摘要
本文结合现有金融理论,研究大宗股权的定价问题。大宗股权的重要特征是其具有控制权收益,同时由于交易规则的限制,它往往带有流动性约束。大宗股权的这些特征是散股所不具备的,因此也将在定价中反映出来。本文将二者的影响在一个统一的框架下进行分析,并对其做了定量的估计。通过对2002和2003年间我国上市公司协议转让的233笔非流通股的研究,本文发现:流动性约束对非流通股定价有负面作用,而控制权收益对非流通股定价有正面作用。
Unlike in other countries, negotiated block shares have a huge discount in China. We explain the puzzle by the trade-off between liquidity and control of bIock shares. While the size of the block increases the probability of gaining control, it also imposes liquidity constraints on the owner. The joint effects of private benefit of control and liquidity constraints have offsetting impact on the pricing of block shares; the first adds a premium and the latter adds a discount. We quantify this trade-off in the highly illiquid capital market of China, where block shares have severe trading restrictions. We find block share prices increase with block size, but decrease with the proportion of restricted shares in the ownership.
出处
《经济研究》
CSSCI
北大核心
2006年第1期101-108,共8页
Economic Research Journal
基金
国家自然科学基金的资助(项目70432002G02)。
关键词
大宗股权
定价
控制权收益
流动性约束
Block Share
Pricing
Control Gaining
Liquidity Constraints
