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本文研究了创业板IPO首次解禁的市场反应,结果表明:从解禁日前第7天开始累积异常收益率显著为负,解禁造成累积收益率永久下降2%~2.5%。个股价格受到的负向冲击分为解禁日前3天的即期效应和解禁日前7天的综合效应;前者来自于市场预期的自我实现,后者额外受到承销商声誉和公司成长性的影响。解禁期内,风投参与未对股票价格产生显著影响,但风投机构的联合投资对股价产生负面的冲击。此外,券商直投具有传递公司质量的信号作用。
This paper studies the market reaction of the initial lifting of the IPO of GEM. The results show that the cumulative abnormal return rate from the 7th day before the lifting of the ban was significantly negative, lifting the ban resulted in a permanent reduction of the cumulative yield of 2% -2.5%. The negative impact on individual stock prices is divided into a three-day immediate effect of lifting the embargo and the combined effect of the 7 days prior to the lifting of the embargo. The former comes from the expected self-realization of the market, which is additionally affected by the reputation of the underwriter and the growth of the company. During the lifting of the ban period, venture capital participation did not have a significant impact on stock prices, but venture investment institutions have a negative impact on stock prices. In addition, direct sales brokerage firms have the signal to pass the quality of the role.