【作者】 徐钧；

【机构】 山东大学经济研究中心；

【摘要】 本文应用维纳随机过程理论研究中国股市风险资产收益率在股权分置制度变革下的变化规律,通过由维纳过程驱动的ITO过程在制度与市场波动之间建立起联系,构建了股权分置改革的随机波动模型,从理论上解释了流通股股东获得对价补偿的原因,推导出了对流通股东支付补偿的理论表达式。本文研究结果表明:股权分置制度变革使风险资产收益的波动率增加,而波动率增加导致改制过程中风险资产的期望收益率降低,为保持金融市场稳定,需要给流通股投资者支付补偿。制度变革成功的关键在于能否有效避免波动率的增加,在制度变革的同时向流通股投资者支付合理的补偿,是使波动率保持平稳的较好方式。文中对股权分置变革的路径选择问题进行了探讨,匀速变革路径因为其可预测性、可控性及波动率增量相对于波动率自身的可收敛性要优于不可预测的变速过程。从本文模型可得出结论:支付补偿并没有增加股权改制进程中上市公司流通股的投资价值,只是对制度变迁过程中流通股收益率的减少予以补足。论文第四部分对理论结果进行了实证分析,给出了根据股票价格计算收益波动率进而估算改制收益率补偿的实证方法。更多还原

【Abstract】 This paper studies the rule of stock returns in the term of equity separation reform by Wiener process. We established the stochastic model about the reform. Using the ITO process that driven by Wiener process, we gave the link between institution and market. Theoretical results are as follows: The volatility rising is the reason that lead to the lose of the expected returns in the reform process. The investor in the A-share market should get compensation because of the returns volatility rising. Then we gave the theoretical expression about the compensation. We approached the reformpath by using our theoretical results. The key for succeeded reform is to control the volatility rising. Because of this, the uni-speed process is better than a unpredictable path. The compensation does not promote the value of A-share in circulation, it’s only to make up the lose of the expected returns. In the forth part of paper, we specified the empirical method of calculating the compensation by using the stock price data.更多还原