protecting state-owned assets and holding controlling rights has bred China's capital market, on the other hand, it has become a constraint for the capital market to play the role of resource allocation and financing. This means that non-tradable shares, which account for nearly two-thirds of the total stock capital, will be listed and circulated one after another, and the stock market is facing enormous pressure to expand its capacity. Whether the ban will impact the market, whether it will affect individual stock returns and related factors are studied, while the research methods are normative descriptive analysis and empirical analysis represented by event analysis.
The general view is that the lifting of the restricted shares does have a significant negative impact on market trends and individual stock prices. The first is that investors expect a large number of shares to go public after the lifting of the restricted shares because of the short-term supply pressure caused by panic selling ahead of time, and the second is that the downward sloping demand curve means stocks. However, in empirical studies, scholars have also found that there will be significant positive abnormal returns in the early period of the lifting of the ban on restricted shares, and they have not given the phenomenon of obvious violation of the theory of early response and holding effect. A reasonable explanation is only a generalization of "paradox".
Today, the reform of non-tradable shares has been stacked into the cabinet of history, and the lifting of the ban on restricted shares has been basically completed. In fact, with the reduction of restricted shares and the continuous IPO of new shares, the proportion of initial restricted shares in restricted shares since 2009 has far exceeded that of restricted shares, which has become the biggest pressure on the market to lift the ban.
Therefore, this paper mainly analyzes the price effect of IPO restricted shares lifting in the GEM market by referring to the research theories and methods of the predecessors. Through the typical event analysis, we find that the GEM restricted shares have significant positive cumulative abnormal returns before lifting the ban. This is the logic of this paper. The starting point is to explore what causes this unexpectedly positive excess return based on traditional theories under downward pressure on prices.
Limited Attention Theory in Behavioral Finance holds that individual investors tend to choose stocks that attract their own attention when making decisions, and thus generate net buying behavior which results in price pressure. This provides a new perspective for our research. This paper introduces Limited Attention Theory in Behavioral Finance and uses Baidu Index. As a proxy variable to measure the degree of investor's attention to a specific stock, this paper investigates the limited attention behavior of investors in purchasing decision-making through 473 samples of the lifting ban events of GEM from 2011 to 2013, and constructs an empirical test on the basis of hypothesis.
The main conclusions are as follows:
Firstly, Baidu index is superior to other variables such as media information in the choice of proxy variables to measure the degree of investor attention. It is the best proxy index to measure the degree of investor attention. We believe that the Baidu index based on Baidu search is more in line with the initiative of attention behavior and the way of modern information acquisition. It can effectively describe and describe the degree of investors'attention to a stock.
Second, in the empirical study, the attention of investors measured by Baidu index well explains the significant positive abnormal returns before the lifting of the ban on GEM stocks. In the regression analysis, we also find that there is a significant positive correlation between them. Based on this, we verify that investors'attention can indeed lead to net purchasing behavior and thus generate positive price pressure. This also explains why individual stocks remain under the pressure of supply after the lifting of the ban. There are significant positive abnormal returns.
Thirdly, in order to investigate the influencing factors of abnormal returns before the lifting of restricted shares, the indexes of financial characteristics and corporate governance characteristics are added to the model, but the regression results are not significant. At the same time, we also find that market sentiment can strengthen the impact on stock prices by investor's limited attention investment decision-making mechanism, which is manifested in the fact that when investment sentiment is high, more attention will be paid to the stock and more buying will occur. Behavior.
Fourthly, it is undeniable that the proportion of restricted shares is found to have a significant negative impact on the abnormal returns before the lifting of the ban. However, this does not affect the abnormal returns, but more strongly proves our conclusion that investor attention is the most important factor to explain the positive abnormal returns before the lifting of the ban. A more general conclusion is that investors' attention to a stock is positively related to their earnings.
In a word, we can see that the theory of limited attention explains the positive cumulative abnormal returns of restricted stock well before the ban is lifted, and the correlation between the degree of investor's attention and the stock's return is obtained by empirical analysis. Excess returns. In fact, the greater significance of this article is that limited attention can be extended beyond the lifting of the ban itself. Although there are many reasons to attract investors'attention, this is not the most important thing; the important thing is that investors' attention can arouse the impulse to buy and cause prices to rise. An intermediate variable that can accurately and effectively measure investor's attention, track its changing trend, and then determine our buying and selling investment strategy in order to obtain excess returns. It has a certain maneuverability.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51
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