The Impact of Stock Transfer Restrictions on the Private Placement Discount
研究发现私募发行折价由四个因素共同导致：转让限制导致的期权价值损失、股权集中度、信息收集以及高估和发行后预期表现不佳。平均执行价看跌期权模型计算的市场流动性折价与经验数据一致。
The literature contains four explanations for the private placement discount. I find that all four contribute to the discount: loss of option value due to transfer restrictions, equity ownership concentration, information gathering, and overvaluation and expected underperformance post‐issue. An average‐strike put option model calculates marketability discounts that are consistent with empirical private placement discounts when observed discounts are adjusted for equity ownership concentration, information, and overvaluation effects. In contrast to the positive signaling effect of traditional private placement announcements, there is a negative signaling effect for private investments in public equity when the firm commits to register the shares promptly.