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不流动资产的定价与股权分置改革研究 - 金融工程

不流动资产的定价与股权分置改革研究 - 金融工程

不流动资产的定价与股权分置改革研究 - 金融工程

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不 流 动 资 产 的 定 价 与 股 权 分 置 改 革 研 究<br />

0.2316<br />

5 0.3<br />

1 0.3<br />

2 0.3<br />

3 0.3<br />

5 0.3<br />

0.9 0.5665 0.2182 -0.3483 0.4325<br />

0.1 0.2194 0.4747 0.2553 0.197<br />

0.3 0.2914 0.4756 0.1842 0.2528<br />

0.5 0.4354 0.4736 0.0382 0.353<br />

0.7 0.6514 0.4741 -0.1773 0.4787<br />

0.9 0.9394 0.4757 -0.4636 0.6091<br />

0.1 0.041 0.133 0.092 0.0401<br />

0.3 0.0554 0.1333 0.0779 0.0539<br />

0.5 0.0842 0.1328 0.0486 0.0807<br />

0.7 0.1274 0.133 0.0057 0.1196<br />

0.9 0.185 0.1327 -0.0523 0.1689<br />

0.1 0.0805 0.3113 0.2308 0.0774<br />

0.3 0.1093 0.3106 0.2013 0.1036<br />

0.5 0.1669 0.3109 0.144 0.1537<br />

0.7 0.2534 0.3104 0.057 0.2238<br />

0.9 0.3685 0.3109 -0.0577 0.3083<br />

0.1 0.1186 0.5464 0.4277 0.1119<br />

0.3 0.1618 0.5478 0.386 0.1494<br />

0.5 0.2483 0.5466 0.2984 0.2198<br />

0.7 0.3779 0.5472 0.1693 0.3147<br />

0.9 0.5506 0.5467 -0.004 0.4234<br />

0.1 0.1902 1.2833 1.0931 0.1732<br />

0.3 0.2624 1.2751 1.0127 0.2308<br />

0.5 0.4063 1.278 0.8717 0.3339<br />

0.7 0.6223 1.2755 0.6532 0.4633<br />

0.9 0.9104 1.2717 0.3613 0.5977<br />

σ 2<br />

0.3 0.4233<br />

V0 T ρ ω E_R E_JW E_JWw F<br />

1 0.3 0.1 0.1965 0.0573 -0.1392 0.1784<br />

0.3 0.2001 0.0572 -0.1429 0.1813<br />

0.5 0.2073 0.0573 -0.1500 0.1872<br />

0.7 0.2181 0.0573 -0.1608 0.1959<br />

0.9 0.2325 0.0573 -0.1752 0.2074<br />

2 0.3 0.1 0.3911 0.1284 -0.2627 0.3237<br />

0.3 0.3983 0.1281 -0.2702 0.3286<br />

0.5 0.4127 0.1283 -0.2844 0.3381<br />

0.7 0.4343 0.1285 -0.3058 0.3523<br />

0.9 0.4631 0.1285 -0.3346 0.3707<br />

3 0.3 0.1 0.5836 0.2177 -0.3660 0.4421<br />

86

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