| In reality,mergers,acquisitions and restructurings are important ways for enterprises to create growth opportunities,with the observation that merger waves drive technological progress and revolution,M&As help unicorns rapidly grow up and mature firms in traditional industries realize transformation and development by divestitures.In literature,although the existing research on M&As in corporate finance is relatively fruitful,there is little investigation on the roles and effects of M&As from a perspective on asset pricing.Meanwhile,related literature on the asset pricing of growth options has paid little attention on the role of M&As in creating or generating growth options.From a perspective of creating growth option,this dissertation comprehensively uses real option approach,pricing kernel technique,numerical simulation and multiple regression to investigate the role of M&As and divestitures in affecting asset risk premium by changing the composition of total assets of the acquirer.In addition,this dissertation investigates important factors related to the role of M&As in creating growth options,which include firm lifecycle,the characteristics of growth options,the competition in merger market and cash holdings.Besides,key theoretical predictions are tested by a sample from A-share listed firms on Shanghai and Shenzhen exchanges.The core contents and important conclusions are as follows:Firstly,in an exogenous and simplified scenario with the assumption that the acquirer creates growth option by purchasing new technology,this dissertation uncovers the mechanism on the influence of M&As on the risk premium on acquirer's assets by changing the composition of total assts,theoretically investigates the different effects of M&As on risk premium for acquirers in different stages of their lifecycle,and empirically tests key theoretical predictions.The results show that M&A activities being able to create new growth opportunities would increase the risk premium on acquirer's assets as a result of an increase in the relative importance of growth option in total assets.If both the systematic risk and the return on investment of newly created growth options are high,the increase in risk premium caused by M&As is more pronounced for M&A activities in mature stage than those in young stage.Secondly,assuming that M&As do not certainly create growth options successfully,this dissertation develops a compound(two-stage)real option model including merger option and growth option to theoretically uncover the dynamic change of acquirers' asset risk premium over the progress of creating of growth options.Furthermore,how two characteristics of newly created growth options,arrival probability and continual investments,as well as the competition in M&A market affect the role of M&As in creating growth options are investigated.The results predict that,the risk premium on acquirers' assets is positively associated with the arrival probability of growth options,and M&As can increase the risk premium on acquirers' assets once both the technology complementary and asset synergy arising from M&As are low,or the required continual investments are high.In addition,the risk premium of potential acquirers is higher in M&A market with more competition.Thirdly,in the presence of financing frictions and emphasizing the precautious function of cash holdings,this dissertation develops a real option model of M&As with financial constraint to theoretically analyze the effect of cash holdings on the acquirer's M&A decision and the role of cash holdings in determining the change of risk premium on the acquirer's assets surrounding M&A investments.And key theoretical predictions are tested empirically through panel regression and portfolio analysis.The theoretical and empirical results consistently show that,higher cash holdings will encourage the acquirer to initiate M&As at an earlier timing,i.e.the acquirer with higher cash holdings are more likely to take M&As.Moreover,cash holdings would amplify the impact of M&As on the risk premium on the acquirer's assets,while it does not affect the changing direction caused by M&As.Finally,besides obtaining directly growth options through M&As,creating growth options may also be realized by divesting non-core existing assets to refocus on core existing assets.By developing an exchange option model,this dissertation analyzes the effect of asset divestiture on risk premium and the roles of decision flexibility as well as firm lifecycle in divestiture decision.And,key theoretical predictions are tested empirically.The results show that,the changing direction of risk premium caused by divestiture depends on the relative magnitudes of risk premiums on core assets and noncore assets,while the influence degree of divesture is larger when the difference in the proportions of two kinds of assets in firm value is larger.The decision flexibility of waiting will weaken the influence of asset divestiture.In addition,the positive effect of divestiture on risk premium is more pronounced for divestiture activities in earlier stage of firm lifecycle than those in later stage. |
PDF Full Text Request