Investment with restricted stock and the value of information

doi:10.1016/j.amc.2004.04.012

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	Investment with restricted stock and the value of information
	Wu, WX ; Wang, YX
	2005-04-15
发表期刊	APPLIED MATHEMATICS AND COMPUTATION
ISSN	0096-3003
卷号	163 期号:2 页码:811-824
摘要	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], all 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 all important influence on the investor's optimal strategy. This model may provide a theoretical framework to assess the cost of state-owned equities (SOEs). (c) 2004 Elsevier Inc. All rights reserved.
关键词	restricted stock SOEs illiquidity continuous-time finance optimal portfolio strategy
DOI	10.1016/j.amc.2004.04.012
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000227815800023
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1954
专题	中国科学院数学与系统科学研究院
通讯作者	Wu, WX
作者单位	1.Chinese Acad Sci, Inst Appl Math, AMSS, Beijing 100080, Peoples R China 2.Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China
推荐引用方式 GB/T 7714	Wu, WX,Wang, YX. Investment with restricted stock and the value of information[J]. APPLIED MATHEMATICS AND COMPUTATION,2005,163(2):811-824.
APA	Wu, WX,&Wang, YX.(2005).Investment with restricted stock and the value of information.APPLIED MATHEMATICS AND COMPUTATION,163(2),811-824.
MLA	Wu, WX,et al."Investment with restricted stock and the value of information".APPLIED MATHEMATICS AND COMPUTATION 163.2(2005):811-824.