企业的横向兼并投资决策——实物期权方法

A Real Option Approach to Investment Decision Making of Firm's Horizontal Merger Under Uncertainty

应用实物期权方法分析了不确定性环境下企业的横向兼并投资决策问题。将企业所拥有的兼并投资机会看作是企业所持有的看涨期权 ,应用期权定价理论分析了兼并期权的价值 ,得到了最优兼并投资决策的临界值以及不确定性下横向兼并投资决策的托宾 q的修正值。在分析中考虑了横向兼并的规模经济效应与垄断效应 ,并分析了这两种效应对决策的影响。

This paper analyzes the investment decision making of firm's horizontal merger under uncertainty by adopting real option approach. The merger investment opportunity which is held by a firm serves as a call option. By using contingent claim analysis we analyze the value of option to merger, obtain the optimal critical price level of merger and correctional value of Tobin's q. In our analysis we consider effects of scale economy and monopoly, and analyze the impact of these two effects on merger investment decision making.