产业生命周期视角下的并购期权价值评估方法优化研究

doi:10.12005/orms.2018.0005

运筹与管理 ›› 2018, Vol. 27 ›› Issue (1): 31-36.DOI: 10.12005/orms.2018.0005

产业生命周期视角下的并购期权价值评估方法优化研究

刘洪久¹, 胡彦蓉¹, 马卫民², 孙伟国³

1.浙江农林大学信息工程学院,浙江杭州 311300;
2.同济大学经济与管理学院,上海 200092;
3.常熟理工学院经济与管理学院,江苏常熟 215500

收稿日期:2014-06-28 出版日期:2018-01-25
作者简介:刘洪久(1969-),男,河北昌黎,教授,博士。主要从事管理预测与决策、价值评估方面的研究。
基金资助:
教育部人文社会科学研究规划基金项目(14YJA630030);浙江省自然科学基金(LY18G010005,LY17G020025);浙江省哲学社会科学规划课题(17NDJC262YB)

Optimization of Real Option Valuation Method in Mergers & Acquisitions Based on Industrial Life Cycle

LIU Hong-jiu¹, HU Yan-rong¹, MA Wei-min², SUN Wei-guo³

1.School of Information Engineering, Zhejiang A & F University, Hangzhou 311300, China;
2.School of Economics and Management, Tongji University, Shanghai 200092, China;
3.School of Economics and Management, Changshu Institute of Technology, Changshu 215500, China

Received:2014-06-28 Online:2018-01-25

摘要/Abstract

摘要： 由于并购活动具有期权的特点,其价值常采用Black-Scholes模型计算。但传统的Black-Scholes模型没有考虑产业生命周期对并购期权价值的影响。本文分析了产业生命周期不同阶段并购期权价值的特点,指出期权价值随产业生命周期的不同发展阶段而变化。研究通过采用Gompertz曲线预测模型拟合产业生命周期曲线,并对其作适当变换,推导出了修正系数η_t,对并购期权价值的Black-Scholes评估模型进行了优化。这种优化有助于避免评估过程中的高估风险,从而使并购价值的计算更合理,确保并购决策更具科学性。

关键词: 产业生命周期, 并购期权, 价值评估

Abstract: Value of mergers & acquisitions(M&A)is often measured by Black-Scholes model because of its characteristics of real option. However, traditional Black-Scholes model does not take account of the influence of industrial life cycle(ILC)on the value of real option. This paper analyzes the features of M&A real option during the different phases of ILC and points out that M&A real option value changes with different stages of ILS. Gompertz prediction model is chosen to fit ILC curve in our research. By transforming Gompertz prediction model appropriately, we deduce an amended coefficient η_t which optimizes Black-Scholes real option valuation model of M&A. The improvement is available to calculate the value of M&A real option more rationally and make decision of M&A more scientifically, which avoids overestimating risk during the process of M&A valuation.

Key words: industrial life cycle, real option of mergers and acquisitions, valuation of mergers and acquisitions

中图分类号:

F272.5

刘洪久, 胡彦蓉, 马卫民, 孙伟国. 产业生命周期视角下的并购期权价值评估方法优化研究[J]. 运筹与管理, 2018, 27(1): 31-36.

LIU Hong-jiu, HU Yan-rong, MA Wei-min, SUN Wei-guo. Optimization of Real Option Valuation Method in Mergers & Acquisitions Based on Industrial Life Cycle[J]. Operations Research and Management Science, 2018, 27(1): 31-36.

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产业生命周期视角下的并购期权价值评估方法优化研究

Optimization of Real Option Valuation Method in Mergers & Acquisitions Based on Industrial Life Cycle

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