基于期权框架下的限售股减持策略  

The Strategy of the Restricted Stock Reduction Based on the Option Framework

作　　者：苏艳丽[1] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《系统工程》2009年第11期20-26,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(70871022)

摘　　要：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。The core question concerned by the managers and the market investors is that how to dispose the market pressure of the reduction of the restricted stock after the lifting of the ban based on protecting the benefit of the investors and maintaining the market stability. From the view point of the stock liquidity, investment opportunities and the information acquirement, we establish the large reduction price model of the restricted stock by using the theory of the financial option in order to analyze the critical condition of the reduction. According to the mapping relationship between the financial options, we design the value function of the lifting restricted holders and the institutional investors, and establish the optimal reduction price function under the combined objectives by using of the maximum principle. The research shows that the price methodology under the conditions of the equilibrium market is not suitable for the large reduction of the restricted stock, that incentive strategies for the institutional investors should be put forword according to the characteristic of the market liquidity premium, and that the reduction scheme shouod be implemented under the equilibrium framework of th：. benefits of the market different principal parts.

关 键 词：限售股 非对称性信息 期权 流动性溢价 减持策略 

分 类 号：F830[经济管理—金融学]