限售股流通与股价效应关系的实证研究

本文运用事件研究法对限售股上市流通的股价效应进行了实证研究。研究结果袁明：限售股的上市流通带来负的股价效应；样本公司的特征及股票的交易特性显著影响股价效应；在累积超额收益率为正的样本中，累积超额收益率与净资产收益率负相关，与区间日均股票换手率、股票每股收益正相关；在累积超额收益率为负的样本中，累积超额收益率与IPO到限售流通股上市流通的时间、账面市值比、区间日均成交量负相关。

Empirical Study on Relationship between Restricted Share's Circulation and Stock Price Effect

This paper empirically studies the stock price effect of restricted share’s circulation by using the event study.The result shows that,the circulation of restricted share causes a negative effect of stock price;firm-specific and stock’s trading features have significant effect on the stock price effect;in the samples of listed companies with positive cumulative abnormal return,cumulative average abnormal return is negative correlation with return on equity,and is positive correlation with the inter-zone average turnover ratio and book to price ratio;in the samples of listed companies with negative cumulative abnormal return,cumulative average abnormal return is negative correlation with time,book to price ratio and inter-zone average trading volume.