基于实物期权方法的企业并购与资产剥离分析-analysis of enterprise merger and divestiture based on real option method.docx

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基于实物期权方法的企业并购与资产剥离分析-analysis of enterprise merger and divestiture based on real option method.docx

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基于实物期权方法的企业并购与资产剥离分析-analysis of enterprise merger and divestiture based on real option method

AbstractMergerandAcquisitionsaretheeternalthemesofthecapitalmarket.Thefundamentalfunctionofcapitalmarketistheallocationofresources,whileIPOandMAarethebasicwaystodoso.MostfirmhasonlyonechanceofIPO,butmayhavemorechancestoengagedinMAactivity.Chinaisinaneraofeconomicreform,inwhichthemarketforMAisespeciallyimportant.MAsactivitieshappenedinadynamicstochasticenvironment,asmadetherevenueofMAwasuncertain.MAwillincurirreversiblecost,suchasnegotiationfeesandfinancialconsultantfees,sotheparticipatingsideshadtodecidetheoptimaltimingtoexecutetheMAdecisions,whichcanbebettermodeledandanalyzedbyrealoptionapproach.AfterreviewingoftherelatedliteratureintheoryofrealoptionandMA,thispapermadecontributionsinseveralaspects.Insection3.1,IstudiedtheaffectionofinformationasymmetrybetweenprincipalandagentonassetdivestituredecisionsthroughROAapproach.Deductedtheoptimalcontactandtheoptimaldivestiturerule.Itisshowedthatcomparedwithsymmetryinformation,asymmetryinformationloweredtheexecutioncorridorvalueoftheasset,andinducelosstotheprincipalintwodifferentaspects,i.e.efficiencylossandinformationrent.Section3.2studiedthedivestituredecisionsinaNashbargainingframework.Analysisshowedthatwhenthebuyingsideandsellingsidehasdifferentdiscountrate,theparticipatingpartieshavetobargainnotonlyontheprice,butalsoonthetimingofthetransaction.Section4.1analyzedtheoptiontoacquireanotherfirmwhenthebuyingsidehadtheoptiontochooseamongthetargetingfirmswithdifferentsizes.Itisprovedthatthisoptionincreasedthevalueofacquireoptionandpostponedthetimingofacquiring.Section4.2Developedapricingmodeloftheoptiontoacquireatargetfirmtowhichthebuyingsidehasanoptiontoexpand.Analyzedtheparametersthataffectvalueoftheoption.Themainconclusionsinclude:(1)owingtheexpansionoptionwillincreasethetotalvalueoftheacquiringoption,andlowerthestrikingpriceincertaincircumstances.(2)Theoptiontoexpandwillbeexecutedwhenthecosttoexpandislowerthanthecosttoacquire,otherwisetheacquiringfirmwillwait.Insection4.3,Istudiedverticalintegrationbyrealoptionapproach.T