公司流动性期权定价研究
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摘要
现有文献关于“流动性价值”的研究主要针对资产的流动性(或资产的市场流动性)，而针对公司流动性的研究又集中于最优流动水平的探讨，公司流动性定价问题是当前公司金融领域中的一个崭新课题。本文从流动性本质出发，提出公司流动性本质上是提供一种灵活性，而这种灵活性又可以分为投资型灵活性和保险型灵活性两种。然后，通过分析比较灵活性与期权的等价关系，将流动性与期权联系起来，并将流动性期权分为流动性投资期权和流动性保险期权两种，从而为流动性研究提供了一个新的视角。
在此基础上，本文在竞争性假设、动态性假设、外部融资时滞性假设等三个基本假设前提指引下，推导出了一个一般化的流动性期权定价公式，即流动性期权价值等于一个美式期权价值与一个欧式期权价值之差。为使模型既能够综合考虑到持有流动性的收益和成本，又能够对流动性投资期权和保险期权都适用，我们选择以交换期权定价模型为基础，并借鉴Probit模型探讨了投资机会概率与财务困境概率，从而以一个简单的关系式将流动性投资期权与流动性保险期权统一起来，得出了一个基于交换期权的流动性组合期权定价模型，并对其分别进行了模拟运算和实证研究。
研究结果表明：“流动性”作为一种特殊“商品”，其投资期权和保险期权价值对公司价值具有重要影响，对于投资者、公司管理者等各方都至为重要，在公司价值评估和财务管理中不能忽视。同时，我国上市公司之间的流动性价值差异比较大，这主要是由于投资机会、投资成本以及财务困境等方面的差异导致。此外，我国农业类上市公司流动性价值最大，欠发达地区的公司流动性价值要高于发达地区，科技类企业和大型企业尤其要注重加强流动性管理。
To date, the main literature named "liquidity value" is actually on the value of an asset's liquidity or market liquidity, while those studies on corporate's liquidity foucs on the optimal liquidity ratio. The pricing of corporate liquidity is a new topic in the area of corporate finance. With the discussion of the essence of liquidity first, this paper shows that corporate liquidity is to provide flexibility which include investment flexibility and insurance flexibility. Then, according to the analogy between flexibility and option, it connects liquidity and option and divides liquidity option into investment-like option and insurance-like option. Thus, a new clue and and method is presented for the studies on liquidity.
Based on above and three basic assumptions of competition, dynamics and lag, this paper derives a general liquidity option pricing fomula, i.e., the option value of liquidity holding corresponds to the vlue difference between an American option and European option. In order to make the model more realistic, comprehensive and applicable, we choose the exchange option model as the basic model and use probit model to discuss probability of investment opportunity and probability of financial distress respectively, and then a comprehensive exchange-option-based liquidity option pricing model is established. This model not only takes into consideration both the benefits and costs of liquidty holding, but also applies to both liqudiity's investment-like option and insurance-like option. Finally, the simulated and empirical tests are fulfilled with this model respectively.
According to the results of the study, the option value of corporate liquidity regarded as a kind of special commodity has significant influence on corporate's valuation and is very important to investors and management. Besides, there appears much difference in liquidity value among the listed companies in China because of the differences in investment opportunities, investment costs and financial distress and so on. In addition, the empirical results shows that the liquidity value of our agricultural company is highest in China, and the liquidity value of companies in less developed area is more than that in developed area. It also shows that those high-tech companies and large scale companies hold relatively more liquidity and should pay attention to the management of liquidity.
在此基础上，本文在竞争性假设、动态性假设、外部融资时滞性假设等三个基本假设前提指引下，推导出了一个一般化的流动性期权定价公式，即流动性期权价值等于一个美式期权价值与一个欧式期权价值之差。为使模型既能够综合考虑到持有流动性的收益和成本，又能够对流动性投资期权和保险期权都适用，我们选择以交换期权定价模型为基础，并借鉴Probit模型探讨了投资机会概率与财务困境概率，从而以一个简单的关系式将流动性投资期权与流动性保险期权统一起来，得出了一个基于交换期权的流动性组合期权定价模型，并对其分别进行了模拟运算和实证研究。
研究结果表明：“流动性”作为一种特殊“商品”，其投资期权和保险期权价值对公司价值具有重要影响，对于投资者、公司管理者等各方都至为重要，在公司价值评估和财务管理中不能忽视。同时，我国上市公司之间的流动性价值差异比较大，这主要是由于投资机会、投资成本以及财务困境等方面的差异导致。此外，我国农业类上市公司流动性价值最大，欠发达地区的公司流动性价值要高于发达地区，科技类企业和大型企业尤其要注重加强流动性管理。
To date, the main literature named "liquidity value" is actually on the value of an asset's liquidity or market liquidity, while those studies on corporate's liquidity foucs on the optimal liquidity ratio. The pricing of corporate liquidity is a new topic in the area of corporate finance. With the discussion of the essence of liquidity first, this paper shows that corporate liquidity is to provide flexibility which include investment flexibility and insurance flexibility. Then, according to the analogy between flexibility and option, it connects liquidity and option and divides liquidity option into investment-like option and insurance-like option. Thus, a new clue and and method is presented for the studies on liquidity.
Based on above and three basic assumptions of competition, dynamics and lag, this paper derives a general liquidity option pricing fomula, i.e., the option value of liquidity holding corresponds to the vlue difference between an American option and European option. In order to make the model more realistic, comprehensive and applicable, we choose the exchange option model as the basic model and use probit model to discuss probability of investment opportunity and probability of financial distress respectively, and then a comprehensive exchange-option-based liquidity option pricing model is established. This model not only takes into consideration both the benefits and costs of liquidty holding, but also applies to both liqudiity's investment-like option and insurance-like option. Finally, the simulated and empirical tests are fulfilled with this model respectively.
According to the results of the study, the option value of corporate liquidity regarded as a kind of special commodity has significant influence on corporate's valuation and is very important to investors and management. Besides, there appears much difference in liquidity value among the listed companies in China because of the differences in investment opportunities, investment costs and financial distress and so on. In addition, the empirical results shows that the liquidity value of our agricultural company is highest in China, and the liquidity value of companies in less developed area is more than that in developed area. It also shows that those high-tech companies and large scale companies hold relatively more liquidity and should pay attention to the management of liquidity.
引文
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