條件權訂價的進一步實証

Further Evidence on Pricing Contingent Value Rights

Andrew H. Y. Chen ； 陳貫忠(K. C. Chen)

《中國財務學刊》 2卷2期 (1995/01) Pp. 29-42

https://doi.org/10.6545/JoFS.1995.2(2).2

摘要

Contingent Value Rights（CVRs）是為了便利公司合併、收購所設計出來的一種金融創新選擇權，它的主要用途在於保障被收購公司股東的權益。同時，發行公司亦可以Contingent負債來交換代理成本（Agency costs）與收購本的降低。本文延伸Chen，Chen，and Laiss的理論模式，並將修正後的理論模式印証於Marion Merrell Dow公司的CVRs。

並列摘要

Contingent Value Rights (CVRs) represent an innovative security designed to facilitate mergers and acquisitions. By providing down side risk protection to the shareholders of the target firm, the issuer creates a contingent liability in exchange for potential reductions in agency costs and liquidity constraints. This paper extends the valuation model of Chen, Chen, and Laiss (1993) and examines the price behavior of Marion Merrell Dow CVRs during the last six months prior to the first maturity date. The validity of the revised model is supported by the empirical results.