策略性盈余管理信息动量与解禁减持-EditorialExpress.PDFVIP

策略性盈余管理、信息动量与解禁减持 Strategic Earning Management, Information Momentum, and Lockup Expiration Selling: A Strategic Analysis on Private Equity’s Exiting Behaviors in Chinext Listing Firms 李曜 张子炜 林志伟 上海财经大学金融学院 （上海市国定路777 号，200433） 作者联系方式： 李曜，上海市国定路 777 号上海财经大学金融学院，教授，博士生导师，电话 电子信箱：liyao@ 张子炜，深圳证券交易所综合研究所，博士后研究员，电话 电子邮件：frank8002@126.com 林志伟，深圳证券交易所综合研究所，博士后研究员，电话 电子邮件：szstanly@ 策略性盈余管理、信息动量与解禁减持 Strategic Earning Management, Information Momentum, and Lockup Expiration Sellings 摘要：本文探讨了创业板股票首次公开发行（IPO）原始股东限售锁定期制度影响私募股权机构退 出行为决策、进而影响企业上市前后盈余管理行为以及上市后短期内市场表现的问题。论文首先 从私募股权机构最大化其声誉资本的角度，建立了适合创业板现状的上市前后盈余管理决策模型， 认为私募股权机构在面临限售锁定期制度时会通过在上市前压低盈余水平，产生较高的 IPO 抑价 现象来吸引二级市场证券分析师和投资者的关注；继而通过上市后释放盈余业绩，满足或超出投 资者的预期，产生年报公布期间的超额非正常回报现象来再次吸引资本市场的关注；最终达到稳 定或抬高上市后股价的目的，以便在锁定期解禁后实现减持套现。本文采用截至 2011 年 10 月的 创业板数据，对私募股权持股的创业板上市公司的盈余管理程度、IPO抑价程度、信息动量效应、 年报公布效应、解禁后市场估值以及解禁后短期内减持情况等进行了统计对比、回归分析和事件 研究，证明了上述观点。 关键词：私募股权资本、盈余管理、中国创业板、IPO 锁定期 Abstract: The paper discusses how the lockup regulation affect private equity backed ChiNext listing firms’ decision-making when going public and their short-term performance after IPOs. We develop a model in which private equity backed firms strategically design their earning information in IPO process to maximize their reputation capital, since private equity in IPOs usually do not sell any of their own shares in IPO day but instead wait until the end of the lockup period. We find that private equity backed firms often have lower earning management before IPO year and higher underpricing in IPO day, which is positively correlated with research coverage; and private equity backed firms often have relative better financial performance after IPO and higher cumulated abnormal returns during the declaration period, which is positively correlated with