国有股的最优减持

Optimal Reduction of State-owned Shares

在国有股减持过程中 ,国有股以什么样的速度减持才是最优的呢 ?围绕这个问题 ,本文构造了一个动态模型 ,证明了 ,当国有股总要以一定规模存在时 ,国有股的最优减持路径有两条 :等额减持和递减减持 ;最优路径的选择取决于国有股的减持规模、持续的时间以及对证券市场的冲击。具体而言 ,当国有股所有要减持的规模较大、对证券市场的冲击较大而且持续的时间又较短时 ,国有股等额减持是最优的 ;反之 ,国有股递减减持是最优的。另外本文还发现 ,国有股无论是沿着哪条最优路径减持 ,最优减持量都随着冲击的增加而下降 ,而且当冲击增加到一定程度后 ,国有股会最优地终止减持。这为我国暂停执行国有股减持“暂行办法”提供了一个脚注。

How can China reduce state-owned shares optimally? To answer this question, we construct a dynamic model where state must possess some stock of shares at the end of reduction of state-owned shares. We show there are two optimal reduction paths, constant reduction and diminishing reduction. The choice depends on the quantity of reduction, the duration of reduction and shocks ore reduction. We also find that the optimal reduction paths are the decreasing functions of shocks of reduction. When the shocks are gib enough, it is optimal to stop reducing state-owned shares, which accounts for the current situation in the reduction of state-owned shares.