【作者】 朱峰；

【导师】 蔚林巍；

【作者基本信息】 清华大学 ， 工商管理， 2009， 硕士

【摘要】 随着我国股市全流通进程不断深入,限售股解禁作为近年中国市场上敏感事件一直被大家所关注,但由于时间的关系,我国对限售股解禁市场反应的研究还比较少。本文采用事件研究方法,通过对2007年6月至2008年1月8个月中706个解禁事件样本的实证分析,研究限售股解禁在各个时间窗口中的市场反应,并考察不同市场阶段市场反应的差异,同时,运用相关分析和回归分析的方法,研究限售股解禁的市场反应的影响因素。根据这些研究,本文得出了如下的主要结论。在市场反应方面,以解禁日为事件日(第0日),在事件日前(从事件日前5日开始)市场对解禁事件有明显的负面反应,而在事件日市场对解禁事件有明显的正面反应,即发生限售股解禁事件的公司的股票,股价会在解禁前相对下降,而在解禁日相对上升。市场反应受大市运行的状态影响很大,牛市与熊市中市场对解禁事件的反应并不相同,牛市中解禁事件对股票价格有显著的负的作用,而熊市中解禁事件对股票价格有显著的正的作用。这验证了行为金融中“框架效应”的存在。在对市场反应的影响因素的研究中,本文通过单因素对照检验以及多元回归分析研究市场反应与解禁规模、公司股本结构、公司规模、公司业绩、公司价值以及公司风险之间的关系。本文发现影响市场反应的最重要的因素是公司风险,公司风险体现了与市场反应CAR表现了显著的负相关。另外,股价自解禁日开始的短期反弹与公司业绩ROE是显著负相关的。其他的变量对解禁的市场反应没有显著的影响。更多还原

【Abstract】 As the process of full circulation gets further in our country’s stock market, people are concerned about lifting of sales ban in China A share market. Because of time, there are little researches in the field of market reaction of lifting of sales ban. In this paper, I used event study method, according to the empirical study on 706 samples of lifting of sales ban from June 2007 to January 2008, to research on the market reaction and influence factors of lifting of sales ban.Generally speaking, lifting of sales ban caused significant negative market reaction before the event day, and then it caused significant optimistic market reaction on the event day.The market reaction of lifting of sales ban is greatly influenced by the market state. Lifting of sales ban caused significant negative market reaction in bull market. Oppositely, it caused significant optimistic market reaction in bull market.In the research of market reaction of lifting of sales ban, we used contrast test and regression method to study all the influence factors of the market reaction. Finally, we found that asset-liability ratio was the most important factor, and it was negatively correlated with the market reaction. Other factors had no significant effects.更多还原