“新三板”做市公司股权质押融资模型研究

"新三板"是我国资本市场的新事物,有许多尚待研究的重要命题。本文在回顾股权质押价值评估和风险防范文献的基础上,构建了基于"新三板"做市公司的股权质押融资模型。模型的关键变量包括股权质押价格、风险成本线、平仓线、预警线补仓时间等。上述变量的计算方法综合考虑了个股历史数据和样本做市公司历史数据,提高了模型的准确性和精细化程度。本文最后对"新三板"股权质押融资业务的健康发展,提出了几点政策建议。

NEEQ is a new thing in China＇s capital market, which has many important topics for further study. This paper firstly reviews the equity pledge valuation and risk prevention literatures, and then constructs equity pledge funding model based on NEEQ market-making company. The model＇s key variables include equity pledge pricing, cost price, close position price, warning price and margin call time, etc. They are calculated by target company＇s data and sample companies＇ data, which improves the degree of accuracy and refinement of the model. In the end, this paper puts forward several policy recommendations for equity pledge funding in NEEQ.