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An analysis is given to historical reason why the national stocks can not have the same stock rights as the floating stock in Chinese stock market. Some plans and designs are advanced for our national stocks to reduce their holdings. These include: take "pure" net assets as initial model of pricing; convert national stock into floating stock so that it can be exchanged; ration and introdue subscription warrants to long established stock holders, etc. 就中国股市国有股不能与流通股“同股同权”的历史成因进行了分析 ,并提出了国有股减持应以“纯”净资产为初始定价模式、折股入市及向老股东配售引入认股权证等减持的方案设计。 The paper analyzes the popular pricing theories of initial pricing of new stocks in Chinese Security Market.With the help of principal component method,it concludes the major factors in initial pricing so as to build an ideal initial pricing model of stock shares.According to the model,the factors affecting initial pricing range from high level to low level are cost,investment preference,market condition,returns and growth.The results are slightly different from the traditional pricing theories. 现代股权定价理论对A股初始定价时存在缺陷,采用主成份回归法,确定影响A股初始定价的主因子,在此基础上建立初始定价模型。根据模型,影响A股初始定价的因素从高到低分别为:成本因子、投资偏好因子、市况因子、业绩成长性因子,实证结果与传统股票定价理论并不吻合。 A pricing model of defaultable bond considering the liquidity risk is proposed according to the empirical literature concerning the credit spread puzzle.This model separates default risk and the liquidity risk involved in bond prices,thus resulting in a liquidity risk-adjusted credit default swap pricing.As the disturbance from the li-(quidity) risk is eliminated,the pricing of the credit default swap with great accuracy is implemented.Meanwhile,the default strength parameters with and without liquidity risk... A pricing model of defaultable bond considering the liquidity risk is proposed according to the empirical literature concerning the credit spread puzzle.This model separates default risk and the liquidity risk involved in bond prices,thus resulting in a liquidity risk-adjusted credit default swap pricing.As the disturbance from the li-(quidity) risk is eliminated,the pricing of the credit default swap with great accuracy is implemented.Meanwhile,the default strength parameters with and without liquidity risk are respectively considered according to the data from Chinese corporate bond market,and the corresponding credit default swap prices are calculated.The results indicate that the neglect of liquidity risk will results in the overestimation of default probability of high-rated bonds,especially those with short maturities,thus further resulting in an overestimation of initial credit default swap prices. 根据实证文献对信用价差之谜的解答,构建了考虑流动性风险影响的可违约债券定价模型,分离了信用价差中所包含的违约风险与流动性风险,并在此基础上得到了流动性风险调整的信用违约互换定价.由于排除了流动性风险的干扰,实现了对信用违约互换更为精确的定价.利用中国企业债券市场数据,分别估计了考虑流动性风险影响和忽略流动性风险影响下的违约强度参数,并据此计算了两种情况下的互换价格.结果表明,忽略流动性风险会导致对高信用级别公司债券,特别是到期期限较短的高信用级别公司债券违约率的高估,进而造成信用违约互换初始定价的高估.
初始定价
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This paper analyzes the issue costs and initial pricing of bonds in the international market.
In addition, we also examine the effects of earnings predictability on the initial pricing of the firm's debt.
Initial pricing, expenditures, and/or performance may be subject to external audit.
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