基于期权博弈理论的企业并购定价分析
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摘要
并购是企业实现外部增长的重要战略投资。随着市场经济的不断发展,国内外并购活动持续高涨。并购定价是并购活动中非常关键,也是最具技术性的环节,往往直接决定着并购的成败。传统的并购定价方法建立在确定的、完全信息的基础之上,并忽视竞争的影响。本文利用期权博弈理论研究并购定价,在充分考虑目标企业价值的基础上,同时将管理柔性、信息不确定性以及竞争性等因素纳入并购定价体系中,从而能够更科学合理地对并购进行定价。
本文首先就期权博弈理论的发展及其在企业并购中的应用进行综述。然后分析了期权博弈理论的基本思想、理论框架,探讨了此理论在一般投资决策中的应用,为本文的研究提出了理论基础和分析框架。本文的核心部分包括两部分,一是对并购定价过程进行了更加科学的划分和界定,对定价过程中的期权博弈特性进行了全面的识别,认为目标企业可能接受的并购最低价格是目标企业的资产价值,而主并企业可能支付的并购最高价格是目标企业基础资产价值和并购期权价值之和,并购定价是并购参与者之间在最高价和最低价之间的博弈均衡过程。在此基础上本文提出了基于期权博弈特性的并购价格函数和定价方法;二是提出了具体的资产价值评估方法和期权方法对并购价格函数中的各部分价值进行估算,并建立了主并企业与目标企业之间和主并企业之间价格竞争的博弈模型,定量分析了竞争对并购价格的影响。最后,仿真了一并购实例,利用本文的研究成果进行了并购定价分析,得出了最终并购价格,验证了本文研究成果在实际中应用的可行性。
Merger and acquisition (M&A) is an important strategic investment, which can help a firm realize external growing. Along with the development of the market economy, the global M&A have been increasing. Pricing decision of M&A is very important. It is the most technical part in the progress of M&A's pricing decision, which usually determine the M&A' s success and failure directly. The traditional methods for M&A's pricing decision is based on certainty, complete information, and ignoring competition. This paper uses option game theory to study M&A's pricing decision. We consider target enterprises' assets value sufficiently. At the same time, we bring factors, such as management flexibility, uncertainty of information and competition, into the system of M&A's pricing decision. Then, we can make the decision more scientific and reasonable.This paper is begun with the study on the development of option game theory and its application in M&A's pricing decision. Then, we analysis the main ideas and theory frame of the option game theory, and discuss the possibility to analysis investment with the theory. In this part, we offer the paper the base of theory and frame. The nucleus of the paper includes two parts. In the first part, we divide and define the progress of M&A's pricing decision based on science, and identify the characteristics of option game .We think that the lowest price the target enterprise may accept is the assets value of the target enterprise, and the highest price the major enterprise may pay is the sum of the assets value of the target enterprise and the options value of M&A's. So making M&A's pricing decision is to look for game equilibrium between the main body in the M&A. Based on the analysis above, the paper offer a function and a method about M&A's price. In the second part, discuss the methods and models to calculate value in the function, point out game models to analysis the competition quantitatively between target enterprise and major enterprise, and target enterprises. At last, we simulate a case about M&A to make M&A's pricingdecision with the result. It verifies the feasibility of the result applied to practice.
本文首先就期权博弈理论的发展及其在企业并购中的应用进行综述。然后分析了期权博弈理论的基本思想、理论框架,探讨了此理论在一般投资决策中的应用,为本文的研究提出了理论基础和分析框架。本文的核心部分包括两部分,一是对并购定价过程进行了更加科学的划分和界定,对定价过程中的期权博弈特性进行了全面的识别,认为目标企业可能接受的并购最低价格是目标企业的资产价值,而主并企业可能支付的并购最高价格是目标企业基础资产价值和并购期权价值之和,并购定价是并购参与者之间在最高价和最低价之间的博弈均衡过程。在此基础上本文提出了基于期权博弈特性的并购价格函数和定价方法;二是提出了具体的资产价值评估方法和期权方法对并购价格函数中的各部分价值进行估算,并建立了主并企业与目标企业之间和主并企业之间价格竞争的博弈模型,定量分析了竞争对并购价格的影响。最后,仿真了一并购实例,利用本文的研究成果进行了并购定价分析,得出了最终并购价格,验证了本文研究成果在实际中应用的可行性。
Merger and acquisition (M&A) is an important strategic investment, which can help a firm realize external growing. Along with the development of the market economy, the global M&A have been increasing. Pricing decision of M&A is very important. It is the most technical part in the progress of M&A's pricing decision, which usually determine the M&A' s success and failure directly. The traditional methods for M&A's pricing decision is based on certainty, complete information, and ignoring competition. This paper uses option game theory to study M&A's pricing decision. We consider target enterprises' assets value sufficiently. At the same time, we bring factors, such as management flexibility, uncertainty of information and competition, into the system of M&A's pricing decision. Then, we can make the decision more scientific and reasonable.This paper is begun with the study on the development of option game theory and its application in M&A's pricing decision. Then, we analysis the main ideas and theory frame of the option game theory, and discuss the possibility to analysis investment with the theory. In this part, we offer the paper the base of theory and frame. The nucleus of the paper includes two parts. In the first part, we divide and define the progress of M&A's pricing decision based on science, and identify the characteristics of option game .We think that the lowest price the target enterprise may accept is the assets value of the target enterprise, and the highest price the major enterprise may pay is the sum of the assets value of the target enterprise and the options value of M&A's. So making M&A's pricing decision is to look for game equilibrium between the main body in the M&A. Based on the analysis above, the paper offer a function and a method about M&A's price. In the second part, discuss the methods and models to calculate value in the function, point out game models to analysis the competition quantitatively between target enterprise and major enterprise, and target enterprises. At last, we simulate a case about M&A to make M&A's pricingdecision with the result. It verifies the feasibility of the result applied to practice.
引文
[1] 马克·赛罗沃.协同效应的陷阱:公司在购并中如何避免功亏一篑[M].上海:上海远东出版社,2000
[2] 王义秋.企业并购定价的博弈分析[J].东北大学学报,2004,25(6):586-589
[3] 郭维平.现代企业收购与兼并[M].深圳:海天出版社,1997
[4] 干春晖,刘祥生.企业并购理论·事务·案例[M].上海:立信会计出版社,2002
[5] 弗兰克C.埃文斯,大卫M.毕晓普.并购价值评估:非上市并购企业价值创造和计算[M].北京:机械工业出版社,2003
[6] Merton R C. Application of option-pricing theory: twenty-five years later[J], American Economic Revies, 1998 (6): 323-349
[7] Black F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973(81): 637-659
[8] Merton R C. On the pricing of contingent claims and the Modigliani-miller theorem [J]. Journal of Finacial Economics, 1977, 5(3): 241-249
[9] 丹尼斯·卡尔顿,杰弗里·佩罗夫.现代产业组织[M].上海:三联出版社,1997
[10] Smets F. Exporting versus FDI : The effect of uncertainty, irreversibilities and strategic interactions, working paper, Yale University, 1991
[11] Lambrecht B, Perraudin W. Options game. Working Paper, Cmbridge University, August 1994
[12] Dixit A, Pindyck R. S. Investment under uncertainty[M]. Princeton University Press, 1994
[13] Trigeorgis L. Real Options-managerial Flexibility and Strategy in Resource Allocation[M]. Cambridge: MA MIT Press, 1996
[14] Grenadier S. R. The strategic exercise of options development cascades and overbuilding in real estate market[J]. The Journal of Finance, 1996, 51(5): 1653-1679
[15] Huisman K. J. M. and P. M. Kort. Effects of Strategic Interactions on the Option Value of Waiting, Working Paper, Tilburg University, September 1999:24-39
[16] Joaquin D.C. and K.C. Buttle. Competitive Investment Decisions: A Synthesis in Brennan and Trigeorgis, Eds. Project Flexibility Agency, and Competition-New Developments in the Theory and Applications of Real Options, Work Paper, Project Flexibility Agency, and Competition-New Developments in the Theory and Applications of Real Options, 2000:324-339
[17] Grenadier S. R. Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms[J]. Review of Financial Studies, 2002 (15): 691-721
[18] Dias, M A G, Teixeira, J. P. Continuous-Time Option Game: Review of Models and Extensions-Part 1 : Duopoly under Uncertainty, Working Paper, 2003
[19] Williams JT. Equilibrium and options on real assets [J]. The Review of Financial Studies, 1993, 6(4): 825-850
[20] Han T, Smit J. Acquisition Strategies as Option Games[J]. Journal of Applied Corporate Finance, 2001, 14(2): 79-89
[21] Murto P, Keppo J. A Game Model of Irreversible Investment under Uncertainty[J]. International Game Theory Review, 2002, 4(2): 127-140
[22] Jose PD, Santiago F. Options Approach to Tender Offers and Acquisitions Processes, Working Paper, 2003
[23] 安瑛晖,张维.期权博弈理论的方法模型分析与发展[J].管理科学学报,2001,4(1):38-44
[24] 石善冲,张维.实物期权博弈投资战略分析理论框架研究[J].技术经济,2004(7):49-51
[25] 齐安田,张维,吴中元.企业并购的期权特征分析与定价研究[J].预测,2003,22(5):14-28
[26] 郑湘明,秦喜杰.企业并购和目标企业定价研究[J].财经问题研究,2004(1):82-86
[27] 王影慧.企业并购决策的定量方法研究[J].天津理工学院学报,2003,19(3):13-16
[28] 陈悦,倪浩,陶柏.企业并购中的讨价还价博弈模型[J].统计与决策,2004(3):28-29
[29] Lambrecht B, Peraudin W, Options game. Working Paper, Cmbridge University, August, 1994
[30] 韩款,石善冲.实物期权博弈投资战略分析的理论及应用研究[J].北京理工大学学报,2006,18(1):52-54
[31] Pakaj Ghemawat, Strategic Valuation of investment under competition[J]. In terfaces, 29 (6): 42-57
[32] 张志强.期权理论与公司理财[M].第1版,北京:华夏出版社,2001
[33] 施兵超,金融期货与期权[M].上海:三联出版社,1997
[34] Myers, S. C. Determinants ofCorporateBorrowing[J]. Journal of Financial Economics, 1977, 5(1): 411-487
[35] 杨春鹏.实物期权及其应用[M].上海:复旦大学出版社,2003
[36] 郁洪良.金融期权与实物期权——比较和应用[M].上海:上海财经大学出版社,2003
[37] 宋逢明.金融工程原理——无套利均衡分析[M].北京:清华大学出版社,1999
[38] 马莎·阿姆拉姆.实物期权[M].北京:机械工业出版社,2001
[39] Amram, M. and N. Kulatilaka. Real Options: Managing Strategic Investment in an Uncertain World[M]. Harvard Business School Press, 1999
[40] 张维迎.博弈论与信息经济学[M].上海:上海人民出版社,1996
[41] 阿维纳什·迪克西特,罗伯特·平迪克.不确定条件下的投资[M].北京:中国人民出版社,2002
[42] Dixit A, Pindyck R. S. Investment under uncertainty[M]. Princeton University Press, 1996
[43] 郑燕军.企业并购的定价及支付方式[J].冶金财会,2005,3(9):9-10
[44] 詹姆斯·C·范霍恩.现代企业财务管理[M].北京:经济科学出版社,2002
[45] 张先治.论以现金流量为基础的价值评估[J].求是学刊,2000,139(6):40-45
[46] Cox, J. C. and S. A. Ross. The valuation of options for altemative stochastic processes[J]. Journal of Financial Economics, 1976 (3): 145-166
[47] Cox, J. C, S. A. Ross and M. Rubinstein. Option pricing: A simplified approach, Journal of Financial Economics[J]. 1979 (7): 229-263
[48] Mcdonald, R. and D. Siegle. The value of waiting to invest[J]. Quarterly Journal of Economics, 1986 (11): 707-727
[49] Myers S. and S. Majd. Abandonment value and project life[J]. Advances in Futures and Options Research, 1990, 11 (4): 1-21
[50] Margabe W. The value of option to exchange one asset for another[J]. Journal of Finance, 1978, 33 (3): 177-186
[51] 谢识予.经济博弈论[M].上海:复旦大学出版社,2002
[52] Kemna, Angelien G Z. Case studies on real option [J]. Financial Management, 1993 (8): 259-270
[2] 王义秋.企业并购定价的博弈分析[J].东北大学学报,2004,25(6):586-589
[3] 郭维平.现代企业收购与兼并[M].深圳:海天出版社,1997
[4] 干春晖,刘祥生.企业并购理论·事务·案例[M].上海:立信会计出版社,2002
[5] 弗兰克C.埃文斯,大卫M.毕晓普.并购价值评估:非上市并购企业价值创造和计算[M].北京:机械工业出版社,2003
[6] Merton R C. Application of option-pricing theory: twenty-five years later[J], American Economic Revies, 1998 (6): 323-349
[7] Black F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of Political Economy, 1973(81): 637-659
[8] Merton R C. On the pricing of contingent claims and the Modigliani-miller theorem [J]. Journal of Finacial Economics, 1977, 5(3): 241-249
[9] 丹尼斯·卡尔顿,杰弗里·佩罗夫.现代产业组织[M].上海:三联出版社,1997
[10] Smets F. Exporting versus FDI : The effect of uncertainty, irreversibilities and strategic interactions, working paper, Yale University, 1991
[11] Lambrecht B, Perraudin W. Options game. Working Paper, Cmbridge University, August 1994
[12] Dixit A, Pindyck R. S. Investment under uncertainty[M]. Princeton University Press, 1994
[13] Trigeorgis L. Real Options-managerial Flexibility and Strategy in Resource Allocation[M]. Cambridge: MA MIT Press, 1996
[14] Grenadier S. R. The strategic exercise of options development cascades and overbuilding in real estate market[J]. The Journal of Finance, 1996, 51(5): 1653-1679
[15] Huisman K. J. M. and P. M. Kort. Effects of Strategic Interactions on the Option Value of Waiting, Working Paper, Tilburg University, September 1999:24-39
[16] Joaquin D.C. and K.C. Buttle. Competitive Investment Decisions: A Synthesis in Brennan and Trigeorgis, Eds. Project Flexibility Agency, and Competition-New Developments in the Theory and Applications of Real Options, Work Paper, Project Flexibility Agency, and Competition-New Developments in the Theory and Applications of Real Options, 2000:324-339
[17] Grenadier S. R. Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms[J]. Review of Financial Studies, 2002 (15): 691-721
[18] Dias, M A G, Teixeira, J. P. Continuous-Time Option Game: Review of Models and Extensions-Part 1 : Duopoly under Uncertainty, Working Paper, 2003
[19] Williams JT. Equilibrium and options on real assets [J]. The Review of Financial Studies, 1993, 6(4): 825-850
[20] Han T, Smit J. Acquisition Strategies as Option Games[J]. Journal of Applied Corporate Finance, 2001, 14(2): 79-89
[21] Murto P, Keppo J. A Game Model of Irreversible Investment under Uncertainty[J]. International Game Theory Review, 2002, 4(2): 127-140
[22] Jose PD, Santiago F. Options Approach to Tender Offers and Acquisitions Processes, Working Paper, 2003
[23] 安瑛晖,张维.期权博弈理论的方法模型分析与发展[J].管理科学学报,2001,4(1):38-44
[24] 石善冲,张维.实物期权博弈投资战略分析理论框架研究[J].技术经济,2004(7):49-51
[25] 齐安田,张维,吴中元.企业并购的期权特征分析与定价研究[J].预测,2003,22(5):14-28
[26] 郑湘明,秦喜杰.企业并购和目标企业定价研究[J].财经问题研究,2004(1):82-86
[27] 王影慧.企业并购决策的定量方法研究[J].天津理工学院学报,2003,19(3):13-16
[28] 陈悦,倪浩,陶柏.企业并购中的讨价还价博弈模型[J].统计与决策,2004(3):28-29
[29] Lambrecht B, Peraudin W, Options game. Working Paper, Cmbridge University, August, 1994
[30] 韩款,石善冲.实物期权博弈投资战略分析的理论及应用研究[J].北京理工大学学报,2006,18(1):52-54
[31] Pakaj Ghemawat, Strategic Valuation of investment under competition[J]. In terfaces, 29 (6): 42-57
[32] 张志强.期权理论与公司理财[M].第1版,北京:华夏出版社,2001
[33] 施兵超,金融期货与期权[M].上海:三联出版社,1997
[34] Myers, S. C. Determinants ofCorporateBorrowing[J]. Journal of Financial Economics, 1977, 5(1): 411-487
[35] 杨春鹏.实物期权及其应用[M].上海:复旦大学出版社,2003
[36] 郁洪良.金融期权与实物期权——比较和应用[M].上海:上海财经大学出版社,2003
[37] 宋逢明.金融工程原理——无套利均衡分析[M].北京:清华大学出版社,1999
[38] 马莎·阿姆拉姆.实物期权[M].北京:机械工业出版社,2001
[39] Amram, M. and N. Kulatilaka. Real Options: Managing Strategic Investment in an Uncertain World[M]. Harvard Business School Press, 1999
[40] 张维迎.博弈论与信息经济学[M].上海:上海人民出版社,1996
[41] 阿维纳什·迪克西特,罗伯特·平迪克.不确定条件下的投资[M].北京:中国人民出版社,2002
[42] Dixit A, Pindyck R. S. Investment under uncertainty[M]. Princeton University Press, 1996
[43] 郑燕军.企业并购的定价及支付方式[J].冶金财会,2005,3(9):9-10
[44] 詹姆斯·C·范霍恩.现代企业财务管理[M].北京:经济科学出版社,2002
[45] 张先治.论以现金流量为基础的价值评估[J].求是学刊,2000,139(6):40-45
[46] Cox, J. C. and S. A. Ross. The valuation of options for altemative stochastic processes[J]. Journal of Financial Economics, 1976 (3): 145-166
[47] Cox, J. C, S. A. Ross and M. Rubinstein. Option pricing: A simplified approach, Journal of Financial Economics[J]. 1979 (7): 229-263
[48] Mcdonald, R. and D. Siegle. The value of waiting to invest[J]. Quarterly Journal of Economics, 1986 (11): 707-727
[49] Myers S. and S. Majd. Abandonment value and project life[J]. Advances in Futures and Options Research, 1990, 11 (4): 1-21
[50] Margabe W. The value of option to exchange one asset for another[J]. Journal of Finance, 1978, 33 (3): 177-186
[51] 谢识予.经济博弈论[M].上海:复旦大学出版社,2002
[52] Kemna, Angelien G Z. Case studies on real option [J]. Financial Management, 1993 (8): 259-270