An empirical analysis on the rationality of corporate reorganization and capital markets-an application of option pricing model

本研究以实证与定量分析的方法，探讨1952年公司重组法案的效率与平等。具体而言，采用期权定价模型对重组公司的价值进行估计。数据来自我自己构建的数据库，该数据库以官方公报上的公告为基础。金融研究人员都知道，公司的股权可以解释为公司资产的看涨期权。然而，迄今为止，对这种方法进行的尝试很少。利用Black-Scholes方程和股票波动率与资产波动率的Merton关系构造联立方程。由于无法解析求解这些非线性联立方程，因此采用了割线法求解这些联立方程。本文采用了23家申请重组的上市公司的数据。在估计过程中我没有遇到收敛困难。对重组公司的估计表明，存在对新股东的偏见。

The purpose of this study is to investigate the efficiency and the equality of the Corporation Reorganization Act of 1952 empirical and quantitative analysis. Specifically, the option pricing model is used to estimate the value of reorganizing corporations. The data were drawn from the database constructed by myself which was based on public announcements on the Official Gazette.It is common knowledge among financial researchers that a corporation's equity can be interpreted as an call option to the firm asset. However, there exists only few attempts so far been made at this approach.The Black-Scholes equation and the Merton's relationship on equity volatility and asset volatility were used to conastruct simultaneous equations. Since it is impossible to solve these nonlinear simultaneous equations analytically, a numerical method, the secant method, was employed to get solutions for these simultaneous equations. The data of 23 listed company that filed for reorganization procedure were used. I have not had convergence difficulties in the process of the estimation. The estimates of the reorganizing corporations suggest the existence of biases toward new equity holders.