The game analyses to price the target enterprise of merger and acquisition based on the perspective of real options under stochastic surroundings

Although several approaches have been developed to evaluate the target enterprise of merger and acquisition (M&A) such as classical net present value (NPV) evaluation model and real options techniques, the logic of pricing processes in all these approaches is still faulty. The classical approach of NPV perspective to price the target enterprise of M&A has been replaced by integration of contemporary perspectives such as NPV perspective, real options perspective, game perspective, and so on. In this paper, the dynamic analyses model to price the target enterprise of M&A is developed from the perspective of real options integrated with game theory under stochastic surroundings. The synergy multiplication coefficient is introduced into the evaluation model to reflect the synergy management process of M&A, and the equilibrium price formula is proposed by applying the famous offer-counteroffer Rubinstein theorem, which is improved to fit for the stochastic surroundings. The price formula is further discussed on condition that the operating cost is more than or less than profit flow, which is assumed to follow geometric Brownian motion process. The numeric simulations show that the proposed formulas in this paper can perfectly well reflect the realistic practice of M&A.     

对个人住房开征物业税的几个判断及效应预测

对个人住房开征物业税是关乎国计民生的大事。本文认为,开征物业税之前需要进一步理顺中央与地方的财政关系;开征后的物业税收入要用于满足地方公共财政支出的需要;物业税开征后的征管质量取决于对个人住房信息的掌握和政府各部门间的横向合作。物业税开征与地区房地产价格弱相关,与全国房地产价格无关;与股市题材炒作相关,与资本市场发育无关;与当地居民收入和福利相关,与辖区外居民效用无关。     

论A股市场“泡沫”

经济"泡沫"是一个与投资机会成本相联系的范畴,其主要特征表现为股价在短时间内迅猛上涨、各类人员非理性入市、股市剧烈波动。对于中国A股市场的"泡沫",不仅可以界定其内涵,也可以通过将股市的真正收益率与全社会资金平均收益率的比较衡量其"泡沫"程度。今后几年内,中国股市的"泡沫"还将继续增加,要防止股市"泡沫"破灭带来的危害,尤其是要防止国际游资对中国A股市场的冲击。     

Short Selling Pressure,Reporting Transparency,and the Use of Real and Accruals Earnings Management to Meet Benchmarks

Abstract

Prior literature finds that short selling is beneficial to the market because it increases liquidity and helps to discipline optimistic market prices. The authors use 2 controlled experiments to examine the potential for an unintended consequence of allowing short selling or easing short selling restrictions. Because prior research identifies short sellers as sophisticated market participants who have the ability to see through accrual earnings management choices, we predict and find that, when reporting is transparent, managers are more likely to use real earnings management relative to accrual earnings management when short selling restrictions are relaxed. This is consistent with the idea that real earnings management activities are more defensible as the result of legitimate operating decisions and are therefore more likely to hold up to scrutiny from short sellers. Overall, the results suggest that regulations that are unrelated to financial reporting can affect how managers respond to the transparency that arises from financial reporting regulations.     

On the determination of real interest rates in Europe

In this paper a loanable funds model is estimated over the period 1959–1990 for the determination of after-tax expected real interest rates using aggregated data for four European countries under the assumption that high capital mobility in Europe implies a common capital market. It is concluded that real interest rates in the European Community were mainly driven by movements in temporary income, expected inflation, lagged investment, money growth, and the oil price. Moreover, our aggregate, model appears to be reasonably stable. Finally, individual country rates are shown to depend on the European rate as well as some country-specific variables, suggesting a limited degree of isolation from international financial markets for the countries concerned.At the time of writing the author was still affiliated with the Department of Economics at the University of Groningen. Hence, any views expressed here are those of the author and do not necessarily represent those of De Nederlandsche Bank. This paper benefitted very much from stimulating comments made by Willem Buiter, Kanhaya Gupta, Jakob de Haan, Flip de Kam, Kees Koedijk, and an anonymous referee. The author would like to thank Jan-Egbert Sturm for technical assistence. Of course, the usual disclaimer applies.     

Demand shocks and economic fluctuations

This paper studies conditions under which demand-side shocks can generate realistic business cycles in RBC models. Although highly persistent demand shocks are necessary for generating procyclical investment, variable capacity utilization and habit formation can reduce the required degree of persistence.     

Real options and human capital investment

This paper extends the standard human capital model with real options. Real options influence investment behavior when risky investments in human capital are irreversible and individuals can affect the timing of the investment. Option values make individuals more reluctant to invest in human capital and, as a result, required returns on the investment increase. Real options may help to explain a larger human capital premium for higher education, smaller responsiveness of higher educational investments to financial incentives, and larger sensitivity of higher educational investments to low-return outcomes and human capital risks. Higher tax rates (or lower subsidies) depress human capital investments, but to a lesser extent than in the standard human capital model if not all direct costs are tax-deductible. A flat income tax remains neutral if education expenditures are fully deductible.     

不同类型调控政策对房地产市场影响的实证分析——以江苏省为例

近年来,国家对房地产宏观调控采取的多种政策,可划分为五类,即房地产开发投资规模、土地供应、金融信贷、住房供给结构、税收等政策。文中就这五类政策对房地产市场的影响进行了实证分析和定性分析。实证分析中采取了12个指标,利用了向量自回归模型和广义脉冲响应函数,就五类调控政策和市场形势对住房价格、成交量以及住房需求的影响时间和影响程度进行分析。定性分析中主要分析利率、税收、广义货币供应量M2、高房价等四个因素变化对住房价格、成交量以及住房需求的影响。     

经济增长推动房地产市场发展的实证研究——以上海为例

租金、售价等价格指标及其周期性波动,常用于衡量房地产市场的发展程度。在运用三部门模型分析区域经济增长如何影响区域房地产市场发展的基础上,提出上海经济增长推高房地产整体市场和住宅子市场的租金、售价的假设。选取5项指标,利用上海1998—2012年的城市统计年鉴数据,通过格兰杰因果检验方法进行实证检验。结果表明,上海整体房地产市场和住宅子市场的租金增长,均以经济增长为格兰杰因;两个市场的售价与经济增长无法体现因果关系。因此,租金是比价格更有效、更稳定的市场指标。     

Managing risk and uncertainty in complex capital projects

In evaluating capital budgeting decisions, quantitative approaches, such as traditional discounted cash flow modeling and real options valuations, are useful when there is a presumed probability distribution for the future forecasted outcomes or for when there are lower levels of uncertainty. As uncertainty increases and forecasting becomes difficult, the value of financial modeling techniques decreases. Borrowing from the strategic management literature, we argue that it may be useful to employ a qualitative approach to evaluate capital projects when faced with high levels of uncertainty. In order to illustrate our argument, we use a derivative of scenario planning and qualitative real options to evaluate non-quantifiable factors in a project for the National Ignition Facility.