Research On Discount Rate Of Restricted Stock Based On Liquidity Perspective

There more and more restricted stocks due to the company's IPO,private placement,equity incentive,etc.with the continues development of the Chinese market.It is necessary to evaluated the value of restricted stocks for the company has the situation of restricted stocks action,pledge,etc..In the restricted period,it is the lack of liquidity causing the difference between restricted stocks and the outstanding,where this paper studies the discount rate of restricted stocks from the perspective of liquidity.Firstly,after the theoretical analysis,we put option model,the Finnerty model(assuming that investor has absolutely no ability to grasp the market)and the Longstaff model(assuming that investor has perfect ability to grasp the market)are introduced.Secondly,selecting the historical data of private placement restricted stocks in the GEM market by combining theoretical and empirical methods,and the liquidity discount rate of restricted stocks calculated by Finnerty model and Longstaff model was combined with the actual discount rate for empirical test and constraint regression analysis to get the revised model.Finally,by taking the Dec.31.2018 as the basically date for evaluation,the modified option model is used to study the restricted that has not been lifted in GEM market,which can give the following conclusions: The liquidity discount rate of restricted stocks is positively correlated with the residual restricted period and stock volatility,and negatively correlated with the dividend yield.Under the same restricted period,the liquidity discount rate of restricted stocks of the original shareholders of the IPO is slightly higher than that of other restricted stocks.Listed companies in different sectors of the impact of restricted stock liquidity discount rate.Among the model parameters,the stock volatility has the largest impact on the liquidity discount rate of restricted stocks,and the residual restricted period has a great impact on the liquidity discount rate of restricted stocks,while the dividend yield has a small impact on the liquidity discount rate of restricted stocks.