Abstract: Asset divestiture affects the risk-return characteristics of total assets by changing the composition of assets-in-place. Different from the literature in which asset divestiture is modeled as the exercising of put option, this paper develops a generalized exchange option model to describe the situation in which firms divest non-core assets and then refocus capital and management resources on core assets. Using a real option approach and the technique of pricing kernel in a continuous-time framework, the paper theoretically demonstrates the influence of asset divestiture on risk premium and provides supporting evidence from A-share listed firms in China. The results show that the direction of the influence of asset divestiture on risk premium depends on the relative magnitudes of risk premiums on core assets and non-core assets, while the influence degree of divesture is relate to the difference in the values of two kinds of assets and the proportion of exchange option value in firm value. Further results show that the waiting flexibility of divesture decision will weaken the influence of asset divestiture and divestiture will be more likely to have a positive influence on risk premium for firms in earlier stage of their life cycle.

Key words: asset divestiture, exchange option, risk premium, life cycle

摘要： 资产剥离会通过改变在位资产的构成而影响总资产风险收益特征。区别于已有研究将资产剥离看作看跌期权的通常做法,本文考虑企业剥离非核心资产并将资源重新聚焦于核心资产的一般情形,将资产剥离决策视作一种交换期权。运用实物期权方法和定价核技术,本文在连续时间框架下分析了资产剥离影响资产风险溢价的理论机理,并利用沪深A股上市公司数据进行实证检验。研究结果表明:资产剥离对资产风险溢价的影响方向取决于非核心和核心两类资产风险溢价的相对大小,影响程度则由两类资产价值占比的差异和交换期权的价值占比共同决定;进一步,等待剥离的决策灵活性会削弱资产剥离的影响;年轻阶段的资产剥离更加可能对风险溢价具有提升作用。

关键词: 资产剥离, 交换期权, 风险溢价, 生命周期