摘要
任何资产或财富权利的价值,均来自于其能够产生预期的货币收入,资产或权利价值的大小由预期收入折现后得到。进入流通领域与交易过程中的股票资产,因其买卖的灵活性与便利,赋予资产持有者一种自由出售的选择权,使其能够在不确定性环境中相机抉择出售资产以获取期望收益。因此,与内在价值的产生机理相类似,股票资产因其流动性而提供给持有者的这种能够产生预期收益的权利也具有相应的价值,即为“流动性价值”。流动性价值的大小,对应着预期收益的折现值,并在股票价格中得到反映。在当前市场环境下,进行股票流动性价值的研究具有很强的理论价值与现实意义。尤其是为阐明存在高换手率现象的新兴证券市场中,股票价格会远高于由其未来收益所反映的价值这一现象提供了思路。
作为本论文的研究对象,股票市场流动性价值问题的探讨,主要围绕以下三个研究环节展开,每个环节均包含一个创新点:基于选择权的思想,通过对股票流动性价值的来源分析与期权属性的总结,界定了股票流动性价值的涵义。在此基础上,借鉴期权定价原理与方法,构建股票市场流动性价值定量测度模型。紧接着,在理论支撑下,展开A股市场流动性价值水平的实证研究。具体说来,股票流动性价值的涵义界定、模型构建与中国股票市场实证分析这三个环节各自的研究思路、内容与研究结论如下:
1、关于股票流动性价值的理论分析与内涵界定。
首先,通过对股票内在价值理论发展脉络的梳理,探讨了内在价值理论所遵循的资本价值评估思想,以及一系列评估模型所依照的更加接近股票真实价值的发展路径。在此基础上,探讨了广义的资本价值的来源问题,并通过与内在价值的类比分析论证了股票流动性价值存在的合理性。
随后,探讨期权的本质并将期权价值推广至一种广义上的期权性价值。在此基础上,论证了流通领域中股票资产所蕴含的期权属性,以及相应的流动性价值属于期权性价值。
最后,通过对股票流动性价值的来源与期权属性的总结,明确界定了股票流动性价值的涵义:股票资产的流动属性带来的交易便利,赋予资产持有者一种不确定性条件下、未来时间的选择权,使其能够相机抉择出售资产以把握潜在的获利时机,并且具有出售资产的权利而没有出售的义务。这种因流动性而提供给资产持有者的能够产生预期收益的选择权具有相应的价值,可称之为流动性价值。资产的流动性价值也可以视为流通领域中股票资产本身所蕴含的一种转售期权的价值,这种转售期权的价值内化为资产价格的有效组成部分。
2、构建股票市场流动性价值理论模型。
在股票流动性价值理论分析与涵义界定的基础上,为定量测度股票价格中所蕴含的流动性价值的大小,无疑需要进一步构建股票市场流动性价值理论模型。基于流动性价值属于一种期权性价值,本文借鉴期权定价方法,在连续时间均衡模型框架内对其展开分析:
首先,对J-W模型进行扩展,分别研究两种市场情形下的交易均衡与相应转售期权的价值。具体而言,当不确定性出现“有利”一面时,在市场上涨情形中,投资者过度自信系数,资产持有者可以通过行使获利期权而获取收益;而当不确定性出现“坏”的一面时,在市场下跌情形中,投资者信心不足,信心系数,资产持有者可以通过行使止损期权而限制损失。在扩展的J-W模型中,通过对信心系数的扩展,给出了统一的均衡期权价值函数。
接着,在统一的框架内进行模型分析,探讨模型内在逻辑的合理性并分析流动性价值水平的影响因素。分析的重点在于探讨模型中某一参数的变化对于转售期权价值q*的影响。
3、进行中国股票市场流动性价值的实证研究。
在股票流动性价值理论依据下,运用扩展的J-W模型,展开A股市场流动性价值水平及其影响因素的实证分析。求解流动性价值即转售期权价值,需要确定研究期间内各模型参数值。因此,实证分析分两步走:
首先,对A股市场中影响流动性价值水平的各因素的参数值进行实证分析与计算。所涉及的因素具体包括投资者信心系数、无风险利率、均值回复参数、泊松分布参数、股票资产基础价值的波动率以及市场交易成本。
随后,与扩展的J-W模型相对应,分为两种情况测算了A股市场资产价格持续上涨与市场持续下跌情形中的流动性价值水平。在本文研究期间,市场上涨期2006年11月至2007年10月,由理论模型测算出流动性价值为6.835元,以相对值形式表示出的流动性价值水平约为48%;在市场下跌期2007年11月至2008年10月,得出流动性价值为2.718元,以相对值形式表示出的流动性价值水平约为20%。
The value of any asset or wealth right generally comes from its ability to bring the monetary income, and the quantity of this value is determined by the discount of expected income. For the sake of its exchange flexibility and convenience, the stock which come into the circulation and exchange process has endowed asset holder the free-sale rights to make sure that they could choose to sell asset correctly to get the expected return in the uncertain environment. So, similar to the mechanism of intrinsic value, the stock also has the corresponding value for its liquidity which provides holder the rights to produce expected profit, that is the“liquidity value”. The size of liquidity value is corresponding to the discount value of expected profit and will be reflected in the stock price. In the current market environment, research on the value of the stock liquidity has theoretical and practical value. In particular, it provide a way to understand the phenomenon that stock prices will be much higher than that of its value reflected by the future earning in emerging stock markets with a high turnover rate.
In this dissertation, the discusssion of the liquidity value problem of stock market is composed of three parts: based on the idea of option, the analysis of the origin of liquidity value of stock and the summary of opion property, the meaning of stock liquidity value is defined. Then, refered to the pricing principles and methods of option, quantitative measurement model of stock liquidity value is established. Finally, under the theoretical support, empirical study on the liquidity value level of A-share market is proceeded. And the main work and achievements of these three parts are summarized as follows:
I.Theoretical analysis and the meaning defined about the stock liquidity value
Firstly,according to the pectination of the theoretical development process of the stock intrinsic value, this dissertation discusses the capital value assessment idea followed by the intrinsic value theory, and the development path which is closest to the real value of the stock followed by the series of evaluation model. Based on this, the origin of the generalized capital value is discussed, and the rationality of the stock liquidity value existence is demonstrated by the analogous analysis.
Then, discuss the essence of option and put the option value into a broad sense. On this basis, option property which is inherent in the stock asset in the circulation is demonstrated and corresponding liquidity value belongs to the option value.
Finally, according to the summary of stock liquidity value origin and option property, the meaning of the the stock liquidity value is defined clearly for the first time: the trade facilitation brought by the liquidity property of stock, endows the holder the choice in the uncertain condition for the future, which enables them to sell the asset correctly and handle the potential benefiting time ,further more, possess the right to sell without the obligation. This kind of value which is due to liquidity and can provide shareholder choice to produce expected income is called the liquidity value. Liquidity value of asset can also be regarded as a kind of resale option value which is involved by stock itself in the circulation, and this resale option value can be internalized into the effective component of stock prices.
II. Theoretical model Establishment of the liquidity value in stock market Based on the theoretical analysis and the definition of stock liquidity value, in order to measure the liquidity value involved in the stock prices quantitatively, it is necessary to establish theoretical model of liquidity value in stock market. In terms of the idea that liquidity value belongs to the option value, refered to the option pricing method, the following analysis is carried out within the continuous time equilibrium model frame:
At first, the J-W model is expanded, and the trade balance and the corresponding resale option value in the two kinds of market conditions are researched respectively. when the uncertainty shows an advantageous possibility and market situation is rising, the overconfidence coefficient of investorsφ∈(1 ,∞), and the asset holders can obtain benefits by exercising the profitable options. On the other side, when the uncertainty shows a disadvantageous possibility and market situation is declining, there is a lack of confidence among investors, confidence coefficientφ∈( 0,1), and the asset holders can decrease the loss by exercising the loss-restricted options. In the expanded J-W model, the confidence coefficientφis expanded to the interval( 0,∞), and the uniform equilibrium option value function is presented.
Then, model analysis under the uniform frame is proceeded, the logical rationality within the model is discussed and the factors which affect the liquidity value level is analyzed, too. The emphasis of analysis lies in the affection of the parameter-change within the discussed model on the resale option value q*. III. The empirical study on the liquidity value in China’s stock market.
Based on the theory of stock liquidity value, applyed the expanded J-W model, the empirical analysis of the liquidity value level in A-share market and its affection factors is carried out. In order to acquire the liquidity value as well as the resale option value , each model parameter in the research interval should be calculated. So, the empirical analysis steps are as follows: *
Firstly, this dissertation proceeds the empirical analysis and calculation of each parameter which effects the liquidity value level in the A-share market. Involved factors are confidence coefficient of investors, risk-free rate, the mean reversion parameter, Poisson parameter, the volatility parameter of the fundamental value of the stock and the market transaction cost. Then, corresponding to the expanded J-W model, the liquidity value level in the stock price rising or declining condition of the A-share market is measured respectively. Within the research interval, market rose continuously from Nov in 2006 to Oct in 2007. Applied this model, the liquidity value is 6.835 ,and the liquidity value level in a related form is 48% approximatly. Market declined continuously from Nov in 2007 to Oct in 2008, the liquidity value level is 2.718, and the liquidity value level in a related form is 20% approximatly.
引文
2参见菲歇尔:《利息理论》;第9页,上海人民出版社,1999。
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6 Graham,B.and Dodd,D.,1951.Security Anlalysis:Principles and Techniques.3rd ed,NewYork:McGraw-Hill12-17.
7 Bernard,V.,1995,“The Feltham-Ohlson Framework: Implication for Empiricists”, Contemporary Accounting Research.11.pp.733—747.
8菲歇尔:《利息理论》;第9页,上海人民出版社,1999。
9凯恩斯:《就业、利息与货币概论》;第89-90页,中国社会出版社,2000。
10单向流转表示从商品生产者最终转移至商品使用者。
11《期货与期权教程》李一智主编清华大学出版社2003年1月第二版p163。
12 Hull J C.期权、期货和衍生证券[M].张陶伟译.北京:华夏出版社,1997. p 205-252
13《期货与期权教程》李一智主编清华大学出版社2003年1月第二版p162
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