目标企业实物期权定价方法及应用研究
|
摘要
随着世界经济发展全球化趋势日益明显，各国企业面临着越来越复杂的竞争环境。为了适应激烈的竞争环境，越来越多的企业会运用兼并与收购战略力求迅速发展壮大。由于在兼并与收购战略中对目标企业定价是一个核心问题，也是一个急需改进的问题，所以本文尝试采用一些新的方法来对目标企业进行定价，期望能克服传统定价方法的不足。
本文首先对传统的目标企业定价方法进行概括和总结，并指出了传统目标企业定价方法的一些缺陷。接着分析了在企业并购中影响目标企业实物期权价值的各种要素，着重研究了隐含在其中的实物期权原理，并且将实物期权的原理具体应用到目标企业的定价中，利用实物期权定价从金融及并购市场上获取有关信息的特点，来为目标企业定价。然后本文建立了一个基于波动率分析的目标企业实物期权定价模型，以解决贴现方法中贴现率过于主观化的问题。最后本文利用实物期权动态复制的思想，在期权构造的基础上，立足于实物期权解决过程，对投资型并购中的实物期权进行了分析，提出了合理估计目标企业“并购溢价”的方法，在资产定价的基础上建立了目标企业的定价模型。应用分析表明：充分利用金融及并购市场的信息来为目标企业定价，能有效解决目标企业价值被高估或低估的情形。上述两模型从不同的角度对并购投资中的实物期权进行了研究，并指出了在企业并购中利用实物期权来衡量和控制并购风险的重要意义。
To survive and develop in today's tough and competive marketing enviroment, more and more enterprises would probably adopt the strategies of acquisition and merger. Therefore, this paper focuses on a core issue in acquisition- acquired corporation pricing and attempts to present some new pricing methods for acquired corporation.
This paper initially reviewed and summarized some previous prevalent pricing methods and analyzing some currently prevalent pricing methods and their features. Then this paper lay particular emphasis on the various value factors and how they influence the pricing process of acquired corporation. Subsequently, this paper studied on the implicit theory of real option. In light of acquired corporation pricing this paper adopt the theory of real option and make use of its advantage of securing information from the financial market. This paper propose the implied fluctuation rate-based pricing model which avoid the subjectivity of conversion rate by means of discount. After analyzing several examples, the paper presents that taking advantage of the information from the financial and acquisition market able acquired corporation pricing to effectively avoid over or undervaluation. Taking dynamic duplication of real option into consideration, this paper analyze the real option in investment-based acquisition and pre
sent the method of "acquisition premium" for reasonable assessment of acquired corporation, based upon which valuation model of acquired corporation was established. The two models mentioned above make studies on the real option in acquisition investment from different angles and point out the significance of the real option in measuring and controlling acquisition risks.
本文首先对传统的目标企业定价方法进行概括和总结，并指出了传统目标企业定价方法的一些缺陷。接着分析了在企业并购中影响目标企业实物期权价值的各种要素，着重研究了隐含在其中的实物期权原理，并且将实物期权的原理具体应用到目标企业的定价中，利用实物期权定价从金融及并购市场上获取有关信息的特点，来为目标企业定价。然后本文建立了一个基于波动率分析的目标企业实物期权定价模型，以解决贴现方法中贴现率过于主观化的问题。最后本文利用实物期权动态复制的思想，在期权构造的基础上，立足于实物期权解决过程，对投资型并购中的实物期权进行了分析，提出了合理估计目标企业“并购溢价”的方法，在资产定价的基础上建立了目标企业的定价模型。应用分析表明：充分利用金融及并购市场的信息来为目标企业定价，能有效解决目标企业价值被高估或低估的情形。上述两模型从不同的角度对并购投资中的实物期权进行了研究，并指出了在企业并购中利用实物期权来衡量和控制并购风险的重要意义。
To survive and develop in today's tough and competive marketing enviroment, more and more enterprises would probably adopt the strategies of acquisition and merger. Therefore, this paper focuses on a core issue in acquisition- acquired corporation pricing and attempts to present some new pricing methods for acquired corporation.
This paper initially reviewed and summarized some previous prevalent pricing methods and analyzing some currently prevalent pricing methods and their features. Then this paper lay particular emphasis on the various value factors and how they influence the pricing process of acquired corporation. Subsequently, this paper studied on the implicit theory of real option. In light of acquired corporation pricing this paper adopt the theory of real option and make use of its advantage of securing information from the financial market. This paper propose the implied fluctuation rate-based pricing model which avoid the subjectivity of conversion rate by means of discount. After analyzing several examples, the paper presents that taking advantage of the information from the financial and acquisition market able acquired corporation pricing to effectively avoid over or undervaluation. Taking dynamic duplication of real option into consideration, this paper analyze the real option in investment-based acquisition and pre
sent the method of "acquisition premium" for reasonable assessment of acquired corporation, based upon which valuation model of acquired corporation was established. The two models mentioned above make studies on the real option in acquisition investment from different angles and point out the significance of the real option in measuring and controlling acquisition risks.
引文
[1] F. Black & M. Scholes. The Pricing of Options and Corporate Liabilities. The Journal of Political Economy, 1973 ,Vol.81.637 ～659
[2] L. Trigeorgis ed. Real Options in Capital Investment: Model, Strategies, and Applications. Praeger. 1995
[3] 刘可新，莫京梁．企业并购战略的规模——市场增长矩阵分析和评价方法．管理工程学报，1996，10：223～228
[4] 梁国勇．企业并购和并购行为研究．经济研究，1997，8：40～46
[5] S. P. Mason & R.C. Merton. The Role of Contingent Claims Analysis in Corporate Finance in Recent Advance in Corporate finance ed. E. Altman & Subrahmanyam. Irwin. 1985
[6] 曹凤歧等．如何进行企业重组与并购．北京大学出版社．1999年
[7] 刘文通．公司兼并收购论．北京大学出版社，1997年
[8] 孙福全．企业兼并与破产．中国经济出版社，1995年
[9] 龚维敬．企业兼并论．复旦大学出版社，1997年
[10] 王一喜．企业并购理论及其在中国的应用．复旦大学出版社，2000，11
[11] 干春晖．资源配置与企业兼并．上海财经大学出版社，1997，4
[12] 陈朝阳．中国企业并购论．深圳图书馆，1998，5
[13] 沈艺峰．企业并购分析．深圳图书馆，1997，3
[14] R. Mcdonald & D. Siegel. The Value of Waiting to Invest. [J] Quarterly Journal of Economics 101,1986;No.4; 707～ 727
[15] S.C.Myers & S. Majd. Abandonment Value and Project Life.[M] Advances in Futures and Options Research. 1990; 4; 1～ 21
[16] J. Paddock, D. Siegel & J. Smith. Option Valuation of Claims on Physical Assets; The Case of Offshore Petroleum Leases. [J] Quarterly Journal of Economics 103, 1998; No. 3: 497～508
[17] 马超群，高仁祥．经济建模与预测精度分析．预测，1998，6：50～53
[18] 茅宁．期权分析——理论与应用．南京大学出版社，2000．5
[19] 张志强．期权理论与公司理财．华夏出版社，1999．10
[20] (美)J．威斯迪著．接管、重组与公司治理．机械工业出版社，2001
[21] 叶永刚．衍生金融工具概论．武汉大学出版社，2001年
[22] Merton r. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance,1974,29:449-469
[23] Black, fisher. The Pricing of Commodity Contracts. Journal of Financial Economics, 1976, No. 3: 167-179
[24] (美)谢尔登·纳坦恩伯格著．期权价格波动率与定价理论．经济科学出版社，2000年
[25] 李一智主编．期货与期权教程．清华在大学出版社，1999年
[26] Garman, Mark B. and Kohlhagen, Steven W., Foreign Currency Option Values. Journal of International Money and Finance, 1983,Vol. 2, NO. 3:231-237
[27] John C. Hull: Options, Futures, and Other Derivatives. Fourth Edition, prentice Hall, Inc. 2000
[28] 马超群．Back-Scholes期权定价模型的修正．数量经济与技术经济，1999，6：35～37
[29] 周勇，周寄中．RVD项目的期权性特征分析与期权性价值的估算．管理科学学报，2002，6：22～26
[30] M.Miller and F. Modigliani. Dividend Policy, Growth and the Valuation of shares. Journal of business, 1985, 10:31～51
[31] Franks.JD, Torous. An empirical investigation of U.S. Firm's Renegotiations 1991, 29:137-171
[32] Rock.M.L..Rock, R.H. and Sikora. Martin. The Mergers & Acquistions Handbook. McGraw-Hill, Inc. 1994
[33] Reed. Stanley Foster and Lajoux. Alexandra Reed. The Art of M&A. Buyout Guide. Richard D. Irwin. Inc. 1995
[34] [美]Aswath Damodaran著．朱武祥，邓海峰译．投资估价．清华大学出版社，1999年
[35] 杨昭军，黄立宏．随机波动率模型及期权的局部风险最小定价与保值．应用数学学报，2001，24：56～60
[36] Green. Milford B. Mergers and Acquisitions: Geographical and Saptial Perspectives. London: Routledge, 1990
[37] Freier. J. L. A Acquisition Search Programs. Mergers &Acquisitions, 1981.16(2):35～39
[38] Beder, Tanya Styblo. VaR: Seductive but Dangerous, Financial Analyst. Journal, 1995,V51, No5, 12～24
[39] E. Eberlein and U. Keller. Hyperbolic Distributions in Finance. Bernoulli 1995, V23:281～299
[40] Artzner, P, Delbaen F, Eber, J. M. and Health, D. Coherent Measures of Risk. Mathematical Finance, 1999,9:203～228
[41] Jarion P.Risk. Measuring The Risk in Value at Risk. Financial Analysts Journal, 1996, Nov/Decr: 45～47
[42] Tasche, D. Expected shortfall and beyond of Banking and Finance. 2002,26:1519～1533
[43] Acerbi, C. and Tasche D. On the coherence of expected shortfall, of Banking and Finance, 2002,26:1487～1503
[44] 晏艳阳．特定条件下企业股权价值的评估——期权定价模型的应用．投资与合作，2002，2
[45] 汤登，吴健中．无成本节约下横向兼并决策的均衡分析．上海交通大学报，1997，31(4)：1～5
[46] 陈共，周升业，吴小求．公司购并原理与案例(第二版)．中国人民大学出版社，1997，9
[47] (美)约翰·赫尔著．张陶伟译．期权、期货和衍生证券．华夏出版社，1997年
[48] 张维等．实物期权．机械工业出版社，2002
[49] 杨锐，王东．期权定价与公司负债，预测，1999，1：51～52
[50] 马超群，陈牡妙．Black-Scholes期权定价的修正模型．数量经济技术经济研究，1999，11：35～38
[2] L. Trigeorgis ed. Real Options in Capital Investment: Model, Strategies, and Applications. Praeger. 1995
[3] 刘可新，莫京梁．企业并购战略的规模——市场增长矩阵分析和评价方法．管理工程学报，1996，10：223～228
[4] 梁国勇．企业并购和并购行为研究．经济研究，1997，8：40～46
[5] S. P. Mason & R.C. Merton. The Role of Contingent Claims Analysis in Corporate Finance in Recent Advance in Corporate finance ed. E. Altman & Subrahmanyam. Irwin. 1985
[6] 曹凤歧等．如何进行企业重组与并购．北京大学出版社．1999年
[7] 刘文通．公司兼并收购论．北京大学出版社，1997年
[8] 孙福全．企业兼并与破产．中国经济出版社，1995年
[9] 龚维敬．企业兼并论．复旦大学出版社，1997年
[10] 王一喜．企业并购理论及其在中国的应用．复旦大学出版社，2000，11
[11] 干春晖．资源配置与企业兼并．上海财经大学出版社，1997，4
[12] 陈朝阳．中国企业并购论．深圳图书馆，1998，5
[13] 沈艺峰．企业并购分析．深圳图书馆，1997，3
[14] R. Mcdonald & D. Siegel. The Value of Waiting to Invest. [J] Quarterly Journal of Economics 101,1986;No.4; 707～ 727
[15] S.C.Myers & S. Majd. Abandonment Value and Project Life.[M] Advances in Futures and Options Research. 1990; 4; 1～ 21
[16] J. Paddock, D. Siegel & J. Smith. Option Valuation of Claims on Physical Assets; The Case of Offshore Petroleum Leases. [J] Quarterly Journal of Economics 103, 1998; No. 3: 497～508
[17] 马超群，高仁祥．经济建模与预测精度分析．预测，1998，6：50～53
[18] 茅宁．期权分析——理论与应用．南京大学出版社，2000．5
[19] 张志强．期权理论与公司理财．华夏出版社，1999．10
[20] (美)J．威斯迪著．接管、重组与公司治理．机械工业出版社，2001
[21] 叶永刚．衍生金融工具概论．武汉大学出版社，2001年
[22] Merton r. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance,1974,29:449-469
[23] Black, fisher. The Pricing of Commodity Contracts. Journal of Financial Economics, 1976, No. 3: 167-179
[24] (美)谢尔登·纳坦恩伯格著．期权价格波动率与定价理论．经济科学出版社，2000年
[25] 李一智主编．期货与期权教程．清华在大学出版社，1999年
[26] Garman, Mark B. and Kohlhagen, Steven W., Foreign Currency Option Values. Journal of International Money and Finance, 1983,Vol. 2, NO. 3:231-237
[27] John C. Hull: Options, Futures, and Other Derivatives. Fourth Edition, prentice Hall, Inc. 2000
[28] 马超群．Back-Scholes期权定价模型的修正．数量经济与技术经济，1999，6：35～37
[29] 周勇，周寄中．RVD项目的期权性特征分析与期权性价值的估算．管理科学学报，2002，6：22～26
[30] M.Miller and F. Modigliani. Dividend Policy, Growth and the Valuation of shares. Journal of business, 1985, 10:31～51
[31] Franks.JD, Torous. An empirical investigation of U.S. Firm's Renegotiations 1991, 29:137-171
[32] Rock.M.L..Rock, R.H. and Sikora. Martin. The Mergers & Acquistions Handbook. McGraw-Hill, Inc. 1994
[33] Reed. Stanley Foster and Lajoux. Alexandra Reed. The Art of M&A. Buyout Guide. Richard D. Irwin. Inc. 1995
[34] [美]Aswath Damodaran著．朱武祥，邓海峰译．投资估价．清华大学出版社，1999年
[35] 杨昭军，黄立宏．随机波动率模型及期权的局部风险最小定价与保值．应用数学学报，2001，24：56～60
[36] Green. Milford B. Mergers and Acquisitions: Geographical and Saptial Perspectives. London: Routledge, 1990
[37] Freier. J. L. A Acquisition Search Programs. Mergers &Acquisitions, 1981.16(2):35～39
[38] Beder, Tanya Styblo. VaR: Seductive but Dangerous, Financial Analyst. Journal, 1995,V51, No5, 12～24
[39] E. Eberlein and U. Keller. Hyperbolic Distributions in Finance. Bernoulli 1995, V23:281～299
[40] Artzner, P, Delbaen F, Eber, J. M. and Health, D. Coherent Measures of Risk. Mathematical Finance, 1999,9:203～228
[41] Jarion P.Risk. Measuring The Risk in Value at Risk. Financial Analysts Journal, 1996, Nov/Decr: 45～47
[42] Tasche, D. Expected shortfall and beyond of Banking and Finance. 2002,26:1519～1533
[43] Acerbi, C. and Tasche D. On the coherence of expected shortfall, of Banking and Finance, 2002,26:1487～1503
[44] 晏艳阳．特定条件下企业股权价值的评估——期权定价模型的应用．投资与合作，2002，2
[45] 汤登，吴健中．无成本节约下横向兼并决策的均衡分析．上海交通大学报，1997，31(4)：1～5
[46] 陈共，周升业，吴小求．公司购并原理与案例(第二版)．中国人民大学出版社，1997，9
[47] (美)约翰·赫尔著．张陶伟译．期权、期货和衍生证券．华夏出版社，1997年
[48] 张维等．实物期权．机械工业出版社，2002
[49] 杨锐，王东．期权定价与公司负债，预测，1999，1：51～52
[50] 马超群，陈牡妙．Black-Scholes期权定价的修正模型．数量经济技术经济研究，1999，11：35～38