Information Discovery in Share Lockups: Evidence from the Split‐Share Structure Reform in China
研究中国股权分置改革中482个锁定期到期事件，发现-14%的异常回报，表明信息透明度、代理问题与机构投资者信息优势影响交易行为。
We document a prominent abnormal stock return of –14% during the [–120, +20] day window around 482 lockup expirations in the split‐share structure reform in China. The abnormal stock returns (selling volumes) are positively (negatively) correlated with firm information transparency and postreform performance improvement, but negatively (positively) related to the level of agency problems, suggesting the existence of information‐based trading during the lockups. We present important evidence that institutional investors, especially mutual funds, possess superior information discovering capabilities than that of individual investors. Our findings confirm the information roles of lockups as a tool to signal firm quality and a commitment device to alleviate agency problems.