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 [14] Bodie Z., Merton R.C., and Samuelson W.F. ,1992, Labor supply exibility and portfolio choice in a life cycle model, Journal of Economic Dynamics and Control 16, pp. 427-449. [15] Bossaerts, P., 1989, “Simulation Estimators of Optimal Early Exercise,” working paper, Carnegie-Mellon University. [16] Boudoukh, J, Whitelaw, R., 1991. The benchmark effect in the Japanese government bond market. The Journal of Fixed Income September, 52–59. [17] Boudoukh, J., Whitelaw, R., 1993. Liquidity as a choice variable: a lesson from the Japanese government bond market. The Review of Financial Studies 6, 265–292. [18] Brandt, M., and P. Santa-Clara, 2000, “Dynamic Portfolio Choice with Simulation Methods,” working paper,University of California, Los Angeles. [19] Brau, J., V. Lambson, G.McQueen, 2001, Why lockups? Unpublished working paper. Brigham Young University, Utah. [20] Brav, A., P. Gompers, 2000, Insider trading subsequent to initial public offerings: evidence from expirations of lock-up provisions. Unpublished working paper. Duke University, North Carolina, and Harvard University, Massachussetts. [21] Brennan, M., Avanidhar Subrahmanyam,1996,Market microstructure and asset pricing:On the compensation for illiquidity in stock returns,Journal of Financial Economics 41,441-464 [22] Brenner, M., R. Eldor, S. Hauser, 2001, The Price of Options Illiquidity, Journal of Finance 56, 789–805. [23] Brennan Michael J., Ashley W. Wang, and Yihong Xia.,2003,Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing, working paper, UCLA [24] Brito, N. O., 1977, “Marketability Restrictions and the Valuation of Capital Assets Under Uncertainty,” Journal of Finance, 32, 1109–1123. [25] Broadie, M., and P. Glasserman, 1997a, “Pricing American-Style Securities Using Simulation,” Journal of Economic Dynamics and Control, 21, 1323–1352. [26] Broadie, M., P. Glasserman, 1997b, “Monte Carlo Methods for Pricing High-Dimensional American Options: An Overview,” working paper, Columbia University. [27] Broadie, M., P. Glasserman, 1997c, “A Stochastic Mesh Method for Pricing High-Dimensional American Options,” working paper, Columbia University. [28] Broadie, M., P. Glasserman, and G. Jain, 1997, “Enhanced Monte Carlo Estimates for American Option Prices,” Journal of Derivatives, 5, 25–44. 102
参考文献 [29] Boudoukh, J., and R. F. Whitelaw, 1991, “The Benchmark Effect in the Japanese Government Bond Market,”Journal of Fixed Income, September, 52–59. [30] Boudoukh, J., and R. F. Whitelaw, 1993, “Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market,” Review of Financial Studies, 6, 265–292. [31] Campbell, John Y., 2000, Asset Pricing at the Millennium. The Journal of Finance Vol. LV, No.4 (August ) [32] Campbell, John Y., John H. Cochrane, 1999, Explaining the Poor Performance of Consumption-Based Asset Pricing Models,working paper, June ,Harvard University and NBER. [33] Campbell J.Y. and L.M. Viceira, 2002, Strategic Asset Allocation Portfolio Choice for Long Term Investors, Oxford University Press,Oxford. [34] Carpenter, J., 1998, The exercise and valuation of executive stock options. Journal of Financial Economics 48, 127–158. [35] Carpenter, J., 2000. Does option compensation increase managerial risk appetite? Journal of Finance 55, 2311–2331. [36] Carr, P., 1998, “Randomization and the American Put,” Review of Financial Studies, 11, 597–626. [37] Carriere, J., 1996, “Valuation of Early-Exercise Price of Options Using Simulations and Nonparametric Regression,” Insurance: Mathematics and Economics, 19, 19–30. [38] Çetin, U., Robert A. Jarrow ,and Philip Protte,2004, Liquidity risk and arbitrage pricing theory,Finance and Stochastics,vol.8,Num 3,Springer Berlin / Heidelberg,311-341 [39] Chamberlain G., Charles A. Wilson,2000, Optimal Intertemporal Consumption under Uncertainty, Review of Economic Dynamics 3, 365_395 [40] Chen, Zhiwu and Peng Xiong,2001,Discount on Illiquid Stocks: Evidence From China,Yale ICF Working Paper No.00-56. [41] Chordia,T., Richard Roll,and A.Subrahmanyam,2001,Market Liquidity and Trading Activity The Journal of Finance Vol. Lvi, NO. 2 ·501-528 [42] Chou Pin-huang and Mei-ChenLin, 2002, Tests of international asset pricing model with and without a riskless asset. Applied Financial Economics, 12, 873-883 [43] Cochrane, John H., Francis A.Longstaff, Pedro Santa-Clara. 2003,Two Trees: Asset Pricing Dynamics Induced By Market Clearing. Working Paper 103
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学校编码 :10384 学号 :B20
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厦门大学学位论文著
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Abstract Liquidity has a significan
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目录 1. 导论 ................
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Contents 1. Introduction ..........
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1. 导论 1. 导论 1.1 选题
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1. 导论 1.2 研究方法及
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1. 导论总股本等作为
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1. 导论二、主要结论
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2. 文献回顾 2. 文献回
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2. 文献回顾年的结论
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2. 文献回顾 ( 一 ) 动态
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2. 文献回顾最优策略
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2. 文献回顾 2.2.1 单期
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2. 文献回顾流动性做
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2. 文献回顾系比它与
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2. 文献回顾它本身的
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2. 文献回顾股票的折
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2. 文献回顾期权定价
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2. 文献回顾注第 1 次
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2. 文献回顾但以上这
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3. 不流动性资产的市
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4. 不流动性资产的定
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Page 65 and 66: 4. 不流动性资产的定
Page 81 and 82: 5. 我国股权分置改革
Page 93 and 94: 6. 结论及今后进一步
Page 95 and 96: 附录 total_R=linspace(0,0,5); to
Page 97 and 98: 附录 p=0.5;%ran, 不流动资
Page 99 and 100: 附录附录二折价率和
Page 101 and 102: 附录 0.2316 5 0.3 1 0.3 2 0.3 3
Page 103 and 104: 附录 0.6 0.7071 0.5 1 0.8 0.7071
Page 105 and 106: 附录 0.3 0.7071 0.5 1 0.3 0.7071
Page 107 and 108: 附录证券代折算 A 股
Page 115: 参考文献参考文献 : [
Page 119 and 120: 参考文献 under Transactions
Page 121 and 122: 参考文献 Endowment in Incomp
Page 123 and 124: 参考文献 empirical,investiga
Page 125 and 126: 参考文献 Review of Financial
Page 127 and 128: 后记后记终于把博士
Page 129: 后记 115
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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

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