发起人股东首发限售股解禁的市场反应与影响因素研究——基于创业板的实证研究

A Study on the Market Response and the Determinants of Insider IPO Restricted Stock Lockup Expiration——An Empirical Study Based on the Chi Next in China

公司首次公开上市时,发起人股东所持股份在一定期限内限售。文章研究2009~2012年创业板上市公司发起人限售股解禁时的市场反应。通过采用事件研究法计算出解禁前后窗口期公司股票的累计异常收益率（CAR）,发现解禁日前上市公司的异常收益率显著为负,在解禁日当天异常收益率显著为正,而再其后则不显著。这一方面说明市场对发起人股东首发限售股解禁有负面反应,另一方面也说明市场基本有效,在解禁日之前消化了此负面消息。在此基础上,对比了风险投资发起人、实际控制人发起人和其他内部股东首发限售股解禁的市场反应,发现市场对风险投资发起人限售股解禁反应不显著,对实际控制人首发限售股解禁反应最大,说明投资者对风险投资的退出早有预期,但对实际控制人解禁带来的减持可能性仍视为负面消息。之后的横截面多元回归分析表明,累计异常收益与解禁市值、解禁股占总股本比例显著负相关。

When a company first goes public, the insider shares are locked in a eertam period of time. The paper analyzes the market response of IPO restricted stock lockup expiration of insid- ers in the companies listed in ChiNext from 2009 to 2012. The cumulative abnormal return （CAR） of corporate shares before and after the expiration day are calculated through event study, and the authors find out that the CAR before the expiration significantly positive on the day and not significant day is significantly negative while the rate is after the day. On the one side, it proves that market has negative effect on the lockup expiration of restricted stock;on the other side, it shows that capital market is efficient because the negative message is reflected on the share price before the expiration day. Based on the analysis, the market responses of the IPO restricted stock lockup expiration of different insiders are compared, including insiders of venture capital, controlling shareholders, and other inside shareholders. The results show that the market response of venture capital＇s share lockup expiration is insignificant and responds most significantly to controlling shareholder＇s share lockup expiration. The possible explanation is that the investors had expectations on the withdrawal of venture capital. But for controlling shareholder, the market responds neg- atively to show its fear of future sales by them. The cross sectional analysis of multiple regression shows that the abnormal return is statically negative correlated with market value and the share per- centage of loekup shares.