摘要
本文将限售股解禁的市场反应分解为提前反应和减持效应,利用多元回归模型和对比分析实证考察了各类影响因素与限售股解禁的市场反应之间的关系特征。研究表明:总体上限售股解禁的市场反应显著为负;高估值和预期业绩好的公司受解禁因素冲击影响较小;与原有流通规模相比,解禁比重越大,解禁前后股价受冲击力度越大;融资形成的限售股在解禁时对市场的冲击力度和时间远强于其他类别的影响;牛市和熊市两类市场环境下的市场反应存在显著差异;解禁信息的心理冲击更强于实际减持冲击。限售股解禁问题是整个市场的股票供给急剧增加背景下的供求失衡问题,应从供求两个方面考虑解决思路。
This paper decomposes market reaction of restricted shares into advance response and state-share reduction effect,and empirically tests the relationships between the reduction market reaction and its factors. The results show that market reaction to the lift is negative,that high valued and better performed firms are less influenced by the lift,that compared to the original tradable size,the larger is the proportion of restricted shares,the greater is the reducing pressure,that significant difference in market reaction exist between bull or bear market,and that the reduction impact on investors'confidence is great.
出处
《当代经济科学》
CSSCI
北大核心
2009年第5期81-89,共9页
Modern Economic Science
关键词
限售股
解禁
市场反应
影响因素
Restricted shares
Lift of the ban
Market reaction
Factors
