论文部分内容阅读
如何在维护投资者利益,保持市场稳定基础上解决解禁后的限售股减持的市场压力,是管理层及市场投资者关注的焦点问题。从股票流动性、投资机会和信息获取的角度,运用金融期权理论建立了限售股大额减持价格模型,分析了减持的临界条件。通过与金融期权的映称关系,设计解禁者和机构投资者各自的价值函数,运用极大值原理建立联合目标下的最优减持价格方程。研究表明:限售股大额减持不能采用均衡市场条件下的定价方法,应结合市场的流动性溢价特性,提出对机构投资者的激励策略,在市场各主体利益均衡框架下实施减持方案。
How to deal with the market pressure of restricted share reduction after the lifting of the ban on the basis of safeguarding the interests of investors and maintaining market stability is the focus of attention of management and market investors. From the perspective of stock liquidity, investment opportunities and information acquisition, this paper establishes a model of large-capped shareholding reduction with the theory of financial option and analyzes the critical conditions of reduction. Through the relationship with the mapping of financial options, we design the value function of each of the bankers and institutional investors and establish the optimal reduction price equation under the joint goal by using the maximum principle. The research shows that the large-capped shareholding reduction can not adopt the pricing method under the equilibrium market conditions. The incentive strategy for institutional investors should be proposed according to the liquidity premium characteristics of the market, and the reduction plan should be implemented under the balance of interests of all the main players in the market .