非对称信息条件下国有股减持定价研究  

Analysis of pricing method of reducing state-owned shares under asymmetric information

作　　者：庄新田[1] 苏艳丽[1] 何佳[2] 

机构地区：[1]东北大学工商管理学院,沈阳110004 [2]香港中文大学工商管理学院,中国香港

出　　处：《管理科学学报》2008年第3期140-152,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70371062)

摘　　要：中国上市公司的股权结构存在着特殊的主体构成,其中国有股和法人股不能上市流通,股权的流动性分裂引发了众多的市场问题,解决国有股的流通是发展证券市场面临的关键.从国有股减持具有的期权特征角度,利用 Black-Scholes 模型分析了国有股减持的临界条件.从国有股减持价格的非对称信息角度,设计了政府(委托人)和市场投资者(代理人)各自的价值函数及激励策略,根据极大值原理建立了联合目标下的最优减持价格方程.在案例分析中,分别以每股净资产和股票内在价值为减持边界条件,给出股票市场价格与减持价格及转移价值的关系.从一个新的角度思考国有股减持定价问题,研究结果表明,在目前中国证券市场条件下,国有股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,提出对投资者的激励策略,在市场各主体利益均衡框架下确定减持价格.The shares structure of Chinese listed-companies comprise special main body. Non-circulation of the state-owned shares and the corporate shares are among them. The spilt of shares has become the origin of numerous issues. So how to settle the liquidity of the state-owned equities has become the core problem that the development of securities market faces today. In this paper, we provide two pricing methods of reducing the state-owned shares. One is from the side of option character. We obtain the option pricing method by using Black-Scholes model to analyze the frontier condition of reducing state-owned shares. The other is from the side of asymmetric information of reducing state-owned shares. We introduce the value functions and the incentive strategy of government （client） and market （agent） respectively, and then establish the value equation of reducing state-owned shares under the combined objective on the basis of maximizing value principle. In the analysis of cases, we compare the difference of two methods by using the net asset per equity and shares internal value as the frontier condition of reducing state-owned shares respectively, and then create the correlation of shares market price and price of reducing state-owned shares and transfer price. We consider pricing problem of reducing state-owned shares from a new angle. The research and case study show reducing state-owned shares should not adopt the pricing method of equilibrium market situation but should build incentive strategy of investors by combining the trait of liquidity premium, and then introduce the pricing method of reducing state-owned shares under the frame of the different shareholders＇ interest equilibrium situation.

关 键 词：证券市场 国有股减持 非对称信息 流动性溢价 减持价格 

分 类 号：F830.91[经济管理—金融学]