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(A) restricted shares lifted after a period of time, there are no other factors that affect stock prices exist, for example, the operations of listed companies themselves change, government policy dissemination. Stock price volatility depends only on investor behavior, behavior change investors' trading in the stock market, supply and demand conditions, and then change the price of the stock, that is, we assume that the stock price on the market game equilibrium between investors, Other factors are treated as noise.

假设在股票市场上的交易方只有流通股股东和限售股股东，并且两方都是经济理性的，即双方参与股票投资的目的都只是为了获取经济利益。

(2) Assuming the stock market counterparties only tradable shares and restricted shares, and the two parties are economic rationality, that the purpose of investing in stocks both sides just to obtain economic benefits.

股票价格遵循随机游走。在未来的一段时间内，股价上涨或下跌的概率、幅度相同。

(3) stock prices follow a random walk. In the next period of time, the share price up or down the probability of the same magnitude.

(A) Selection of variables

变量的选择

A dependent variable

In order for the first restricted shares on the stock yields quantitative analysis of the impact, we counted each time point of restricted shares lifted stocks before 30 days, 7 days, as well as a trading post facto ban 30 days, 7 days, 1-day Quote change. To eliminate systemic effects, more prominent restricted shares lifted the single event effects, the use of stocks in the stock prices go drop this period minus the stocks of the industry as a whole during the same period rose decreases resulting average excess return As the object of study.

EV - stock excess returns, that is, multiple linear regression model the dependent variable. 30 trading days before the lifting of the ban point in time, seven days, a trading and de facto ban after 30 days, 7 days, 1-day average excess return are expressed as: EVBM, EVBW, EVBD, EVAM, EVAW, EVAD.
Two explanatory variables
(A) ban ratio
RR - Current starter number of restricted shares representing the ratio of the number of outstanding shares
(2) stock valuation levels
Commonly used measure of stock valuation level indicators PE) PE and PB PB, due to the different sectors of the stocks a reasonable valuation levels between there is a big difference between, according to industry attributes of individual stocks will be divided complicating the model for the study results, and no substantive significance, therefore, this article will stock all levels of earnings and book value as explanatory variables into the regression model, in order to be able to control the overall impact of industry or market factors, earnings for logarithmic processing, which uses LPE, LPB as explanatory variables.

Variable type symbols meanings
Explanatory variables EVBM lifted point in time before 30 days, the average excess return
EVBW lifted point in time before seven working days, the average excess return
EVBD lifted point in time before a working day, the average excess return
EVAM de facto ban after 30 working days, the average excess return
EVAW de facto ban after seven days, the average excess return