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An empirical analysis on the rationality of corporate reorganization and capital markets-an application of option pricing model

Research Project

Project/Area Number 10630090
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionYokohama City University

Principal Investigator

MARUYAMA Hiroshi  Yokohama City University, Professor, 商学部, 教授 (30181837)

Project Period (FY) 1998 – 1999
Project Status Completed (Fiscal Year 1999)
Budget Amount *help
¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1999: ¥500,000 (Direct Cost: ¥500,000)
KeywordsOPTION PRICING MODEL / BLACK-SCHOLES EQUATION / BANKRUPTCY / REORGANIZATION / VOLATILITY / ASSET VALUE / SECANT METHOD / REORGANIZING CORPORATIONS / 減資 / 関係人集会
Research Abstract

The purpose of this study is to investigate the efficiency and the equality of the Corporation Reorganization Act of 1952 empirical and quantitative analysis. Specifically, the option pricing model is used to estimate the value of reorganizing corporations. The data were drawn from the database constructed by myself which was based on public announcements on the Official Gazette.
It is common knowledge among financial researchers that a corporation's equity can be interpreted as an call option to the firm asset. However, there exists only few attempts so far been made at this approach.
The Black-Scholes equation and the Merton's relationship on equity volatility and asset volatility were used to conastruct simultaneous equations. Since it is impossible to solve these nonlinear simultaneous equations analytically, a numerical method, the secant method, was employed to get solutions for these simultaneous equations. The data of 23 listed company that filed for reorganization procedure were used. I have not had convergence difficulties in the process of the estimation. The estimates of the reorganizing corporations suggest the existence of biases toward new equity holders.

Report

(3 results)
  • 1999 Annual Research Report   Final Research Report Summary
  • 1998 Annual Research Report
  • Research Products

    (4 results)

All Other

All Publications (4 results)

  • [Publications] 丸山宏: "会社更生の計量分析-企業倒産処理の効率性と公平性-"東洋経済新報社(1次稿段階). 250 (2001)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Merton, R: "On the pricing of corporate debt : the risk structure of interest rates"Journal of Finance. v29-2. 449-470 (1974)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Selby, M., J.Franks and J.Karki: "Loan guarantees, wealth transfers and Incentives to invest"Journal of Industrial Economics. V37-1. 47-65 (1988)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] 丸山 宏: "会社更生の計量分析-企業倒産処理の効率性と公平性-"東洋経済新報社 (1次稿段階). 250 (2000)

    • Related Report
      1999 Annual Research Report

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Published: 1999-04-01   Modified: 2016-04-21  

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