第二十二章期權(quán)與公司理財(cái)：基本概念-資料下載頁
2025-01-04 23:25本頁面
【正文】 ssets of the firm are greater in value than the debt, the shareholders have an inthemoney call, they will pay the bondholders and “call in” the assets of the firm. If at the maturity of the debt the shareholders have an outofthemoney call, they will not pay the bondholders (i.e. the shareholders will declare bankruptcy) and let the call expire.,22.9 Stocks and Bonds as Options,Levered Equity is a Put Option. The underlying asset comprise the assets of the firm. The strike price is the payoff of the bond. If at the maturity of their debt, the assets of the firm are less in value than the debt, shareholders have an inthemoney put. They will put the firm to the bondholders. If at the maturity of the debt the shareholders have an outofthemoney put, they will not exercise the option (i.e. NOT declare bankruptcy) and let the put expire.,22.9 Stocks and Bonds as Options,It all comes down to putcall parity.,Stockholder’s position in terms of call options,Stockholder’s position in terms of put options,22.10 CapitalStructure Policy and Options,Recall some of the agency costs of debt: they can all be seen in terms of options. For example, recall the incentive shareholders in a levered firm have to take large risks.,Balance Sheet for a Company in Distress,Assets BV MV Liabilities BV MV Cash $200 $200 LT bonds $300 ? Fixed Asset $400 $0 Equity $300 ? Total $600 $200 Total $600 $200 What happens if the firm is liquidated today?,The bondholders get $200。 the shareholders get nothing.,Selfish Strategy 1: Take Large Risks (Think of a Call Option),The Gamble Probability Payoff Win Big 10% $1,000 Lose Big 90% $0 Cost of investment is $200 (all the firm’s cash) Required return is 50% Expected CF from the Gamble = $1000 0.10 + $0 = $100,Selfish Stockholders Accept Negative NPV Project with Large Risks,Expected cash flow from the Gamble To Bondholders = $300 0.10 + $0 = $30 To Stockholders = ($1000 $300) 0.10 + $0 = $70 PV of Bonds Without the Gamble = $200 PV of Stocks Without the Gamble = $0 PV of Bonds With the Gamble = $30 / 1.5 = $20 PV of Stocks With the Gamble = $70 / 1.5 = $47,The stocks are worth more with the high risk project because the call option that the shareholders of the levered firm hold is worth more when the volatility is increased.,22.11 Mergers and Options,This is an area rich with optionality, both in the structuring of the deals and in their execution.,22.12 Investment in Real Projects amp。 Options,Classic NPV calculations typically ignore the flexibility that realworld firms typically have. The next chapter will take up this point.,22.13 Summary and Conclusions,The most familiar options are puts and calls. Put options give the holder the right to sell stock at a set price for a given amount of time. Call options give the holder the right to buy stock at a set price for a given amount of time. PutCall parity,22.13 Summary and Conclusions,The value of a stock option depends on six factors: 1. Current price of underlying stock. 2. Dividend yield of the underlying stock. 3. Strike price specified in the option contract. 4. Riskfree interest rate over the life of the contract. 5. Time remaining until the option contract expires. 6. Price volatility of the underlying stock. Much of corporate financial theory can be presented in terms of options. Common stock in a levered firm can be viewed as a call option on the assets of the firm. Real projects often have hidden option that enhance value.
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