【摘要】 流动性风险和企业控制权这两个因素共同影响着股东投资于股票的意愿,进而影响着股票的价格。本文采用Pratt-Arrow对风险溢酬的度量方法,分析了有投票权和无投票权股票的流动性风险溢酬。分析表明,这两种股票的流动性风险溢酬由投资者的风险厌恶程度、预期消费流量的方差以及股票变现的概率等因素决定。最后,本文对这两种股票的价格进行了比较分析,揭示出驱动这两种股票间价格差别的主要动因在于流动性与企业控制权的共同作用。更多还原

【Abstract】 Liquidity risk and corporate control considerations jointly affect shareholders’ willingness to invest in stocks and thus influence the prices of common stocks.This paper derives the liquidity risk premium for voting and non-voting shares based on Arrow-Pratt’s thoughts. It shows that the liquidity risk premium depends on the investor’s risk aversion,the variance of his future consumption flow and the liquidation probability of each share type.Finally,the paper compares the investior’s reservation prices for both share types and identifies the interaction between liquidity and corporate control as the main factor driving the price difference between the dual class shares.更多还原