Research On Excess Return In Private Placement Of Restricted Shares Lifted

Restricted shares in China appears since 2005 and research earlier has focused on the whole restricted shares lifted. However, first placement of restricted shares has been taking a much larger proportion during these years due to its own characteristics. The participants are mostly financial capital such as securities and fund. And they make their profits from buying and selling stocks so they may behave differently due to the discount they take is nothing when compared to IPO (Initial Public Offerings) and other types of investors.The main purpose of this research is to find whether there exists significant excess return before and after the lifted event and the factors related to it. In section ?, we will make a full description on the background the issue is put forward and how we fix our research ideas. We will also mention the research methods and the innovation. In section ?, we will have a whole description on the background of first placement of restricted shares and several theories this research is based on, such as efficient market hypothesis, supply and demand theory in stocks and behavioral finance theory. The regulations and policies related to unlock event of restricted shares are also introduced. In section ?, we will have a full description of research method and the model which will be used for positive research.In section IV, also the key part of this research, we will make several statistical analysis on cumulative excess return and the relationship between valuation metrics and them; in the regression part, we will regress cumulative excess return and the lifted proportion and valuation metrics such as PE and PB. In section V, we will conclude our results and make our recommendation to regulatory authorities and investors.The method this essay take is event study. We can find whether there exists excess return and further make statistical and regression analysis to study the relevant impact factor by research the event of private placement of restricted shares lifted. As to the topic, restricted shares lifted will remain exist and be more and more popular among the listed company in the future with the characteristics of earnings management and interest transport. This essay will provide corresponding research thought and the data and conclusion made will do some good for investors and government sector. The main innovations are as follows: first, the research on excess return of private placement of restricted shares lifted amounts small when compared to that of restricted shares and we have due reasons to assume investor will react differently when faced such things with different source of profit and participants. Besides, we choose different variables from the angle of supply and demand. Lifted proportion stands for supply and valuation indicators such as PE and PB stand for demand. At last, we choose to make statistical and regression analysis to make the conclusion more credible and the time period we choose cross bull and bear market to weaken the effect from market.