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中国管理科学

中国管理科学 ›› 2020, Vol. 28 ›› Issue (2): 25-36.doi: 10.16381/j.cnki.issn1003-207x.2020.02.003cstr: 32146.14.j.cnki.issn1003-207x.2020.02.003

• 论文 • 上一篇    下一篇

股权收购(Buyouts)的债务估值和违约决策

母从明1, 刘洋2, 周远祺3, 杨金强4,5,6   

  1. 1. 湖南大学金融与统计学院, 湖南 长沙 410006;
    2. 长江养老保险股份有限公司, 上海 200122;
    3. 中国地质大学(武汉)经济管理学院, 湖北 武汉 430074;
    4. 上海财经大学金融学院, 上海 200433;
    5. 上海国际金融与经济研究院, 上海 200433;
    6. 上海市金融信息技术研究重点实验室, 上海 200433
  • 收稿日期:2016-09-25 修回日期:2018-06-19 出版日期:2020-02-20 发布日期:2020-03-03
  • 通讯作者: 刘洋(1991-),男(汉族),河南人,长江养老保险股份有限公司,固收交易员,研究方向:动态公司金融,E-mail:liuyangbread@yeah.net. E-mail:liuyangbread@yeah.net
  • 基金资助:
    国家自然科学基金资助项目（71772112，71972122）；霍英东教育基金会第十五届高等院校青年教师基金基础性研究课题（151086）；上海财经大学创新团队建设项目（2016110241）；上海财经大学研究生创新基金资助项目（CXJJ-2014-315）；博士后科学基金资助项目（2018M640370，2019T120325）

Debt Valuation and Default Strategy in Buyouts

MU Cong-ming1, LIU Yang2, ZHOU Yuan-qi3, YANG Jin-qiang4,5,6   

  1. 1. College of Finance and Statistics, Hunan University, Changsha 410006, China;
    2. Changjiang Pension Insurance Company Limited, Shanghai 200122, China;
    3. School of Economics and Management, China University of Geosciences, Wuhan 430074, China;
    4. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China;
    5. Shanghai Institute of International Finance and Economics, Shanghai 200433, China;
    6. Shanghai Key Laboratory of Financial Information Technology, Shanghai 200433, China
  • Received:2016-09-25 Revised:2018-06-19 Online:2020-02-20 Published:2020-03-03

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摘要： 杠杆收购是股权收购交易的主要形式，所以对于股权收购而言，债权和股权的价值估算至关重要。但一方面鉴于股权收购交易所需的大量资金，股权收购主要采用分层债务结构进行债务融资，另一方面囿于收购的目标公司具有显著的特质风险，传统的Leland模型无法对这类债务和股权进行定价。为此，本文基于股权收购的多层融资结构，构建数理模型研究了股权收购交易的债权和股权的定价方法，并分析了最优破产决策和违约概率。基于实证参数值，模型预测的股东内部收益率和违约概率与实证结论十分接近。当标的资产价值下降时，目标公司的杠杆比率快速提升，优先级较低的债务迅速贬值，从而解释了投资者抢购安全资产的动机。通过对比分析，本文发现采用单层融资结构会提高融资成本，使得股权受损，这为分层债务结构提供了理论依据。最后，本文比较静态分析了标的资产波动率和市场利率对估值和破产决策的影响，结论支持了实证研究中有关市场利率与股权收购相关性的结论。

关键词: 股权收购, 分层债务融资, 违约决策

Abstract: Buyouts greatly depend on leverage. Therefore, it is crucial to price the corresponding debt and equity when taking buyout activity. However, buyouts generally adopt the multiple tranches of debt to raise external funds to cover the budget deficit and targeted firms are usually exposed to undiversifiable idiosyncratic risks. As a result, the classical Leland model fails to price debt in buyouts. Therefore, a model is proposed to price the debt and equity in buyouts with multiple-tranches debt structureand analyzes the corresponding effects on bankruptcy policy and default probability. Based on calibrated parameters, internal rate of return to equity and default probability predicted by the model are consistent with those in empirical studies. As the value of underlying asset in the target firm approaches default boundary, the leverage ratio of target firm rises sharply, and the value of debt with lower priority falls quickly, which can explain the incentive for flight-to-quality. Furthermore, the comparisons among different kinds of debt show the single debt structure leads to higher financing costs and erosion in equity value, which actually provides theoretical support for the wide use of multiple-tranches debt structure. Finally, comparative static analysis is conducted about the effects of volatility of underlying asset and the interest rate in financial markets on debt and equity valuation and default strategy. The results show that reducing risk-free rate can boost buyouts, which is consistent with empirical findings.

Key words: buyouts, multiple-tranches debt structure, default strategy

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