کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9507055 | 1340767 | 2005 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Investment with restricted stock and the value of information
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In most public companies in China, there are two thirds of shares that cannot be traded freely in the secondary market. These illiquid shares, however, may be allowed to circulate unexpectedly one day. This paper delves into the investor's financial decision-making with restricted stock in a continuous-time framework. Accordingly, this paper assumes that removal of trade restriction arrives as a Poisson process. In the spirit of [Rev. Econom. Statist. 51 (1969) 247; J. Econom. Theory 3 (1971) 373], an analytical solution to the investor's optimal portfolio problem is derived and the price (or cost) of illiquidity can be calculated using numerical method. Furthermore, the value of information is discussed in this framework. Numerical simulation shows that illiquidity has an important influence on the investor's optimal strategy. This model may provide a theoretical framework to assess the cost of state-owned equities (SOEs).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 163, Issue 2, 15 April 2005, Pages 811-824
Journal: Applied Mathematics and Computation - Volume 163, Issue 2, 15 April 2005, Pages 811-824
نویسندگان
Weixing Wu, Yongxiang Wang,