摘 要
本文首先将创业板的股票回报率与对应同时间区间的行业指数
回报率进行比较，我们发现限售股解禁事件对于个股有明显的异常负
回报，在解禁当天解禁个股有明显的异常正回报；接下来，我们进一
步使用历史事件法，用市场模型来计算得到累积异常回报率，我们发
现 PE 组和自然人组对事件的反映存在差异。此实证研究的结果可以
被我们通常的认识所解释，并能在一定程度上代表和说明我国证券市
场的一些特点。本文较新颖的地方在于将解禁与 PE 两个热门课题结
合起来研究，最终从侧面证明了 PE 机构价值的存在。

关键字：私募股权基金，自然人股东，限售股，解禁
ABSTRACT
Firstly, we compared the return on the stocks from GEM with the
return on the industry index, and we can discover that there is an
abnormal negative return during the unlock event and an abnormal
positive return just on the unlock day. Secondly, we use the history event
method and market model to get the cumulated abnormal return, and we
can discover that there is some difference between PE group and
individual group. The result of this study can be explained and it can
represent the characteristic of the Chinese market to some extent. The
new point for this paper is that this study combined two hot topics
(unlock event and PE firm) together and proved the value of PE firms
from another angle.
KEY WORDS: PE fund, limited shares, unlock day.