EXCHANGE OPTIONS IN THE REIT INDUSTRY

Gianluca Marcato ； Tumellano Sebehela ； Carlos H. Campani

《Advances in Investment Analysis and Portfolio Management》 9期 (2019/12) Pp. 217-252

https://doi.org/10.6291/AIAPM.201912_9.0008

摘要

This article models mergers as exchange options where acquirers offer stocks and/or cash to target firms in exchange of acquiring some shareholding in target firms. Mergers analysed in this article happen between homogeneous entities. The Black and Scholes (B-S) and Margrabe models are used to price cash and stocks (including stocks and cash) deals respectively. The merger and acquisition (M&A) traits are grouped as conflict of interest, market growth, funding and specialization. Regression results illustrate that exchange options react to M&A characteristics differently. Thus, the results are beneficial to both sell-and buy-side investors in terms on how one manages merging firms. The goodness of fit suggests that strategic acquisitions played important roles.

關鍵字

Exchange Option ； REIT

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