Applied Research Of Black-Scholes Model In The Assessment Of Thevalue Of Restricted Stock

Restricted Shares refers to shares restricted trading in limited period and under certain conditions but can be traded after ban day.In China,restricted shares can be divided into three categories according to the reasons for the formation of them,the first one is a large number of restricted shares generated due to the reform of non-tradable shares,the second is restricted shares generated from IPO and refinancing(including generated from private placement and public distribution offline placement),the third is restricted shares formed from equity incentive and mergers and acquisitions.With the completion of reform of non-tradable shares and further development and growth of capital markets,the main way of formation of restricted shares transformed from reform of non-tradable shares to results of IPO,private placement,mergers and acquisitions and some other ways.Due to the rising of economic activities such as listed companies' shares transfer,equity mortgages,equity incentive,mergers and acquisitions and due to the demand of financial reporting,the assessment of the value of restricted shares becomes more and more important in practice.Demands in practice bring the studies of assessment of the value of restricted shares more theoretical and practical significance,forcing appraisers make adaptation on the valuation of restricted shares and make improvement optimization on its valuation method.At present,domestic scholars focused on the impact of lifted restricted shares on stock prices and the proof by big data of the presence of restricted shares trading liquidity discount,less specific studies for valuation on this special category,restricted shares.Based on this,this article linked the restricted shares and valuation of restricted shares,made intensive study of the restricted shares on the reference to domestic and international relevant research and on the basis and extension of the BS model in option.In theory,the existing theoretical valuation model has been extended to make it closer to the actual market.In practice,the assessor can be provided with references of trade and management to the restricted shares.This article firstly elaborate the background and the significance of restricted shares valuation,pointing out that there will be more restricted shares in the background that capital market transactions have become increasingly,there is an urgent need for restricted stock valuation in practice,but there is less focus on this perspective by review of domestic and foreign scholars study.Therefore,from a standpoint of restricted shares valuation,this article points out the particularity of restricted shares and analyzes basic method of restricted shares valuation,clarifies the limitations of traditional valuation theory and the applicability and rationality of applying the BS model in option to restricted shares valuation.Then this article introduces the Black-Scholes model and its advantages,analyzing and processing BS model stringent assumption according to the case of Geo-Jade Petroleum Corporation restricted shares of the specific circumstances,analyzing and selecting the needed parameters of the model,calculating theoretical value of restricted shares,the results displays great difference with the outstanding shares price in market,there is a liquidity discount of restricted shares,providing some reference for restricted shares' equity trading,equity pledge,etc.Finally,based on the theoretical price considering the impact of block trading,adjusting theoretical price from the two aspects respectively,block trading and tax in market transactions,finally calculating the price of buyers and sellers need to pay,providing the price reference for both buyers and sellers,providing as well asset valuation firm with reference to assess the value of restricted shares in practice.Studies of this paper expect improvement and perfection restricted shares valuation methods,and look forward to provide guidance in Chinese assessment practices,but also provide reference to transaction and management of more and more restricted shares in capital markets.