限售解禁影响股票的价格特征吗?——基于高维因子模型的因果推断

Does the Expiration of Share Lockups Affect the Characteristics of Stock Price?Causal Inference with High-dimensional Factor Models

本文采用基于高维因子模型的面板因果推断方法研究了我国限售解禁对个股特征的干预效应。研究表明限售解禁对股票特征的作用随考察时期的不同而变化,解禁对收益率的效应在2015年股市泡沫后最强,对波动率的效应在金融危机后最强。解禁事件对波动率的作用更多表现为正向,对收益率的正负影响并不显著。限售解禁对波动率的作用强于收益率,且在总体上降低了单位风险的投资收益。解禁的处置效应在个体间存在差异,这一差异与个股特征的关联度并不强。本文结果形成对限售解禁市场效应相关研究的补充,能够为认识我国限售解禁政策的效应提供参考。

This paper investigates the intervention impact of the expiration of share lockups on the characteristics of stock price in China with a method of causal inference based on high-dimensional factor models.It reveals that the treatment effects vary with time periods,with the highest significance levels appearing during the crash in 2015 for stock returns and during the post crisis period for volatility.The expiration of lockups largely increases the volatility substantially and do not show a clear impact on returns in terms of positive or negative.Overall,the treatment effect on volatility outperforms that on returns and the return bearing specific level of risk decreases.Individual treatment effects are heterogeneous and they are not related to individual characteristics significantly.The outcomes of this paper can serve as a complement to the literature on the expiration of share lockups and also provide reference for learning about its policy impact.