Research On Abnormal Return Rate And Its Influencing Factors Before And After The Lifting Of The Ban On Private Placement

After the release of the new regulations on refinancing in 2020,restrictions on the validity period of approval documents and financing scale were relaxed,which stimulated the enthusiasm for participation in the private placement market.The number and scale of private placement of restricted shares also increased significantly,and their proportion in the overall restricted shares gradually expanded.Currently,relevant scholars have conducted research on the lifting of the ban on restricted shares as a whole,without subdividing them,However,different types of restricted shares may have different effects on stock prices.Based on this,this article studies the impact and related influencing factors of the lifting of restricted shares in the popular private placement market after the release of new regulations in 2020 on stock prices.The specific research method is to put forward research hypotheses through theoretical and current situation analysis,and then observe the impact of deregulation events on stock returns through the event study and empirical analysis of the average abnormal returns and cumulative abnormal returns of sample stocks in different window periods before and after the deregulation date.In addition,this article also compares the market reactions to the lifting of restrictions on the issuance and implementation of two new regulations on fixed value added shares,and analyzes the market reactions brought about by the lifting of restrictions on fixed value added shares under different policy environments.Then,this article gradually regresses the lifting ratio,lifting market value,whether major shareholders subscribe,subscription methods,and company fundamentals data to identify the factors that significantly affect the changes in stock prices before and after the lifting date.This thesis first uses the event study to analyze the changes in stock returns within the event window,taking the events after the implementation of the new rules and the lifting of the ban in 2020 as the research sample,selecting the lifting date as the event date,and 10 trading days before and after the lifting of the ban as the event window.Using a market model to calculate the expected return,the daily average abnormal return(AAR)and cumulative average abnormal return(CAAR)within the event window are obtained.Event study shows that,for the whole sample,the cumulative average abnormal return of stocks during the lifting period is significantly negative,but the daily average abnormal return is different before and after the lifting of the ban.The abnormal return in the earlier period of the lifting of the ban is significantly negative,and most trading days after the lifting of the ban have positive abnormal returns,but the average cumulative abnormal return is still negative,indicating that the stock price decline before the lifting of the ban is greater than the rise of the stock price after the lifting of the ban.The results of stepwise regression analysis on cross-sectional data show that the cumulative abnormal return rate caused by the lifting of restrictions is significantly negatively correlated with the lifting ratio,company size,and price to book ratio;There is a significant positive correlation with turnover rate,and the lifting of the ban event can increase the liquidity of the stock market to a certain extent,thereby improving the stock yield;In addition,the cumulative abnormal returns before and after the lifting of the ban on private placement of sample shares and asset subscription of sample shares with the participation of major shareholders are higher than those of private placement and lifting of ban on sample shares without the participation of major shareholders and with cash subscription.Finally,in response to the above conclusions,this article proposes policy recommendations from three aspects: investors,companies implementing targeted issuance,and regulatory authorities.