限售股解禁的提前反应与减持效应研究.doc

限售股解禁的提前反应与减持效应研究 黄建欢1 尹筑嘉2 （1、湖南大学经济与贸易学院，湖南长沙 410079； 2、长沙理工大学经济与管理学院，湖南长沙 410076） 本文将限售股解禁的市场反应分为提前反应和减持效应，建立博弈模型并利用事件研究法实证考察，进而治理限售股解禁压力的对策。研究发现：限售股解禁的提前反应和减持效应均存在限售股解禁直接冲击着相关个股的股价，其市场反应总体为负；相对而言，牛市中解禁信息较早引致的股价下跌较早，但幅度较小，熊市中解禁信息引致的股价下跌发生较晚而剧烈；解禁信息的冲击大部分被提前消化，限售股解禁的心理冲击影响可能大于实际减持压力；一定条件下存在减持效应的自稳定机制。治理限售股解禁压力的关键措施在于大幅度提升市场对股票的需求，有效承接供给的巨量增加。 关键词 限售股；解禁；市场反应；提前反应；减持效应；治理 Early Response and Reducing EffectMarket Reaction of Restricted Shares Abstract: This paper decomposes market reaction of restricted shares into early response and reducing effect. It constructs Game Theory model and makes empirical test by Event Study Method, and finally discusses countermeasures to govern pressure of restricted shares. It is found that early response and reducing effect are significant, the lift of restricted shares directly impacts stock price and market reaction is negative overall; relatively speaking, price decrease in bull market caused by lifting information is more early but less in extent; price decrease in bear market is later and more severe in extent; most of the pressure of lift information is digested in advance, and the reducing impact on investors’ psychology is far greater than that on reduction itself; under certain circumstances, there has self-steady mechanism of reducing effect. The problem of restricted shares is in fact the imbalance of demand and supply of stock in the background of stock supply sharply increasing, so the solutions need to be considered in these two aspects. Key Words: Restricted Shares; Lift of the Ban; Market Reaction; Early Response; Reducing Effect ;Governance 限售股解禁的提前反应与减持效应研究 黄建欢 尹筑嘉本文将限售股解禁的市场反应分为提前反应和减持效应，建立博弈模型并利用事件研究法实证考察，进而治理限售股解禁压力的对策。研究发现：限售股解禁的提前反应和减持效应均存在限售股解禁直接冲击着相关个股的股价，其市场反应总体为负；相对而言，牛市中解禁信息较早引致的股价下跌较早，但幅度较小，熊市中解禁信息引致的股价下跌发生较晚而剧烈；解禁信息的冲击大部分被提前消化，限售股解禁的心理冲击影响可能大于实际减持压力；一定条件下存在减持效应的自稳定机制。治理限售股解禁压力的关键措施在于大幅度提升市场对股票的需求，有效承接供给的巨量增加。 关键词 限售股；解禁；市场反应；提前反应；减持效应；治理限售股解禁非中国独有，许多国家和地区的股市均存在因IPO和再融资等形成的限售股上市流通问题，但中国的特殊性在于：规模极为