强制性限售与约定限售的信号价值与市场效应比较

A Comparative Study of Signal Value and Market Reaction of Compulsory and Voluntary Lockups

强制性限售与约定限售对市场而言具有不同的信号价值。文章首先运用事件分析方法比较了限售解禁股票在限售期内和解禁日附近窗口的股票价、量异常波动后发现:由于约定限售能够向市场投放"公司价值信号"和"股东承诺信号",在限售期内对股票价格具有更强的支撑作用,在解禁日附近引起的平均异常累计收益率和异常交易量波动相对较小。随后本文利用非参数和参数检验方法对信号内容进行识别,发现约定限售的"股东承诺信号"发挥着主导作用。约定限售的信号价值揭示了我国IPO首发原股东强制性限售的信号缺失,约定首发限售改革对完善我国股票市场上市发行制度具有重大意义。

Compulsory lockups and voluntary lockups have different signal value for the markets. Based on event study method, the paper compares the abnormal price and trading volume fluctuations during lockup periods and expiration windows between compulsory lockups and voluntary lockups. The results imply that, since voluntary lockups release company value signals and shareholder commitment signals, share prices are better proped during valuntary lockups. Average cumulative abnormal return and abnormal trading volume fluctuations are also smaller in days around expiration of voluntary lockups, compare to compulsory lockups. Subsequently, based on non - parametric and parametric methods, the paper identifies the specific signal content, and finds that shareholder commitment signal plays the major role when shareholders of Chinese listed companies voluntarily lock their shares. The signal value of voluntary lockups implys the signal void of compulsory IPO lockups in Chinese stock markets. Contractual IPO lockups reform is of great significance to improving the issuing and listing institutions of Chinese stock markets.