Abstract: The paper tries to solve the best timing of merger, to evaluate the value of corresponding real options, and makes a comparative analysis between one situation with “Poisson Jump” and the other without it, according to the method of optimal stopping, the theory of real option, the smooth paste conditions and the convert of Douglas Production Function. The study finds that, mergers and acquisitions mainly pursue synergies as an “investment”; whether or not to consider the Poisson Jump, there is a best timing and corresponding acquisition area, where, the best timing is only related to the relative price of stock of the two sides, rather than anything else; in both cases with and without Poisson Jump, the lower thresholds and the upper thresholds shift to the right, but not the simply parallel move, as well as the mergers and acquisitions area become wider, and it needs more new information to hunt the best timing for the merger; when the relative price goes into the feasible area for merger, the merger can be put into practice right now, but otherwise, the best strategy for the merger is to hold the option to wait for more useful information. These findings can provide a theoretical direction and practical reference directly for the merger’s timing decision-making, especially for the transfer of ownership of state-owned enterprises in China.

Key words: timing, real options, optimal stopping, synergies, Poisson Jump

摘要： 基于最优停时理论、实物期权方法、平滑粘贴条件和道格拉斯生产函数转换,通过时机模型构建与求解,比较分析了无泊松跳跃和有泊松跳跃两种情形下的最佳并购时机。研究结果显示,驱动企业并购的主要是协同效应;企业并购存在仅与并购双方相对股价有关的最佳并购时机及其对应的并购区域;泊松跳跃使并购阈值下界和并购阈值上界右移,并购区域变宽,选择最佳并购时机需要更多信息;在相对股价进入并购区域时,即可实施并购,否则,主并方的最佳策略为持有等待期权,即继续等待。研究结论可为企业选择最佳并购时机,尤其是国有企业选择产权转让的最佳时机提供直接理论指导和实践借鉴。

关键词: 并购时机, 实物期权, 最优停时, 协同效应, 泊松跳跃