股权分置改革中的逆向选择问题研究

A Study on Adverse Selection in the Split Share Structure Reform

本文通过建立均衡对价模型,并构造ASI指数测算出股改中逆向选择的程度,研究了非流通股比例、股改前非流通股和流通股价值的相对差异、公司业绩、股改时段四个因素与逆向选择程度之间的关系。从股权集中和流通性折价切入,解释了前两个因素与逆向选择程度间的关系。通过行为金融学的理论,分析了非流通股股东如何利用流通股股东的非理性心理,解释了公司业绩良莠、股改阶段差异与逆向选择程度变化之间的关系。

It is likely that adverse selection exists in the process of the Split Share Structure Reform （SSSR） in china. Owing to non-tradable shareholders are always considered to have more relevant information than tradable shareholders, when it comes to the game which is aimed at figuring out a compensation ratio between non-tradable shareholders and tradable shareholders, non-tradable shareholders choose the strategy of lower compensation ratio. We constructed an equilibrium compensation ratio model, so that we could calculate the adverse selection index （ASI） which could be used to measure the extent of adverse selection. In further study, we engaged in some influential factors which might affect the extent of adverse selection. Firstly, the proportion of shares held by the non-tradable shareholders and the relative discount of marketability have positive effect on the extend of adverse selection. Secondly, a better financial performance of the company might incur a much more serious adverse selection problem. Thirdly, the extent of adverse selection was changing with reform period. In order to explain all these phenomena, we looked deeply into tradable shareholders＇ psychology： they were irrational in the game, and the non-tradable shareholders took advantage of their irrational mentality.