考虑异质交易者的流通受限资产定价模型

将交易者的异质性假定与流通权定价模型相结合，建立了考虑异质交易者的流通受限资产定价模型，指出交易者异质性所导致的风险定价差异不仅直接影响资产的基础定价，而且还通过影响资产所附加流通权的定价，间接影响流通受限资产的折价率.结果表明，随着流通受限资产交易者与非受限资产交易者之间风险定价差异的增加，流通受限资产折价率增大；同时，资产价格的波动率和限售期也将对流通受限资产的折价率产生正向影响.

Marketability Restricted Assets Pricing Model Considering Heterogeneous Agents

A marketability restricted assets pricing model considering heterogeneous agents was built based on the hypothesis of heterogeneous agents and the marketability option pricing model. It was pointed out that the risk pricing difference raised by the heterogeneous hypothesis not only directly affects the fundamental pricing of assets, but also indirectly affects the discounts of marketability restricted assets by affecting the marketability option pricing attached on assets. The bigger the risk pricing difference between the marketability restricted assets trader and marketable assets trader is, the bigger the marketability restricted assets discount is. And both the volatility of assets price and the restricted period have positive impact on the discounts of marketability restricted assets.