基于拍卖博弈的资产剥离实物期权决策  

The Analysis of Asset Divestiture Decision through Real Option:An Auction Framework

作　　者：梁铄[1] 陈静[1] 

机构地区：[1]中国海洋大学管理学院,山东青岛266100

出　　处：《中国海洋大学学报（社会科学版）》2014年第1期74-79,共6页Journal of Ocean University of China(Social Sciences)

基　　金：山东省高校人文社会科学研究计划"基于实物期权方法的企业资产剥离决策研究"(J09WJ68)

摘　　要：针对不确定环境下以拍卖方式交易的企业资产剥离时机选择问题,构建以对称独立私人估价拍卖博弈(SIPV)刻画交易收益,并以资产价值剥离临界值为决策变量的实物期权决策模型,证明其解存在且唯一。数值分析显示,剥离交易的买方越多,其对剥离资产估值上限越高,则剥离临界值越高,资产剥离的期权价值越大。资产价值波动率越高,则剥离临界值越低,资产剥离的期权价值越大。Concerning the opportunity of corporate decisions on asset divestiture conducted through auction in an uncertain condition, the paper established a ROA model which described auction transaction by an SIPV auction game model, and proved the existence and uniqueness of the solution. Numerical analysis shows that the increase of asset volatility have positive and negative effect on asset divestiture option value and the critical asset value respectively, while the increase of asset drift rate have the opposite effect. The number of buyer and their estimated value of the asset have positive effect on both asset divestiture option value and the critical asset value.

关 键 词：实物期权 资产剥离 SIPV拍卖 

分 类 号：F830.59[经济管理—金融学]