摘要
文章基于期权定价模型对可交易性折扣进行了建模,提出了可交易性价值转移假说,对限售股解禁的价格效应进行了研究,揭示了限售股解禁事件对股票价格的作用机理。研究发现:(1)根据可交易性折扣模型,随着限售期的逐渐缩短,流通股的可交易性价值将减少,限售股解禁实质上是一个可交易性价值从流通股向限售股转移的过程;(2)限售股解禁事件导致的累计异常收益主要形成于解禁前,并且呈现出显著的、稳定的、持续的下降趋势,而在解禁后略有回升;(3)较高的新增流通股相对比例、股价套利风险以及限售股股东减持意愿将加大限售股解禁事件对股票价格的负向影响。文章为限售股解禁导致的股票定价异象研究提供了新的理论视角,也为限售股解禁前的股票资产定价提供了理论依据,而且研究结论对于投资者把握股价趋势、优化投资决策具有一定的借鉴价值。
Based on option pricing model, this paper puts forward the marketability discount model and marketability value transfer hypothesis and analyzes the price effect of lockup expiration to reveal the mechanism of the effect of lockup expiration events on stock prices. It comes to the following conclusions, firstly, according to marketability discount model, the marketability value of tradable shares decreases as the lockup period shortens, and in essence, the lockup expiration is a marketability value transfer process form tradable shares to non-tradable shares; secondly, the cu- mulative abnormal returns resulting from lockup expiration events decline significantly, steadily and continuously before the expiration date, but rebound slightly after the expiration date; lastly, higher added tradable shares ratio, arbitrage risks and willingness to reduce non-tradable share holding strengthen the negative effect of lockup expiration events on stock prices. This paper provides a novel theoretical perspective for the study of stock price anomalies resulting from lockup expiration and a theoretical basis for stock pricing before lockup expiration. The conclusions also make help for investors to grasp stock price trends and optimize investment decisions.
出处
《财经研究》
CSSCI
北大核心
2014年第9期86-96,共11页
Journal of Finance and Economics
关键词
可交易性
价值转移
限售股解禁
marketability
value transfer
lockup expiration
