基于实物期权的企业兼并行为分析

中国管理科学 ›› 2009, Vol. 17 ›› Issue (1): 29-35.

基于实物期权的企业兼并行为分析

陈珠明¹, 杨华李²

1. 中山大学管理学院, 广东广州 510275;
2. 中山大学, 广东广州 510275

收稿日期:2006-06-10 修回日期:2008-12-20 出版日期:2009-02-28 发布日期:2009-02-28
作者简介:陈珠明(1965- ),男(汉族),四川通江人,金融学博士,中山大学管理学院财务投资系副教授,研究方向:金融学专业和财务投资.
基金资助:
广东省哲学社会科学基金资助项目(03/04C2-07);广东省自然科学基金资助项目(031635)

The Analysis of the Behavior of Corporate Mergers Based on Real Option

CHEN Zhu-ming¹, YANG Hua-li²

1. Dep. of Finance, School of Business, Sun Yat-sen University, Guangzhou 510275, China;
2. Sun Yat-sen University, Guangzhou, 510275, China

Received:2006-06-10 Revised:2008-12-20 Online:2009-02-28 Published:2009-02-28

摘要/Abstract

摘要： 利用实物期权博弈论等理论和方法,研究信息完全条件下有负债企业兼并的均衡价格和最优时机.通过对随机市场下企业兼并的动机、过程的微观机理的深入剖析,对影响兼并定价的主要因素进行分析,分别给出随机市场下有负债的"好企业"增资扩股的均衡条件和最优时机的解析式,以及对"一般企业"和"差企业"兼并的最优时机和均衡价格的解析式,并进行比较静态分析和数值模拟.研究结论与经验相符.

关键词: 实物期权博弈论, 好企业, 一般企业, 差企业, 兼并定价

Abstract: In this paper, a new POTPL(POT-Power Law) model on the basis of fractal dimension theory by using POT model of extreme value theory is presented.It gives not only a theoretical explanation for the choice of the threshold of POT model, but also satisfying power law condition of estimating tail disfribution.The analysis result shows that this model can be more convenient to estimate the tail than former methods.And it provides a new idea for solving fat-tail problem in small-sample circumstances, In addition, the random sum model in insurance is introduced in order to solve calculating Sum VaR of the banking operational risk losses.Then a simplified formula of VaR is given on the basis of operational loss data in our banks.

Key words: fractal dimension, power law, POT model, random sum, VaR

中图分类号:

陈珠明, 杨华李. 基于实物期权的企业兼并行为分析[J]. 中国管理科学, 2009, 17(1): 29-35.

CHEN Zhu-ming, YANG Hua-li. The Analysis of the Behavior of Corporate Mergers Based on Real Option[J]. Chinese Journal of Management Science, 2009, 17(1): 29-35.