文档介绍：江苏科技大学
硕士学位论文
上市公司并购中目标公司的VaR及对策研究
姓名:陈峰
申请学位级别:硕士
专业:企业管理
指导教师:马才华
20080301
摘要
摘要
我国股权分置改革即将完成,资本市场并购活动也将愈演愈烈。在上市公司并购
过程中的 VaR 及对策成为并购活动成败的至关重要问题。
本文系统阐述了并购的概念、一般理论和并购动因等,研究上市公司并购过程中
所面临的风险,详细分析各种风险因素。对各风险因素的定价,文中利用现金流折现
法与期权定价法相结合的方法,在一定程度上解决目标公司因价值被低估而导致的国
有资产流失问题。如一些国有控股的上市公司由于大部分股权不能在资本市场上流通,
通常是通过协议收购来达到收购的目的,目标公司的定价往往远远低于其真实价值。
对上市公司并购中的 VaR 对策研究中,目标公司定价方面,本文提出了引入“保
险性质”期权定价法与现金流量折现法相结合的方法对目标公司定价,不仅降低主并
公司的价值高估风险,而且目标公司的股东亦可在未来获得一部分收益。风险规避方
面,本文引入物理学中的万有引力定律,认为公司间也存在“万有引力”,并且建立了
企业间“万有引力”模型,此方法可在一定程度上降低企业并购风险;利用模糊测评
的风险分析方法分析并购过程中所面临风险因素,并测评风险大小,针对风险提出了
主并公司的风险评估方法。
最后,本文运用所研究的方法,选择中国石化收购扬子石化作为案例分析。从扬
子石化的风险定价、风险规避方面进行了 VaR 分析。

关键词:并购;目标公司;风险价值;风险对策
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ABSTRACT

ABSTRACT
As pletion of the reform of the stocks divisions of panies listing in
Chinese stock market, the mergers and acquisitions (M&A) would rush into Chinese
economic arena. During the M&A process, the value at risk (VaR) and the strategies to VaR
are vital to the M&A activities.
This thesis systematically tells the general theory, the definition and the motivations of
M&A. It studies the risks across the whole process. The thesis employs bination of
Discounted Cash Flow and Option Model to price the panies in case of solving
the issue of some state-owned panies being undervalued. For example, most of
the stocks of some state-panies, which list in the stock market, have been
forbidden to circulate through the capital market freely. Therefore, the M&A activities will
be realized privately, which were examined and approved by the government. At the
situations like this, the prices of the targets in many cases would be far below their real
market value so that the stock owners of them would suffer a huge loss.
As to strategies to VaR, in the respect of evaluations of panies, the thesis
introduces bination of Option with Insurance Properties and Discounted Cash Flow
method to evaluate the targets. Consequently, it not only