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An Economic Analysis of Wealth Transfers among Claimholders of Distressed Financial Institutions: An Application of Option Pricing Model

An Economic Analysis of Wealth Transfers among Claimholders of Distressed Financial Institutions: An Application of Option Pricing Model
陷入困境的金融机构债权人之间财富转移的经济学分析：期权定价模型的应用
批准号：
12630106
负责人：
MARUYAMA Hiroshi
金额：
$0.58万
依托单位：
Yokohama City University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2000
资助国家：
日本
项目状态：
已结题
起止时间：
2000 至 2001
来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-12630106/
关键词：
convertible preferred stockconversion priceminimum price of conversioncapital infusionoption pricing modelstock volatility企業倒産倒産処理オプション理論倒産コストロス・シェアリング破綻銀行二次損失受け皿銀行

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中文摘要
翻译
1999年3月，24家银行接到通知，发行优先股和其他证券的申请和恢复健全经营计划（“振兴计划”）获得批准。我们根据早期强化法调查这种公共资助的优先股资本注入。利用期权定价模型，对某银行发行的可转换优先股的公允价值进行了估计。结果表明，优先股的估计市值遭受了重大损失。这表明存在潜在的财富从优先股股东，即纳税人转移到普通股股东。
英文摘要
On March, 1999, 24 banks were notified that the application of issuance of preferred stocks and other securities and Plan for Restoring Sound Management (the "Revitalization Plan" ) were approved. We investigate this publicly funded preferred stock capital injections under the Early Strengthening Law. Using an option pricing model, fair value of the convertible preferred stock issued by a bank was estimated. Results indicate that the estimated market value of the preferred stock suffered significant losses. This suggests that the existence of potential wealth transfers to the common stockholders from the preferred stockholders, I. e. taxpayers.
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