摘要
本文论证了股权分置格局下非流通股流通权的看涨期权性质,这一发现在定性方面澄清了过去对"流通股含权"的模糊认识,在定量方面也提供了一套统一、有力的分析工具,并根据股权分置试点方案做了应用分析。以上述发现为基础,本文进一步揭示了我国股市独特的"四维定价机制",这一新的理论框架对我国股市过去及当前的诸多谜团有着惊人的解释力,如一级市场的IPO高抑价和IPO长期回报不佳,二级市场的持续低迷和结构调整。
This paper proves that call option is the essence of Circulation right of non-tradable shares on condition that Stock Market Segmentation exists.This conclusion not only clarifies some vague thoughts about tradable shares'owing some rights,but also provides useful facilities.Furthermore,the paper reveals unique Four-dimension Pricing Mechanism of China Stock Market.The new framework can easily answer many China Puzzles such as high IPOs underpricing,IPOs long-term underperformance,lasting bear market,restructure of prices,etc.
出处
《制度经济学研究》
2005年第4期77-98,共22页
Research on Institutional Economics
关键词
股权分置
看涨期权
四维定价机制
Stock Market Segmentation
Call Option
Four-dimension Pricing Mechanism
