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论文

股东为什么在解禁后会减持股票?——基于背景风险分析的股票解禁效应研究

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  • 1. 对外经济贸易大学金融学院, 北京 100029;
    2. 深圳市前海管理局, 广东 深圳 518052

收稿日期: 2017-05-02

  修回日期: 2017-07-11

  网络出版日期: 2018-09-20

基金资助

国家社会科学基金重大资助项目(16ZDA033)

The Study of Price Impact of Shares Lockup Expiration Considering Background Risk

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  • 1. School of Banking & Finance, University of International Business and Economics, Beijing 100029, China;
    2. The Authority of Qianhai Modern Service Industry Cooperation Zone, Shenzhen 518052, China

Received date: 2017-05-02

  Revised date: 2017-07-11

  Online published: 2018-09-20

摘要

背景风险指投资者因持有非交易性资产而承担的风险,会降低投资组合效率。本文以2016年全年1502家公司限售股解禁事件为样本,从背景风险的角度分析了股东的解禁减持行为,并对限售股解禁的价格效应进行了研究。实证结果表明,背景风险因素对解禁后股价异常收益具备显著负向影响。基于背景风险的投资组合调整效应相较于"高位套现"效应对股价变动的影响更为显著。研究还发现解禁规模对股票异常收益具备显著负向影响;公司规模及异常换手率,在解禁期间缓解了股价的下降;不同的解禁性质对股价也有一定影响,相较于定向增发解禁,首发IPO解禁对股价的影响更大。

本文引用格式

谭浩, 吴卫星 . 股东为什么在解禁后会减持股票?——基于背景风险分析的股票解禁效应研究[J]. 中国管理科学, 2018 , 26(7) : 9 -17 . DOI: 10.16381/j.cnki.issn1003-207x.2018.07.002

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.

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