中国股票市场流通性价值研究——基于非流通股协议转让与限售股转让的证据
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财经研究 2008 年 第 34 卷第 03 期, 页码：82 - 95
摘要
参考文献
摘要
文章利用股权分置改革前的非流通股协议转让样本与股权分置改革后的限售股票转让样本研究中国股票市场的流通性价值水平。研究结果表明,流通性存在价值,股权分置改革前,股票流通性价值水平均值约为66%,流通股市场的流动性显著影响股票流通性价值,但流通股的流动性与流通股价格波动率对股票流通性价值没有显著影响;股改后的股票流通性价值水平约为56%,流通股的流动性与波动性水平显著影响流通性价值。
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[4]吴翰.上市公司非流通A股转让问题的实证分析[R].广东证券研究,2002年2月10日.
[5]赵俊强,廖士光,李湛.中国上市公司股权分置改革中的利益分配研究[J].经济研究,2006,(11):112-122.
[6]赵强,苏一纯.企业价值评估中股权缺乏流通性减值折扣研究[J].中国资产评估,2002,(1):25-28.
[7]Bradley M.Interfirm tender offers and the market for corporate control[J].Journal ofBusiness,1980,53:345-376.
[8]Chen Zhiwu,Xiong Peng.Discounts on illiquidity stocks:Evidence from China[R].Yale Inter-national Center for Finance,Yale ICF Working Paper,No.00-56,September 2001.
[9]Gelman,Milton.An economist financial analyst’s approach to valuing stock of a closelyheld company[J].Journal of Taxation,1972,6:353-354.
[10]Grossman S J,O D Hart.One share-one vote and the market for corporate control[J].Journal of Financial Economics,1988,20:175-202.
[11]Hamilton,James L.Marketplace organization and marketability:NASDAQ,the stockexchange and the national market system[J].Journal of Finance,1978,5:487-503.
[12]Longstaff F A.How much can mrketability affect security values?[J].Journal of Fi-nance,1995a,50:1767-1774.
[13]Longstaff F A.Placing no arbitrage bounds on the value of nonmarketable and thinlytraded securities[J].Advances in Futures and Options Research,1995b,8:203-228.
[14]Longstaff F A.Optimal portfolio choice and the valuation of illiquid securities[J].TheReview of Financial Studies,2001,14:407-431.
[15]Maher,Michael J.Discounts for lack-of-marketability for closely held business interests[J].Taxes,1976,9:562-571.
[16]Moroney,Robert E.Most courts overvalue closely held stocks[J].Taxes,1973,3:144-154.
[17]Trout,Robert R.Estimation of the discount associated with the transfer of restrictedsecurities[J].Taxes,1977,6:381-384.
[18]U.S.Congress,House.Discounts involved in purchases of common stock(1966-1969)[M].Institutional Investor Study Report of the Securities and Exchange Commis-sion.H.R.Doc.No.64,Part 5,92nd Congress,1st Session,1971:2444-2456.The results suggest that the marketability owns its value,and before SSR themarketability value is about 66%.The market liquidity,corporate scale,per-formance and dividend are the critical factors influencing marketability val-ue,while the liquidity and price volatility of tradable shares have no effectson it.After SSR the marketability is about 56%,and the liquidity and pricevolatility of tradable shares do affect the marketability value.
引用本文
王旻, 杨朝军, 廖士光. 中国股票市场流通性价值研究——基于非流通股协议转让与限售股转让的证据[J]. 财经研究, 2008, 34(3): 82–95.
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