实物期权法在企业并购价值评估中的应用研究

发布时间：2019-06-13 19:37

【摘要】：并购作为一种战略投资手段，是控制增量、优化存量的有效途径。对目标企业价值的评估是并购行为的核心工作，只有合理的估值，才能保证并购行为的顺利完成。 并购这种战略投资行为，具有不可逆性和不确定性，符合实物期权特征。本文针对三种基本评估方法在评估企业价值时存在不能量化不确定性带来的风险收益的缺陷，提出实物期权理论在并购评估企业价值中的应用。 首先，介绍选题的背景和意义、国内外发展现状、阐述本文的研究思路和研究内容。其次，介绍并购理论、实物期权理论、并购中的实物期权理论、三种基本评估方法的优缺点及与实物期权方法的比较，分析了并购过程中的实物期权特征和类型。再次，，介绍实物期权方法的两种基本定价模型：B-S模型和二叉树定价模型。二叉树模型基础上分析三叉树模型思想，并比较了三种模型的优缺点。第四章建立本文并购定价模型，先是应用自由现金流量两阶段折现模型进行估算目标企业自身的价值；然后以企业自身的价值作为计算实物期权价值的标的资产价值，应用B—S模型计算企业自身的期权价值和并购本身的期权价值；应用三叉树定价模型计算并购后期权的价值。最后，以王府井百货并购春天百货的实际案例，应用模型计算目标企业的价值，并与已知的结果进行分析比较，验证模型的可行性。
[Abstract]:As a strategic investment means, M & A is an effective way to control the increment and optimize the stock. The evaluation of the value of the target enterprise is the core work of M & A behavior. Only a reasonable valuation can ensure the smooth completion of M & A behavior. M & A strategic investment behavior is irreversible and uncertain, in line with the characteristics of real options. In view of the defects of three basic evaluation methods in evaluating the value of enterprises, this paper puts forward the application of real option theory in the evaluation of enterprise value by real option theory, which can not quantify the risk and return caused by uncertainty. First of all, this paper introduces the background and significance of the topic, the development status at home and abroad, and expounds the research ideas and contents of this paper. Secondly, it introduces the M & A theory, the real option theory in M & A, the advantages and disadvantages of the three basic evaluation methods and their comparison with the real option method, and analyzes the characteristics and types of real options in the process of M & A. Thirdly, two basic pricing models of real option method are introduced: B 鈮

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