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。
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.
[1] Field L C, Hanka G. The expiration of IPO share lockups[J]. The Journal of Finance, 2001, 56(2):471-500.
[2] Brau J C, Carter D A, Christophe S E, et al. Market reaction to the expiration of IPO lockup provisions[J]. Managerial Finance, 2004, 30(1):75-91.
[3] Yung C, Zender J F. Moral hazard, asymmetric information and IPO lockups[J]. Journal of Corporate Finance, 2010, 16(3):320-332.
[4] 吴振信, 张雪峰, 王书平. 受限股解禁的信号传递模型[J]. 中国管理科学, 2008,16(S1):353-357.
[5] 廖理, 刘碧波, 郦金梁. 道德风险、信息发现与市场有效性——来自于股权分置改革的证据[J]. 金融研究, 2008,(4):146-160.
[6] 黄张凯, 赵龙凯, 祖国鹏. 限售股解禁的价格效应研究[J]. 金融研究, 2010,(9):129-146.
[7] 吴冬梅, 庄新田. 限售股解禁、资本投资与控制权私利——来自我国上市公司股权分置改革的证据[J]. 管理评论, 2016, 28(10):67-78.
[8] 贾春新, 赵宇, 孙萌,等. 投资者有限关注与限售股解禁[J]. 金融研究, 2010,(11):108-122.
[9] 储小俊, 刘思峰. 股份解禁的微观市场结构效应研究——流动性的观点[J]. 南开经济研究, 2012,(2):85-99.
[10] 刘娥平, 唐舜. 可交易性折扣、价值转移与限售股解禁[J]. 财经研究, 2014, 40(9):86-96.
[11] Scholes M S. The market for securities:Substitution versus price pressure and the effects of information on share prices[J] Journal of Business,1972,45(2):179-211.
[12] Mikkelson W, Partch M. Errata:Withdrawn security offerings[J]. Journal of Financial & Quantitative Analysis, 1988, 23(4):1.
[13] Schultz P. Downward-sloping demand curves, the supply of shares, and the collapse of internet stock prices[J]. The Journal of Finance, 2008, 63(1):351-378.
[14] Brav A, Gompers P A. The role of lockups in initial public offerings[J]. The Review of Financial Studies, 2003, 16(1):1-29.
[15] 贾明, 张喆,万迪昉. 股改方案、代理成本与大股东解禁股出售[J]. 管理世界, 2009,(9):148-165.
[16] 俞红海, 李心丹, 耿子扬. 投资者情绪、意见分歧与中国股市IPO之谜[J]. 管理科学学报, 2015,(3):78-89.
[17] 陈鹏程, 周孝华. 机构投资者私人信息、散户投资者情绪与IPO首日回报率[J]. 中国管理科学, 2016, 24(04):37-44.
[18] Kahl M, Liu Jun, Longstaff F A. Paper millionaires:How valuable is stock to a stockholder who is restricted from selling it?[J]. Journal of Financial Economics, 2003, 67(3):385-410.
[19] 刘力, 王汀汀. 不应忽略股票的流通权价值——兼论中国股票市场的二元股权结构问题[J]. 管理世界, 2003,(9):46-51.
[20] 黄顺武, 贾捷, 汪文隽. 基于双边随机边界模型的IPO抑价分解研究——来自中国创业板的证据[J]. 中国管理科学, 2017, 25(2):21-29.
[21] Guiso L, Sodini P. Household finance:An emerging field[J]. Handbook of the Economics of Finance, 2013, 2:1397-1532.
[22] Baptista A M. Optimal delegated portfolio management with background risk[J]. Journal of Banking & Finance, 2008, 32(6):977-985.
[23] 张尧, 关欣, 孙杨,等. 考虑背景风险的项目投资决策[J]. 中国管理科学, 2016, 24(9):71-80.
[24] Jiang Chonghui, Ma Yongkai, An Yunbi. An analysis of portfolio selection with background risk[J]. Journal of Banking & Finance, 2014, 34(12):3055-3060.
