The Pricing of Contingent Value Rights and the Firm's Extension Decision

條件權定價與其發行公司之展期決策

陳仁遶(Ren-Raw Chen) ； 魏國強(K. C. John Wei)

《中國財務學刊》 2卷1期 (1994/07) Pp. 105-125

https://doi.org/10.6545/JoFS.1994.2(1).6

摘要

如果平均股價低於目標價，則條件權將提供其持有者在到期日等於倆者差價的現金補償，然而此現金補償有一上限，如平均股價高於目標價，則條件權將不具任何價值。發行公司保有延展到期日的權利，但必需以提高目標價及上限作為補償。因此條件權具有責權的性質。在此文中我們將就理論與實證對條件權作一分析。

並列摘要

A contingent value right (CVR) guarantees its holder a cash payment if the average price of the underlying stock fails to reach a certain level (the ＂target price＂) by a specified maturity. The size of the payment, up to a maximum, depends on how short the average price is from the target. But the CVR expires worthless if the average price of the underlying stock exceeds the target. The issuing company, if it chooses, can elect to defer the maturity date of the CVR by a stated period of time, but in that case both the target price and the maximum payment would rise. CVRs resemble put opt ions but are maturity-extendible, path-dependent contracts. In this paper, we evaluate these contracts analytically and numerically and a preliminary empirical study of one CVR is studied.