“大小非解禁”对我国A股上市企业股价的影响

本文从理论和实证两方面研究"大小非解禁"对我国A股市场的负面影响及影响程度。结果发现:"大小非解禁"上市公司的股价在公告日具有显著的负异常收益表现,其市场负异常收益与企业业绩相关度不大,与流通盘大小无关;解禁时其市场负异常收益与解禁比例、市场预期表现显著负相关,与换手率、企业每股净资产显著正相关,与市净率、企业当季每股收益没有表现出显著的相关性。据此,本文提出一些研究建议和对策。

Influence of Large and Small-sized Non-tradable Shares on Stock Price of Listed Enterprise of A Stock Market in China

From aspects of theoretical and empirical research,this paper studies the negative effect of large and small-sized non-tradable shares on A share market in China and the impact degree.The result shows that:stock prices of enterprises of which large and small-sized non-tradable shares desterilized have significant negative abnormal return performances on the announcement data;the negative abnormal return of the market has little relationship with corporate performance,and is independent on the tradable size;...