产业生命周期视角下的并购期权价值评估方法优化研究
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摘要
由于并购活动具有期权的特点,其价值常采用Black-Scholes模型计算。但传统的Black-Scholes模型没有考虑产业生命周期对并购期权价值的影响。本文分析了产业生命周期不同阶段并购期权价值的特点,指出期权价值随产业生命周期的不同发展阶段而变化。研究通过采用Gompertz曲线预测模型拟合产业生命周期曲线,并对其作适当变换,推导出了修正系数ηt,对并购期权价值的Black-Scholes评估模型进行了优化。这种优化有助于避免评估过程中的高估风险,从而使并购价值的计算更合理,确保并购决策更具科学性。
Value of mergers & acquisitions( M&A) is often measured by Black-Scholes model because of its characteristics of real option. However,traditional Black-Scholes model does not take account of the influence of industrial life cycle( ILC) on the value of real option. This paper analyzes the features of M&A real option during the different phases of ILC and points out that M&A real option value changes with different stages of ILS.Gompertz prediction model is chosen to fit ILC curve in our research. By transforming Gompertz prediction model appropriately,we deduce an amended coefficient ηtwhich optimizes Black-Scholes real option valuation model of M&A. The improvement is available to calculate the value of M&A real option more rationally and make decision of M&A more scientifically,which avoids overestimating risk during the process of M&A valuation.
Value of mergers & acquisitions( M&A) is often measured by Black-Scholes model because of its characteristics of real option. However,traditional Black-Scholes model does not take account of the influence of industrial life cycle( ILC) on the value of real option. This paper analyzes the features of M&A real option during the different phases of ILC and points out that M&A real option value changes with different stages of ILS.Gompertz prediction model is chosen to fit ILC curve in our research. By transforming Gompertz prediction model appropriately,we deduce an amended coefficient ηtwhich optimizes Black-Scholes real option valuation model of M&A. The improvement is available to calculate the value of M&A real option more rationally and make decision of M&A more scientifically,which avoids overestimating risk during the process of M&A valuation.
引文
[1]贾明琪,陈利叶,马宁.基于合创商誉的并购企业价值评估方法研究[J].华东经济管理,2009,23(5):125-128.
[2]Du X D,Hennessy D A.The planting real option in cash rent valuation[J].Applied Economics,2012,44(6):765-776.
[3]Meng R J.A patent race in a real options setting:investment strategy,valuation,CAPM beta,and return volatility[J].Journal of Economic Dynamics&Control,2008,32(10):3192-3217.
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[6]Rafiee M,Kianfar F.A scenario tree approach to multiperiod project selection problem using real-option valuation method[J].International Journal of Advanced Manufacturing Technology,2011,56(1-4):411-420.
[7]Tolga A C,Kahraman C.Fuzzy multiattribute evaluation of R&D projects using a real options valuation model[J].International Journal of Intelligent Systems,2008,23(11):1153-1176.
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[11]Tiwana A,Wang J J,Keil M,et al.The bounded rationality bias in managerial valuation of real options:theory and evidence from IT projects[J].Decision Sciences,2007,38(1):157-181.
[12]赵昌文,杨记军,杜江.基于实物期权理论的风险投资项目价值评估模型[J].数量经济技术经济研究,2002,19(12):72-75.
[13]赵振武,鲁春晓.风险投资项目价值评估的多阶段复合实物期权模型[J].系统管理学报,2011,20(1):104-108.
[14]赵敏,唐元虎,李湛.基于实物期权的科技创业企业并购价值评估研究[J].管理科学,2005,18(5):29-32.
[15]齐安甜,张维.实物期权理论及在企业并购价值评估中的应用[J].中国软科学,2003,(7):129-132.
[16]胡愈,许红莲,岳意定.基于成长期权的企业并购价值评估方法[J].系统工程,2006,24(6):97-99.
[17]杨远涛.价格波动、市场竞争与实物期权价值评估[J].预测,2006,25(3):23-27.
[18]陶雪飞.竞争条件下并购价值的实物期权分析[J].系统工程,2006,24(10):46-49.
[19]扈文秀,张涛,穆庆榜.基于动态规划下最优停时方法的多目标公司兼并次序及时机选择[J].系统管理学报,2012,21(1):34-41.
[20]Chen B,Yang J X,Ouyang Z Y.Life cycle assessment of internal recycling options of steel slag in Chinese iron and steel industry[J].JOURNAL OF IRON AND STEEL RESEARCH INTERNATIONAL,2011,18(7):33-40.
[21]Arend R J.Conditions for asymmetric information solutions when alliances provide acquisition options and due diligence[J].JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE,2004,82(3):281-312.
[22]Harris S E,Sandlow J I.Sperm acquisition in nonobstructive azoospermia:What are the options?[J].UROLOGIC CLINICS OF NORTH AMERICA,2008,35(2):235.
[23]Singhi N O,Paul A K,Singh N G,et al.Modeling seasonal growth of fish using modified Gompertz model with sine wave function[J].INDIAN JOURNAL OF ANIMAL SCIENCES,2011,81(6):648-650.
[24]Yamano T.Statistical ensemble theory of gompertz growth model[J].ENTROPY,2009,11(4):807-819.
[25]王理同.生长曲线模型中最小二乘估计与极大似然估计的近似等价性[J].浙江工业大学学报,2012,40(02):233-236.
[26]白鹏.生长曲线模型中回归系数阵的极大似然估计的精确分布[J].应用数学学报,2007,30(01):35-45.
[2]Du X D,Hennessy D A.The planting real option in cash rent valuation[J].Applied Economics,2012,44(6):765-776.
[3]Meng R J.A patent race in a real options setting:investment strategy,valuation,CAPM beta,and return volatility[J].Journal of Economic Dynamics&Control,2008,32(10):3192-3217.
[4]Brandao L,Dyer J S.Decision analysis and real options:a discrete time approach to real option valuation[J].Annals of Operations Research,2005,135(1):21-39.
[5]Insley M C,Wirjanto T S.Contrasting two approaches in real options valuation:contingent claims versus dynamic programming[J].Journal of Forest Economics,2010,16(2):157-176.
[6]Rafiee M,Kianfar F.A scenario tree approach to multiperiod project selection problem using real-option valuation method[J].International Journal of Advanced Manufacturing Technology,2011,56(1-4):411-420.
[7]Tolga A C,Kahraman C.Fuzzy multiattribute evaluation of R&D projects using a real options valuation model[J].International Journal of Intelligent Systems,2008,23(11):1153-1176.
[8]夏轶群,陈俊芳.分阶段研发项目价值实物期权评估的模糊优化[J].上海交通大学学报,2009,43(4):583-586.
[9]Rodriguez R Y.Real option valuation of free destination in long-tern liquefied natural gas supplies[J].Energy Economics,2008,30(4):1909-1932.
[10]Miller K D,Shapira Z.An empirical test of heuristics and biases affecting real option valuation[J].Strategic Management Journal,2004,25(3):269-284.
[11]Tiwana A,Wang J J,Keil M,et al.The bounded rationality bias in managerial valuation of real options:theory and evidence from IT projects[J].Decision Sciences,2007,38(1):157-181.
[12]赵昌文,杨记军,杜江.基于实物期权理论的风险投资项目价值评估模型[J].数量经济技术经济研究,2002,19(12):72-75.
[13]赵振武,鲁春晓.风险投资项目价值评估的多阶段复合实物期权模型[J].系统管理学报,2011,20(1):104-108.
[14]赵敏,唐元虎,李湛.基于实物期权的科技创业企业并购价值评估研究[J].管理科学,2005,18(5):29-32.
[15]齐安甜,张维.实物期权理论及在企业并购价值评估中的应用[J].中国软科学,2003,(7):129-132.
[16]胡愈,许红莲,岳意定.基于成长期权的企业并购价值评估方法[J].系统工程,2006,24(6):97-99.
[17]杨远涛.价格波动、市场竞争与实物期权价值评估[J].预测,2006,25(3):23-27.
[18]陶雪飞.竞争条件下并购价值的实物期权分析[J].系统工程,2006,24(10):46-49.
[19]扈文秀,张涛,穆庆榜.基于动态规划下最优停时方法的多目标公司兼并次序及时机选择[J].系统管理学报,2012,21(1):34-41.
[20]Chen B,Yang J X,Ouyang Z Y.Life cycle assessment of internal recycling options of steel slag in Chinese iron and steel industry[J].JOURNAL OF IRON AND STEEL RESEARCH INTERNATIONAL,2011,18(7):33-40.
[21]Arend R J.Conditions for asymmetric information solutions when alliances provide acquisition options and due diligence[J].JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE,2004,82(3):281-312.
[22]Harris S E,Sandlow J I.Sperm acquisition in nonobstructive azoospermia:What are the options?[J].UROLOGIC CLINICS OF NORTH AMERICA,2008,35(2):235.
[23]Singhi N O,Paul A K,Singh N G,et al.Modeling seasonal growth of fish using modified Gompertz model with sine wave function[J].INDIAN JOURNAL OF ANIMAL SCIENCES,2011,81(6):648-650.
[24]Yamano T.Statistical ensemble theory of gompertz growth model[J].ENTROPY,2009,11(4):807-819.
[25]王理同.生长曲线模型中最小二乘估计与极大似然估计的近似等价性[J].浙江工业大学学报,2012,40(02):233-236.
[26]白鹏.生长曲线模型中回归系数阵的极大似然估计的精确分布[J].应用数学学报,2007,30(01):35-45.