CAJ | 학술논문

我们发现，解禁前后股改限售股存在-13％的累积异常收益，价格下跌主要发生在解禁40天之前。信息发现假说认为，在禁售期内，流通股股东如果发现公司价值低于预期或者非流通股股东行为不当，就会选择在解禁前出售股票，导致股价下跌。回归分析支持信息发现假说认为：透明度高的股票价格下跌较小，公司基本面的改善与解禁前后收益正相关。实证结果还发现，解禁股收益能够反映公司基本面的时序变化和个体差异，从而验证了中国资本市场的有效性。
아문발현，해금전후고개한수고존재-13％적루적이상수익，개격하질주요발생재해금40천지전。신식발현가설인위，재금수기내，류통고고동여과발현공사개치저우예기혹자비류통고고동행위불당，취회선택재해금전출수고표，도치고개하질。회귀분석지지신식발현가설인위：투명도고적고표개격하질교소，공사기본면적개선여해금전후수익정상관。실증결과환발현，해금고수익능구반영공사기본면적시서변화화개체차이，종이험증료중국자본시장적유효성。
In the paper the authors find an abnormal return of - 13% associated with the lockup expiration of the restricted shares converted in the split - share structure reform in China. A large portion of this abnormal return was realized 40 days before the expiration date. Our information revelation hypothesis postulates that the tradable shareholders utilize the lockup period to evaluate the firm based on their ex ante expectation. They have the choice to quit the firm before the lockup expiration if information asymmetry remains, in order to avoid being taken advantage of by the insiders who hold the restricted shares, The regression analysis supports this hypothesis： Holding period returns are higher for firms of greater information transparency; and they are positively correlated with the improvement of firm fundamentals. The empirical results also show that the inter-temporal and cross-sectional variations of firm fundamentals explain stock prices. These findings offer evidence in support of the informational efficiency of China＇s A-share stock market.