超竞争环境下企业困境并购定价与时机选择的期权博弈分析
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摘要
基于期权博弈理论,以超竞争环境为研究背景,在多个主并企业合作的情形下,建立目标企业存在财务困境的并购模型,得出主并方的最优并购时机;并进行数值模拟分析,重点分析了代表超竞争特点的三个变量(竞争强度、竞争不确定性、企业价值损失因子)、主并企业联盟中参与者的重要程度及联盟中发生机会主义的概率、企业困境因子这六个变量对并购阈值的影响。
Based on the option game theory and the fact of acquiring firms cooperating with each other,the study establishes models for the choice of the pricing and timing of target firm in financial distress M&A under the hyper-competition environment.After getting the optimal M&A timing,the paper progresses numerical simulation analysis and emphasizes analyzing the influence of hyper-competition variables(competitive intensity,competitive uncertainty,loss factor of enterprise value),the importance of the participants in acquiring firms alliance,the occurrence probability of cooperation opportunism in alliance and firm distressed factor on M&A timing.
Based on the option game theory and the fact of acquiring firms cooperating with each other,the study establishes models for the choice of the pricing and timing of target firm in financial distress M&A under the hyper-competition environment.After getting the optimal M&A timing,the paper progresses numerical simulation analysis and emphasizes analyzing the influence of hyper-competition variables(competitive intensity,competitive uncertainty,loss factor of enterprise value),the importance of the participants in acquiring firms alliance,the occurrence probability of cooperation opportunism in alliance and firm distressed factor on M&A timing.
引文
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[10]章伟果,扈文秀,安芮瑶.基于财富转移效应的并购时机和破产时机[J].系统工程,2014(9):48-53.
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[17]Barraclough K,Robinson D T,Smith T,et al.Using option prices to infer overpayments and synergies in M&A transactions[J].Review of Financial Studies,2013,26(3):695-722.
[18]段世霞,扈文秀.基于期权博弈的企业兼并时机研究[J].运筹与管理,2010(3):151-160.
[19]郑湘明,陈晓红.基于非完全信息期权博弈的企业并购决策时机[J].系统工程,2011,29(07):81-84.
[20]徐自彬.超竞争环境下基于期权博弈的企业并购定价与时机研究[D].长沙:中南大学,2012.
[21]李煜.基于实物期权理论的企业并购定价问题研究[D].北京:中国社会科学院研究生院,2014.
[22]Lyandres E,Zhdanov A.Accelerated investment effect of risky debt[J].Journal of Banking&Finance,2010,34(11):2587-2599.
[23]Karlin S,Taylor H M.A second course in stochastic processes[M].New York:Academic Press,1981.
[24]Oksendal B.Stochastic differential equations:an introduction with applications[M].Springer Science&Business Media,2013.
[25]Dixit A K,Pindyck R S.Investment under uncertainty[M].Princeton university press,1994.
[2]Asquith P,Gertner R,Scharfstein D.Anatomy of financial distress:an examination of junk-bond issuers[R].National Bureau of Economic Research,1991.
[3]Lasfer M A,Sudarsanam P S,Taffler R J.Financial distress,asset sales,and lender monitoring[J].Financial Management,1996,25(3):57-66.
[4]Kahl M.Financial distress as a selection mechanism:evidence from the united states.anderson school[R].Finance Working Paper,2001.
[5]Andrade G,Mitchell M L,Stafford E.New evidence and perspectives on mergers[J].Journal of Economic Perspectives,2001,15(2):103-120.
[6]Almeida H,Campello M,Hackbarth D.Liquidity mergers[J].Journal of Financial Economics,2011,102(3):526-558.
[7]World Bank.Bankruptcy of state enterprises in china—a case and agenda for reforming the insolvency system[R].Washington DC:The World Bank East Asia and Pacific Region Private Sector Development Unit,2000.
[8]Allen F,Qian J,Qian M.Law,finance,and economic growth in China[J].Journal of financial economics,2005,77(1):57-116.
[9]陈珠明,杨华李.负债企业并购的时机与条件及在国企产权转让中的应用[J].南方经济,2006(8):32-45.
[10]章伟果,扈文秀,安芮瑶.基于财富转移效应的并购时机和破产时机[J].系统工程,2014(9):48-53.
[11]边璐,扈文秀,张立.主并方合作并购目标公司的时机问题研究初步[J].系统工程,2009,27(5):82-87.
[12]Smit H.Acquisition strategies as option games[J].Journal of Applied Corporate Finance,2001,14(2):79-89.
[13]Lambrecht B M.The timing and terms of mergers motivated by economies of scale[J].Journal of Financial Economics,2004,72(1):41-62.
[14]Morellec E,Zhdanov A.The dynamics of mergers and acquisitions[J].Journal of Financial Economics,2005,77(3):649-672.
[15]Thijssen J J J.Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification[J].Journal of Economic Dynamics and Control,2008,32(5):1701-1720.
[16]Hackbarth D,Miao J.The dynamics of mergers and acquisitions in oligopolistic industries[J].Journal of Economic Dynamics and Control,2012,36(4):585-609.
[17]Barraclough K,Robinson D T,Smith T,et al.Using option prices to infer overpayments and synergies in M&A transactions[J].Review of Financial Studies,2013,26(3):695-722.
[18]段世霞,扈文秀.基于期权博弈的企业兼并时机研究[J].运筹与管理,2010(3):151-160.
[19]郑湘明,陈晓红.基于非完全信息期权博弈的企业并购决策时机[J].系统工程,2011,29(07):81-84.
[20]徐自彬.超竞争环境下基于期权博弈的企业并购定价与时机研究[D].长沙:中南大学,2012.
[21]李煜.基于实物期权理论的企业并购定价问题研究[D].北京:中国社会科学院研究生院,2014.
[22]Lyandres E,Zhdanov A.Accelerated investment effect of risky debt[J].Journal of Banking&Finance,2010,34(11):2587-2599.
[23]Karlin S,Taylor H M.A second course in stochastic processes[M].New York:Academic Press,1981.
[24]Oksendal B.Stochastic differential equations:an introduction with applications[M].Springer Science&Business Media,2013.
[25]Dixit A K,Pindyck R S.Investment under uncertainty[M].Princeton university press,1994.