我国限售流通A股估值研究
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摘要
本文对我国限售流通A股的估值问题进行了深入研究。
一般来说,限售流通股(restricted stock)是指这样一类股票,由于某些条件的约束不能立即进入二级市场进行交易,而其他特征与普通股完全一样的股票。在经济实践中,限售流通股被广泛使用,如新股发行、股权激励、并购交易、风险投资以及股权分置改革等诸多领域。限售流通股具有广泛的存在和丰富的表现形式。实践中,当事人可以根据不同的需要对限售流通股的相关要素进行设计,从而达到特定的目的。
在我国,限售流通股主要有两类存在形式,一是由于股权分置改革产生的大量限售流通A股,二是在IPO网下配售过程中形成的限售流通A股。作为股权分置改革中股东承诺的一部分,限售流通A股将会在上市公司激励中发挥重要作用。此外,随着我国风险投资产业的发展,限售流通股的存在也将会愈加普遍。实践中,当事人需要对限售流通A股进行交易和管理,如质押贷款、协议转让、激励补偿和风险管理等。正是由于限售流通股在实践中的广泛应用和独特作用,所以,对我国限售流通A股进行研究具有重要的现实意义。
股票估值一向是金融学的核心命题,具有重要的理论意义。本文将限售流通股与估值联系起来,在借鉴国内外的相关研究的基础上,根据限售流通A股在我国的存在形式,利用已有的估值模型及其扩展对限售流通A股估值进行了深入研究。理论上,对现有的理论估值模型进行了扩展,以使其更加接近市场的实际。同时,利用已有的模型及扩展模型对我国的限售流通A股进行了适用性分析。从而在理论与实际两个方面对我国的限售流通A股进行了研究。
全文共设七章,第一章为引言,主要阐述本文的研究主题、研究意义及其创新之处。第二章为文献综述,对资产估值的方法与理论发展进行了评述,同时结合本文的研究主题,对限售流通股的研究进行了回顾。第三章为我国限售流通股的存在形式及其形成依据,同时对美国限售股进行了概述。第四章在理论与实际两个方面对限售流通股展开研究,收集了119个IPO网下配售过程中形成的限售流通A股样本数据,使用现有的理论估值模型与扩展模型对其进行估计;同时对样本数据在实践中的表现,估计出其实际价值,通过理论估计值与实际值的比较分析,检验现有的估值模型在我国市场的适用性。第五章对我国股权分置改革中的415个限售流通A股样本数据进行了理论与实际上的估值分析,通过理论与实际估值结果的比较分析影响其估值的因素并检验模型对我国限售流通A股实际价格折扣的解释能力。第六章主要对第四和第五章的结果进行横向比较,分析不同种类的限售流通A股在理论与实际估值上的差异,从更深的层次上分析影响限售流通股估值稳定性与可靠性的因素。第七章主要研究了在我国股权分置改革中限售流通A股的减持问题,首先通过建立模型对减持进行理论分析,然后对上述两类样本数据进行了实证分析。
本文的研究结论如下:
第一,与国外限售流通股的形成原因一样,我国限售流通股的形成主要是由于相关法律法规的约束。
第二,已有的限售流通股估值模型对我国限售流通A股实际价格折扣的解释存在较大差异。这种差异随着样本时间跨度的延长和市场波动的减小而减小,并且理论估值的稳定性和可靠性也随之增强。
第三,建立在Longstaff模型和Finnerty模型基础上的扩展估值模型具有较好的实际解释能力,尤其是对我国股权分置改革中形成的限售流通A股样本。
第四,在股权分置改革中形成的限售流通A股不会出现大规模的减持,除非国有资产的布局发生大的调整。
第五,对IPO网下配售形成的限售流通A股和股权分置改革中形成的限售流通A股的减持研究表明,前者的减持对其价格的影响难以确定,而后者的减持将对其市场交易价格产生显著的负面冲击。
本文的创新之处在于:
第一,对现有的限售流通股估值理论进行了总结,并在此基础上进行了模型的扩展。对样本数据的实际研究表明,扩展后的模型在解释限售流通股的实际价格折扣时要优于已有的限售流通股估值模型。
第二,分别计算了IPO网下配售和股权分置改革产生的限售流通A股样本的实际价格折扣,同时利用已有的估值模型和扩展后的模型对这些样本数据进行了理论价格折扣估值,通过理论价格折扣和实际价格折扣的比较发现了影响估值模型适用性的因素。
第三,通过建立理论模型分析了我国股权分置改革中限售流通A股的减持问题,通过收集样本数据实证检验了两类限售流通A股减持对其市场交易价格的冲击效果。
This paper researches the pricing of restricted stock..
Generally speaking, the term "restricted stock" is defined as "securities acquired directly or indirectly from the issuer thereof, or from an affiliate of such issuer, in a transaction or chain of transactions not involving any public offering." In practice, because of the IPO issue, the stimulation or compensation plan, the M&A activity, the venture capital or the private equity and the reform of segmentation in share-holder etc.. The restricted stock has extensive existing forms. In practice, investors acquired the mortgage loans, transfer the restricted stock by agreement, and manage the risk from the restricted stock etc., which need to know the value of restricted stocks. So it has a very important theoretical and practical meaning to research the pricing of restricted stocks.
Valuation is always one of the most important aspects in financial field. This paper combines the restricted stock with valuation. Based on the research from home and abroad, this paper analyzes the existed valuation model, and acquired new model by analyzing the premise of Longstaff and Finnerty model. We get 119 samples from IPO placement to institutional investor and 415 samples from the reform of segmentation in share-holder, and estimate the price discount of these samples. Furthermore, we also acquire the theoretical price discount of these samples according existed valuation model. Compared the theoretical discount with practical discount, we find the factors which influence the effective and robust of the valuation model.
The structure includes: Preface; Chapter 2, we review the method and theory of asset pricing, including the pricing of restricted stock. Chapter 3, we describe the existing forms of restricted stock and overview the restricted stock in U.S.. Chapter 4 and 5, according to the existing valuation model, we estimate the theoretical and practical price discount to the 119 samples from the IPO placement and the 415 samples from the reform of segmentation in share-holder. Chapter 6, we compare the theoretical and practical price discount according to the different valuation models and different category samples. Chapter 7, we analyze the reduction of restricted stock by building the model, and make empirical study to effects of reduction of restricted stock in different category samples.
The conclusions are as follows:
1. Most of restricted stocks in China are from the restriction by law, which is same as in U.S..
2. There is some difference between the theoretical price discount according the existing valuation model and the practical price discount, and the difference will be smaller because of the longer period and smaller volatility.
3. The arithmetic average model based on the Longstaff model and Finnerty model has stronger ability to explain the practical price discount than other existing model, especially to the samples from the reform of segmentation in share-holder.
4. The large scale reduction of restricted A stock is not likely to happen, if not government adjusts the structure of state-owned assets.
5. The reduction caused the adverse impact to market price of restricted stock from the he reform of segmentation in share-holder, but this phenomenon is unavailable in IPO placement.
The main innovations of this dissertation are listed as follows:
1. Based on the Longstaff model and Finnerty model, we acquired a now valuation model, which has stronger ability to explain the practical price discount than other existing model, especially to the samples from the reform of segmentation in share-holder.
2. According the related valuation model and samples from the IPO placement and the reform of segmentation in share-holder, we get the theoretical and practical price discount. By comparing the theoretical to practical price discount, we find the some factors influence the effective and robust of valuation model.
3. We analyze the reduction of restricted stock by building the model, and make empirical study to effects of reduction of restricted stock in different category samples.
一般来说,限售流通股(restricted stock)是指这样一类股票,由于某些条件的约束不能立即进入二级市场进行交易,而其他特征与普通股完全一样的股票。在经济实践中,限售流通股被广泛使用,如新股发行、股权激励、并购交易、风险投资以及股权分置改革等诸多领域。限售流通股具有广泛的存在和丰富的表现形式。实践中,当事人可以根据不同的需要对限售流通股的相关要素进行设计,从而达到特定的目的。
在我国,限售流通股主要有两类存在形式,一是由于股权分置改革产生的大量限售流通A股,二是在IPO网下配售过程中形成的限售流通A股。作为股权分置改革中股东承诺的一部分,限售流通A股将会在上市公司激励中发挥重要作用。此外,随着我国风险投资产业的发展,限售流通股的存在也将会愈加普遍。实践中,当事人需要对限售流通A股进行交易和管理,如质押贷款、协议转让、激励补偿和风险管理等。正是由于限售流通股在实践中的广泛应用和独特作用,所以,对我国限售流通A股进行研究具有重要的现实意义。
股票估值一向是金融学的核心命题,具有重要的理论意义。本文将限售流通股与估值联系起来,在借鉴国内外的相关研究的基础上,根据限售流通A股在我国的存在形式,利用已有的估值模型及其扩展对限售流通A股估值进行了深入研究。理论上,对现有的理论估值模型进行了扩展,以使其更加接近市场的实际。同时,利用已有的模型及扩展模型对我国的限售流通A股进行了适用性分析。从而在理论与实际两个方面对我国的限售流通A股进行了研究。
全文共设七章,第一章为引言,主要阐述本文的研究主题、研究意义及其创新之处。第二章为文献综述,对资产估值的方法与理论发展进行了评述,同时结合本文的研究主题,对限售流通股的研究进行了回顾。第三章为我国限售流通股的存在形式及其形成依据,同时对美国限售股进行了概述。第四章在理论与实际两个方面对限售流通股展开研究,收集了119个IPO网下配售过程中形成的限售流通A股样本数据,使用现有的理论估值模型与扩展模型对其进行估计;同时对样本数据在实践中的表现,估计出其实际价值,通过理论估计值与实际值的比较分析,检验现有的估值模型在我国市场的适用性。第五章对我国股权分置改革中的415个限售流通A股样本数据进行了理论与实际上的估值分析,通过理论与实际估值结果的比较分析影响其估值的因素并检验模型对我国限售流通A股实际价格折扣的解释能力。第六章主要对第四和第五章的结果进行横向比较,分析不同种类的限售流通A股在理论与实际估值上的差异,从更深的层次上分析影响限售流通股估值稳定性与可靠性的因素。第七章主要研究了在我国股权分置改革中限售流通A股的减持问题,首先通过建立模型对减持进行理论分析,然后对上述两类样本数据进行了实证分析。
本文的研究结论如下:
第一,与国外限售流通股的形成原因一样,我国限售流通股的形成主要是由于相关法律法规的约束。
第二,已有的限售流通股估值模型对我国限售流通A股实际价格折扣的解释存在较大差异。这种差异随着样本时间跨度的延长和市场波动的减小而减小,并且理论估值的稳定性和可靠性也随之增强。
第三,建立在Longstaff模型和Finnerty模型基础上的扩展估值模型具有较好的实际解释能力,尤其是对我国股权分置改革中形成的限售流通A股样本。
第四,在股权分置改革中形成的限售流通A股不会出现大规模的减持,除非国有资产的布局发生大的调整。
第五,对IPO网下配售形成的限售流通A股和股权分置改革中形成的限售流通A股的减持研究表明,前者的减持对其价格的影响难以确定,而后者的减持将对其市场交易价格产生显著的负面冲击。
本文的创新之处在于:
第一,对现有的限售流通股估值理论进行了总结,并在此基础上进行了模型的扩展。对样本数据的实际研究表明,扩展后的模型在解释限售流通股的实际价格折扣时要优于已有的限售流通股估值模型。
第二,分别计算了IPO网下配售和股权分置改革产生的限售流通A股样本的实际价格折扣,同时利用已有的估值模型和扩展后的模型对这些样本数据进行了理论价格折扣估值,通过理论价格折扣和实际价格折扣的比较发现了影响估值模型适用性的因素。
第三,通过建立理论模型分析了我国股权分置改革中限售流通A股的减持问题,通过收集样本数据实证检验了两类限售流通A股减持对其市场交易价格的冲击效果。
This paper researches the pricing of restricted stock..
Generally speaking, the term "restricted stock" is defined as "securities acquired directly or indirectly from the issuer thereof, or from an affiliate of such issuer, in a transaction or chain of transactions not involving any public offering." In practice, because of the IPO issue, the stimulation or compensation plan, the M&A activity, the venture capital or the private equity and the reform of segmentation in share-holder etc.. The restricted stock has extensive existing forms. In practice, investors acquired the mortgage loans, transfer the restricted stock by agreement, and manage the risk from the restricted stock etc., which need to know the value of restricted stocks. So it has a very important theoretical and practical meaning to research the pricing of restricted stocks.
Valuation is always one of the most important aspects in financial field. This paper combines the restricted stock with valuation. Based on the research from home and abroad, this paper analyzes the existed valuation model, and acquired new model by analyzing the premise of Longstaff and Finnerty model. We get 119 samples from IPO placement to institutional investor and 415 samples from the reform of segmentation in share-holder, and estimate the price discount of these samples. Furthermore, we also acquire the theoretical price discount of these samples according existed valuation model. Compared the theoretical discount with practical discount, we find the factors which influence the effective and robust of the valuation model.
The structure includes: Preface; Chapter 2, we review the method and theory of asset pricing, including the pricing of restricted stock. Chapter 3, we describe the existing forms of restricted stock and overview the restricted stock in U.S.. Chapter 4 and 5, according to the existing valuation model, we estimate the theoretical and practical price discount to the 119 samples from the IPO placement and the 415 samples from the reform of segmentation in share-holder. Chapter 6, we compare the theoretical and practical price discount according to the different valuation models and different category samples. Chapter 7, we analyze the reduction of restricted stock by building the model, and make empirical study to effects of reduction of restricted stock in different category samples.
The conclusions are as follows:
1. Most of restricted stocks in China are from the restriction by law, which is same as in U.S..
2. There is some difference between the theoretical price discount according the existing valuation model and the practical price discount, and the difference will be smaller because of the longer period and smaller volatility.
3. The arithmetic average model based on the Longstaff model and Finnerty model has stronger ability to explain the practical price discount than other existing model, especially to the samples from the reform of segmentation in share-holder.
4. The large scale reduction of restricted A stock is not likely to happen, if not government adjusts the structure of state-owned assets.
5. The reduction caused the adverse impact to market price of restricted stock from the he reform of segmentation in share-holder, but this phenomenon is unavailable in IPO placement.
The main innovations of this dissertation are listed as follows:
1. Based on the Longstaff model and Finnerty model, we acquired a now valuation model, which has stronger ability to explain the practical price discount than other existing model, especially to the samples from the reform of segmentation in share-holder.
2. According the related valuation model and samples from the IPO placement and the reform of segmentation in share-holder, we get the theoretical and practical price discount. By comparing the theoretical to practical price discount, we find the some factors influence the effective and robust of valuation model.
3. We analyze the reduction of restricted stock by building the model, and make empirical study to effects of reduction of restricted stock in different category samples.
引文
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[1]曹明,陈收.股权分置改革中控股股东增持的股价表现及政策含义[J].特区经济,2006,No.4:17-19.
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[9]刘力,王汀汀.不应忽略股票的流通权价值--兼论中国股票市场的二元股权结构问题[J].管理世界,2003,No.9:46-51.
[10]梁立俊,樊文静.国有股减持与投资者定价行为及其转变的行为金融学分析[A].见:第三届中国金融学年会论文集[C]。上海,2006.
[11]马海啸.股权分置改革中法人股价值评估方法初探[J].中国资产评估,2006,No.3:30-31.
[12]彭莉.张鼎祖,伍建筑.限售股权定价的实证检验[J].财经理论与实践,2007,Vol.28,No.1:51-55.
[13]綦缚鹏.股权分置改革后的非流通股减持行为及减持压力研究[R].深圳:华林证券有限责任公司,2005.
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[16]王俊英,潘淑娟,文忠桥.股权分置改革中的非流通股估价研究--基于市盈率的模型[J].贵州财经学院学报,2006,No.1:30-34.
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[24]杨丹,林茂.我国IPO长期市场表现的实证研究--基于超常收益率不同测度方法的比较分析[J].会计研究,2006,No.11:61-68.
[25]袁怀中.我国上市公司股权分置改革研究[D].上海:复旦大学,2006:86-92.
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[28]朱曦.上市公司国有股转让定价方法探讨[J].山西财经大学学报,2003,No.9:60-62.
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[1]曹明,陈收.股权分置改革中控股股东增持的股价表现及政策含义[J].特区经济,2006,No.4:17-19.
[2]曹明,陈收.股权分置改革中的市场价格稳定性问题研究[J].经济与管理研究,2006,No.1:47-51.
[3]陈雨露.汪昌云.金融学文献通论[M].北京:中国人民大学出版社,2006:
[4]付敏,陶长高,李少军.我国股权分置改革问题讨论综述[J].经济理论与经济管理,2006,No.1:75-79.
[5]胡庆康.公司金融[M].北京:首都经济贸易大学出版社,2003:36-38.
[6]霍学文,赵军.关于股票定价理论的发展脉络[J].南开经济研究,1998,No.1:48-53.
[7]廖士光.流动性价值研究综述[J].当代经济管理,2007,Vol.29,No.2:5-11.
[8]刘红忠.金融市场学[M].上海:上海人民出版社,2003:
[9]刘力,王汀汀.不应忽略股票的流通权价值--兼论中国股票市场的二元股权结构问题[J].管理世界,2003,No.9:46-51.
[10]梁立俊,樊文静.国有股减持与投资者定价行为及其转变的行为金融学分析[A].见:第三届中国金融学年会论文集[C]。上海,2006.
[11]马海啸.股权分置改革中法人股价值评估方法初探[J].中国资产评估,2006,No.3:30-31.
[12]彭莉.张鼎祖,伍建筑.限售股权定价的实证检验[J].财经理论与实践,2007,Vol.28,No.1:51-55.
[13]綦缚鹏.股权分置改革后的非流通股减持行为及减持压力研究[R].深圳:华林证券有限责任公司,2005.
[14]邵宇.微观金融学及其数学基础[M].北京:清华大学出版社,2003:56-58.
[15]王志诚,张翼.大宗股权转让和公司控制[J].管理世界,2004,5:116-126..
[16]王俊英,潘淑娟,文忠桥.股权分置改革中的非流通股估价研究--基于市盈率的模型[J].贵州财经学院学报,2006,No.1:30-34.
[17]王江.金融经济学[M].北京:中国人民大学出版社,2006:
[18]吴淑琨,卻峰.全流通预期下的股改扩容与价格压力实证研究[R].上海:海通证券股份有限公司,2006.
[19]伍德里奇J.M..林少宮,费剑平 林相森.计量经济学导论--现代观点[M].北京:中国人民大学出版社,1997:412-428.
[20]吴晓求.股权分置的若干理论问题--兼论全流通条件下中国资本市场的若干新变化[J].财贸经济,2006,No.2:24-31.
[21]吴晓求.中国资本市场:股权分裂与流动性变革[M].北京:中国人民大学出版社,2004.
[22]吴云峰,宋逢明.流动性风险与股票收益率[J].运筹与管理,2007,Vol.16,No.2:117-122.
[23]徐信忠,黄张凯,刘寅,薛彤.大宗股权定价的实证检验[J].经济研究,2006,Vol.41,No.1:101-108.
[24]杨丹,林茂.我国IPO长期市场表现的实证研究--基于超常收益率不同测度方法的比较分析[J].会计研究,2006,No.11:61-68.
[25]袁怀中.我国上市公司股权分置改革研究[D].上海:复旦大学,2006:86-92.
[26]于春海.雷达.新古典主义资产定价理论的形成[J].世界经济,2003,Vol.26,No.10:69-79.
[27]朱小平,暴冰,杨研.股权分置改革与流动性定价问题研究[J].会计研究,2006,No.2:87-92.
[28]朱曦.上市公司国有股转让定价方法探讨[J].山西财经大学学报,2003,No.9:60-62.
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