道德风险、信息发现与市场有效性--来自于股权分置改革的证据

On the Moral Hazards,Information Revelation and Market Efficiency:Evidence from the Split-share Reform in China

我们发现,解禁前后股改限售股存在-13%的累积异常收益,价格下跌主要发生在解禁40天之前。信息发现假说认为,在禁售期内,流通股股东如果发现公司价值低于预期或者非流通股股东行为不当,就会选择在解禁前出售股票,导致股价下跌。回归分析支持信息发现假说认为:透明度高的股票价格下跌较小,公司基本面的改善与解禁前后收益正相关。实证结果还发现,解禁股收益能够反映公司基本面的时序变化和个体差异,从而验证了中国资本市场的有效性。

In the paper the authors find an abnormal return of - 13% associated with the lockup expiration of the restricted shares converted in the split - share structure reform in China. A large portion of this abnormal return was realized 40 days before the expiration date. Our information revelation hypothesis postulates that the tradable shareholders utilize the lockup period to evaluate the firm based on their ex ante expectation. They have the choice to quit the firm before the lockup expiration if information asymmetry remains, in order to avoid being taken advantage of by the insiders who hold the restricted shares, The regression analysis supports this hypothesis： Holding period returns are higher for firms of greater information transparency; and they are positively correlated with the improvement of firm fundamentals. The empirical results also show that the inter-temporal and cross-sectional variations of firm fundamentals explain stock prices. These findings offer evidence in support of the informational efficiency of China＇s A-share stock market.