SEO Pricing with Marketability Restriction A Monte Carlo Method with Stochastic Return and Volatility
In capital market, second equity offering (SEO) is the main method of refinancing for listed companies. Private placement is a representative example of SEO. And in recent years, more and more irrational phenomena have been rising with private placement in Chinese stock market because of lack of efficient pricing method. The research on stock pricing for private placement in China is of great significance.We consider the problem of price estimation in SEO with marketability restriction. In SEO with marketability restriction, especially in private placement, the stock price is determined by price discount and initial price. To estimate the price discount, we employ Longstaffs framework of opportunity cost and extend Longstaffs assumption. In our extended assumption, return and volatility of stock price are given by independent stochastic process. To estimate the initial price of stock in private placement, we introduce residual income method into our pricing model. Monte Carlo method is adopted to simulate the price movement in order to numerically estimate price discount in private placement. And result of empirical analysis shows that our model can effectively price the stock in private placement in China.
private placement marketability restriction stochastic return and volatility Monte Carlo method price discount initial price
Xu Zhaoyu An Shi
School of Management Harbin Institute of Technology Harbin, P.R.China
国际会议
Second International Symposium on Electronic Commerce and Security(第二届电子商务与安全国际研究大会)(ISECS 2009)
南昌
英文
1008-1011
2009-05-22（万方平台首次上网日期，不代表论文的发表时间）