战略配售股东的投资行为和最优减持策略被引量：2

Analysis of the investment behavior and optimal trading policy of strategic allotment shareholders

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摘要研究IPO周期中战略配售股东的投资行为及减持策略.利用实物期权博弈论,给出了有战略配售股东投资的IPO均衡定价和最优时机的解析式,及风险规避型战略配售股东的最优减持策略.研究表明:战略配售股东最优投资决策受宏观经济、企业资本、行业成长性与波动性等九个要素的影响.最优减持策略基本都是逐次加大;减持的有利时机是市场行情好的时候;在市场偏弱的情况下,有两种策略可以选择:等待市场转好,或者用更少的步骤完成减持. This paper studies strategic allotment shareholders＇ investment behavior and selling strategies in the IPO cycle. Based on the game theory of real option, the equilibrium price and the optimal timing of IPOs with investment from strategic allotment shareholders are obtained. In addition, the optimal trading policy for the risk-averse strategic allotment stockholders is analyzed. Research shows that strategic allotment shareholders＇ investment decisions are affected by nine elements, such as macroeconomic, capital, industry growth and volatility, etc. Also, optimal trading strategy is successively increasing in most cases and bull market is a good time to sell lots of stocks; when it turns into a bear market, stockholders should wait until the market turns better, or sell large block of stocks by fewer steps.

作者陈珠明张天舒

机构地区中山大学管理学院

出处《系统工程学报》 CSCD 北大核心 2015年第5期659-670,共12页 Journal of Systems Engineering

基金国家自然科学基金资助项目(70971144 71231008)

关键词战略配售股东首次公开募股实物期权博弈论价格冲击最优减持策略 strategic allotment stockholders IPO real option game theory price impact optimal trading policy

分类号 F224 [经济管理—国民经济] F832.5 [经济管理—金融学]

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