关键词: 股票解禁, 股东减持, 背景风险, 投资组合分析

Abstract: The stock lockup is a common provision in initial public offerings and private placements in China. When the lockup period expires, the restricted shares gain the rights for circulation. The shares lockup expiration is often considered as public information because the date is often disclosed in advance. Under the hypothesis of a weak form efficient market, the stock price will not be affected by the lockup expiration event. However, many price declines have been witnessed after the lockup expiration, leading to the study of shares lockup expiration market anomaly. According to the literature review, stock demand, liquidity and asymmetric information are usually discussed under the topic,but common agreement on the causes of the anomaly is far from reached.
The background risk is a risk that an agent has to bear and cannot be avoided. The holding of non-tradable assets, also called background assets, may result to background risks, which will influence investors' risk taking behaviors and portfolio choices. The lockup and unlocking processes essentially change the tradability of stocks. So it's well-suited to use background risk theory to analyze the price impact of shares lockup expiration.
In this paper, the background assets are brought into the classic asset selection theory and how to identify the background risks is discussed. After that, an event study is applied to analyze the price impact of lockup expiration of non-tradable shares of 1502 Chinese companies in 2016 considering the investors' background risk. The empirical results show that the background risk has significant negative influences on the stock price during the lockup expiration; Companies with larger share lockup expiration ratio experience larger price drops. It is also found that positive roles of the company size factor and abnormal turnover in relieving the price drop during the shares lockup expiration. Compared to private placement shares lockup expiration, the IPO shares lockup expiration leads to larger price drops. The above findings provide a new perspective to understand the lockup expiration market anomaly and may help investors to avoid relevant price risks.

Key words: lockup expiration, background risk, shareholders' reduction, portfolio analysis