基于泊松跳跃的并购时机研究  

Research on Timing of M&A Based on Poisson Jump

作　　者：张立[1,2] 扈文秀[1] 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710054 [2]西安工业大学建筑工程学院,陕西西安710021

出　　处：《西安理工大学学报》2013年第4期495-499,共5页Journal of Xi'an University of Technology

基　　金：国家自然科学基金资助项目(70973096);陕西省高校重点学科专项资金资助项目(107-00X902)

摘　　要：在同时考虑协同效应与泊松跳跃的情形下,运用实物期权思想与最优停时方法探讨了并购时机问题。在主并方与被并方价值均不确定但存在一定相关性的条件下,通过构建被并方不抵触并购情形下的单方并购模型,求解出了在考虑泊松跳跃与不考虑泊松跳跃情形下的最佳并购时机及其对应的并购区域;研究发现泊松跳跃的存在使主并方获得更多等待期权的价值,但也使并购阈值右移,并购区域变宽,选择最佳并购时机需要更多的信息支持。Taking both synergistic effect and Poisson jump into account, the paper studies the timing of M＆A using the method of real option and optimal stopping. Through the establishment of the M＆A model with two players, in which both of the players＇ value are uncertain but related, and the acquainted player accepts the M＆A without condition, the paper solves the optimal timing of M＆A and corresponding region to make decision under the condition where Poisson jump exists and the condition where Poisson jump does not exist. The result shows that the company 1 will obtain more value of waiting option but narrower M＆A region with Poisson jump comparing with that without Poisson jump.

关 键 词：并购时机 协同效应 最优停时 泊松跳跃 

分 类 号：F830[经济管理—金融学]