基于不完全溢价信息的并购时机期权博弈研究

Analyzing Optimal Timing of Merger and Acquisition with Premium under Incomplete Information in a Real Options and Game Theoretic Framework

本文采用实物期权、最优停时的方法研究了考虑不完全信息并购溢价的并购阈值的确定问题。通过数值举例得出溢价比例的变化与并购阈值上下界呈反向变动关系的基本结论。并以此为基础,进一步分析了基于竞争对手溢价水平不完全信息下主并方的并购策略问题,得出了强弱竞争力情形下,主并方溢价水平的选择分别为调高或调低、大于或等于竞争对手的溢价水平,且应同时满足调整后的并购阈值上界至少等于竞争对手的期望溢价水平下的并购阈值上界。该结论可直接用于指导实践。

This paper examines the optimal threshold value of merger and acquisition with premium under incomplete information by real option and optimal stopping time.And with the numerical example it is concluded the quantity fluctuation of merger and acquisition premium presents a reverse with the upper and lower bound of threshold value.Based on the conclusion,it further analyzes the optimal strategy of merger and acquisition considering the competitor＇s premium under incomplete information.It concludes that the premium should be increased or decreased to the competitor＇s premium when the bidder is more competitive than the rival and if the bidder is less competitive its premium should be more than or equal to the premium of competitor.Moreover,this conclusion should take the upper threshold of bidder at least equal to the upper threshold which is determined by an expected premium of competitor as precondition.And the conclusions can guide practice directly.