大非減持之擇時與公告後股價反應

The Timing and Market Reaction for Large Non-tradable Shareholders' Holding Reduction

2005年股權分置改革為中國大陸股票市場的重要改革之一，主要目的讓非流通股取得流通權。之後幾年，許多大型非流通股東(大非)紛紛於市場上開始減持原非流通股，並對市場股價造成波動。本文以2009年至2011年上海證券交易所網站之795次大非減持公告，探討大非在減持開始之前的擇時能力，以及在減持公告之後的市場反應，並探討這兩者的影響因素。研究結果發現，大非在減持開始之前，的確選擇可以獲得可觀報酬的時機。本文設計一個「大非擇時」指標，認為若大非在減持前已選擇可獲得可觀報酬的時機，又於短時間內大幅減持，即是大非透過擇時來獲取超額報酬。迴歸分析發現若非流通股東給予流通股東之對價比率越高，非流通股東持有公司股權減少越多，因此較難去作擇時出售的動作。而且，當大非對公司有較高的控制力，越會有擇時出售的行為。另外，公司每股現金流量越高，表示公司經營績效良好，大非較不用擇時出售。關於大非減持公告後之市場股價反應，若外部股東發現大非有擇時出售，則股價會下跌較多。而且，當延長禁售期間越長，表示做此承諾的非流通股東願意長期持有公司股票，因此在減持公告之後的股價較不會有負面反應。

The main purpose of Non-tradable Share Reform, one of the most important reforms in Chinese capital market, was to let the non-tradable shareholders have the liquidity of shares. A lot of non-tradable shareholders reduced their holding shares, and it resulted in the fluctuation of stock price for several years. In this paper, we focus on the 795 announcements of large non-tradable shareholders' holding reductions in the sampling period from 2009 to 2011. This paper investigates the large non-tradable shareholders' timing ability before their holding reductions, the market response after the announcements of those holding reductions, and the factors of the timing ability and the market response. The empirical results support that the large non-tradable shareholders did select the timing that they could earn considerable return when they began to reduce their holding shares. And two days before the announcement of holding reduction, the cumulative abnormal returns had dropped. It means that the information of holding reduction had been exposed before the announcement. We design a norm of timing ability of large non-tradable holders, and consider that if the non-tradable shareholders have selected the timing that they could earn considerable return, and sell their holding shares significantly in a short time, the non-tradable shareholders are earning excess returns through their timing ability. The regression analysis shows that if the compensation that non-tradable shareholders give tradable shareholders is higher, it would be more difficult for non-tradable shareholders to use the timing ability when they began to reduce their holding shares. Moreover, the higher the large non-tradable shareholders have control of a company, the more the timing selections exist. In addition, the higher the per share cash flow of a company is, which means the company has a better performance,the fewer the timing selections exist. As for the market response after the announcement of the large non-tradable shareholder' holding reductions, if the external shareholders found that the large non-tradable shareholders' used the timing ability to sell their holding shares, the stock price would drop more. Moreover, when the lock-up period is longer, which means that the non-tradable shareholders would like to hold the company's stock in a long term, there are fewer negative reactions of stock price after the announcements of the large non-tradable shareholders' holding reductions.