限售股减持的市场反应与股东行为模式

Market Reaction to Sales of Restricted Shares and Shareholder Behaviour Patterns

本文结合股权分置改革的制度背景，研究了沪深两市限售股减持时的市场反应与限售股股东行为模式。研究发现：公告期内市场反应为负且成倒“U”型，即限售股股东选择了股价升降的周期性高点进行减持；公司基本面、市场状况对其CAR值有较大影响，而股东特征、减持状况对CAR值影响较小。通过建立理论模型和实证分析进一步发现：股东预期能否获得足够的控制权收益成为其选择是否减持和决定减持比例的关键因素，股东特征、减持状况对其有较大影响，而公司基本面、市场状况则影响较小。

Under the institutional background of the split-share structure reform, we investigate the market reaction to shareholder sales of restricted shares and the behaviour of holders of those shares. We find that the market reaction around the announcement period is negative and shows an inverted U shape, meaning that holders of restricted shares have chosen to reduce their holdings of those shares at the peak of the cyclical price movements. We also find that company fundamentals and market conditions have a significant impact on CAR values, whereas shareholder characteristics and the extent of shareholding reduction have less. By establishing theoretical models and performing empirical analysis, we further find that shareholder expectations of the availability of adequate benefits of control is the key factor in deciding whether to reduce as well as the proportion of decrease. Shareholder characteristics and the extent of shareholding reduction have a significant impact on this factor, whereas company fundamentals and market conditions have less.