【作者】 陈佳；

【导师】 曾勇； 李强；

【作者基本信息】 电子科技大学 ， 管理科学与工程， 2020， 博士

【摘要】 无论是并购浪潮推动的技术进步与技术革命,还是借助并购快速成长起来的独角兽企业,以及传统产业中成熟企业通过资产剥离实现转型发展的实践都共同表明,并购重组是企业创造增长机会的一种重要手段。相关研究方面,尽管公司金融领域关于并购的成果较为丰富,但尚少从资产定价视角考察并购的作用与影响;资产定价领域增长期权的相关研究则缺乏对并购创造增长机会作用的关注。本文从增长期权创造的视角,综合运用实物期权、定价核技术、数值仿真和多元回归等方法,理论为主、实证为辅,深入研究了并购和资产剥离两种行为通过创造增长期权影响并购方资产构成,进而影响并购方资产风险溢价的机理,以及生命周期、增长期权特征、并购市场竞争、现金持有等因素对并购创造增长期权作用的影响,并利用中国沪深两市A股上市公司数据,进行实证检验。研究内容和主要结论如下:首先,考虑并购方可通过购买新技术而创造增长期权的外生简化情景,通过比较考虑和不考虑并购两种情形下并购方资产风险溢价的大小,理论上揭示了创造增长期权的并购如何通过改变资产构成而影响资产风险溢价的基本机理,并分析不同生命周期阶段中并购对资产风险溢价的不同影响,最后进行实证检验。理论与实证结果一致表明:通过提高总资产中增长期权的价值占比,创造增长期权的并购可以提升并购方的资产风险溢价;进一步,在新创增长期权风险和单位投入回报同时较高的情况下,成熟阶段较之年轻阶段进行并购更加能够提升并购方资产风险溢价。其次,考虑到并购并非总是能够成功创造增长期权,通过构建同时包含并购期权和增长期权的(两阶段)复合期权模型,将并购创造增长期权的过程内生化,理论上揭示了增长期权创造过程中并购方资产风险溢价的动态变化,重点分析增长期权出现概率和持续投入两个重要特征,以及并购市场竞争对并购作用的影响。研究结果表明:增长期权的出现概率越高,并购方的资产风险溢价越高;如果并购带来的技术互补和资产协同两种效应都较小,或者增长期权所需的持续投入成本较高的条件下,并购对并购方资产风险溢价的影响体现为提升作用;并购市场的竞争越激烈,潜在并购方的资产风险溢价越高。再者,考虑存在融资摩擦的情形,从现金持有的预防性功效出发,通过构建带约束条件的并购决策的实物期权模型,理论上分析了现金持有对并购决策的影响,并从影响方向和影响程度两个层面讨论了现金持有对并购作用的影响,以及利用面板回归和投资组合分析进行了实证检验。理论与实证研究结果一致表明:现金持有对并购决策具有促进作用,现金持有越高,并购方越可能发起并购;进一步,现金持有不会改变并购对并购方资产风险溢价的影响方向,但会增强并购对资产风险溢价的影响程度。最后,除了直接并购增长期权外,通过剥离非核心资产来聚焦核心资产,也可实现类似于增长期权创造的效果。在将资产剥离行为刻画为交换期权的基础上,构建了资产剥离影响资产风险溢价的理论模型,重点分析资产剥离决策的等待灵活性、企业所处生命周期阶段等对资产剥离作用的影响,并进行实证检验。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;而且,总资产中两类资产的价值占比差异越大,交换期权的价值越小,资产剥离对资产风险溢价的影响程度越大。进一步,等待剥离的决策灵活性会削弱资产剥离的影响;相对于成熟阶段,年轻阶段进行资产剥离对资产风险溢价的提升作用更强。更多还原

【Abstract】 In reality,mergers,acquisitions and restructurings are important ways for enterprises to create growth opportunities,with the observation that merger waves drive technological progress and revolution,M&As help unicorns rapidly grow up and mature firms in traditional industries realize transformation and development by divestitures.In literature,although the existing research on M&As in corporate finance is relatively fruitful,there is little investigation on the roles and effects of M&As from a perspective on asset pricing.Meanwhile,related literature on the asset pricing of growth options has paid little attention on the role of M&As in creating or generating growth options.From a perspective of creating growth option,this dissertation comprehensively uses real option approach,pricing kernel technique,numerical simulation and multiple regression to investigate the role of M&As and divestitures in affecting asset risk premium by changing the composition of total assets of the acquirer.In addition,this dissertation investigates important factors related to the role of M&As in creating growth options,which include firm lifecycle,the characteristics of growth options,the competition in merger market and cash holdings.Besides,key theoretical predictions are tested by a sample from A-share listed firms on Shanghai and Shenzhen exchanges.The core contents and important conclusions are as follows:Firstly,in an exogenous and simplified scenario with the assumption that the acquirer creates growth option by purchasing new technology,this dissertation uncovers the mechanism on the influence of M&As on the risk premium on acquirer’s assets by changing the composition of total assts,theoretically investigates the different effects of M&As on risk premium for acquirers in different stages of their lifecycle,and empirically tests key theoretical predictions.The results show that M&A activities being able to create new growth opportunities would increase the risk premium on acquirer’s assets as a result of an increase in the relative importance of growth option in total assets.If both the systematic risk and the return on investment of newly created growth options are high,the increase in risk premium caused by M&As is more pronounced for M&A activities in mature stage than those in young stage.Secondly,assuming that M&As do not certainly create growth options successfully,this dissertation develops a compound(two-stage)real option model including merger option and growth option to theoretically uncover the dynamic change of acquirers’ asset risk premium over the progress of creating of growth options.Furthermore,how two characteristics of newly created growth options,arrival probability and continual investments,as well as the competition in M&A market affect the role of M&As in creating growth options are investigated.The results predict that,the risk premium on acquirers’ assets is positively associated with the arrival probability of growth options,and M&As can increase the risk premium on acquirers’ assets once both the technology complementary and asset synergy arising from M&As are low,or the required continual investments are high.In addition,the risk premium of potential acquirers is higher in M&A market with more competition.Thirdly,in the presence of financing frictions and emphasizing the precautious function of cash holdings,this dissertation develops a real option model of M&As with financial constraint to theoretically analyze the effect of cash holdings on the acquirer’s M&A decision and the role of cash holdings in determining the change of risk premium on the acquirer’s assets surrounding M&A investments.And key theoretical predictions are tested empirically through panel regression and portfolio analysis.The theoretical and empirical results consistently show that,higher cash holdings will encourage the acquirer to initiate M&As at an earlier timing,i.e.the acquirer with higher cash holdings are more likely to take M&As.Moreover,cash holdings would amplify the impact of M&As on the risk premium on the acquirer’s assets,while it does not affect the changing direction caused by M&As.Finally,besides obtaining directly growth options through M&As,creating growth options may also be realized by divesting non-core existing assets to refocus on core existing assets.By developing an exchange option model,this dissertation analyzes the effect of asset divestiture on risk premium and the roles of decision flexibility as well as firm lifecycle in divestiture decision.And,key theoretical predictions are tested empirically.The results show that,the changing direction of risk premium caused by divestiture depends on the relative magnitudes of risk premiums on core assets and noncore assets,while the influence degree of divesture is larger when the difference in the proportions of two kinds of assets in firm value is larger.The decision flexibility of waiting will weaken the influence of asset divestiture.In addition,the positive effect of divestiture on risk premium is more pronounced for divestiture activities in earlier stage of firm lifecycle than those in later stage.更多还原