流动性视角下的非流通股定价策略分析

金融市场上的流动性对金融资产定价有重要作用。在Longstaff模型的基础上对“卖掉持有股票的权利”进行定价，可得出股票的流动性价格，进而得到非流通股的价格。通过分析可知非流通股的价格是禁售期的减函数，是流通股的增函数；股票的价格波动率越大，贷款利率与无风险利率的差越大，非流通股的价格是就越低；反之，非流通股的价格就越高。以我国股票市场的相关指数进行验证，上述结论依然成立。

Based on the Liquidity of the Non-tradable Share Pricing Model

The financial markets of liquidity have a significant role in asset pricing. In this paper, through the Longstaff model based on ＂the right to sell their stock＂ for pricing, to draw the movement of stock prices, and then get the price of non- tradable shares and non-tradable shares reached the price of the lock-up period by function, is an increasing function of the out- standing shares; stock price volatility the greater the risk-free interest rate and loan interest rates, the greater the difference, the price of non-tradable shares is the lower; the other hand, the price of non-tradable shares is the higher.