This paper examines the effect of Mergers on the capital market by real options and synergy effects. First, using event studies, we find that there are significant positive effects of merger announcements on stock prices. The effects of merger announcements between non-group companies are stronger than that between group companies. Then, with cross section analysis, we find that there isn't significant relationship between the merger announcements effects and synergy effects, but there is positive significant relationship between the merger announcements effects and merger option value in case of merger between non-group companies.
A maintenance of a facility is performed in order to obtain returns form it by maintaining reliability. Because of properties of facilities and of economical conditions, the policy of the maintenance has to be chosen and evaluated dynamically. Therefore the dynamic evaluation method is required. In this article we establish the maintenance policy problem as a Markov type stochastic control problem, and we try to apply the risk sensitive value measure (= entropic value measure) method and the real option approach to this problem. In the process to solve the problem, the options which are contained in the maintenance policy are understood to be controls, and we have constructed a model such that the structure of the facility is Markov type, the evaluation method is the risk sensitive value measure method and the .exibility is treated as the controllability (= options). We study the performance of our model by the use of the simulation method, and we could have shown the e.ciency of our model.
This research extends the real option with preemption and uncertainty framework of Lambrecht and Perraudin  to foreign direct investment. This is a mix of strategic game theory where the foreign investor and its local competitor impact each other‘s project values and real option analysis. The optimal investment strategy will depend on the distribution of competitors' costs and the implied fear of expropriation by the local competitor with the assistance of the host government. The model has empirical implications for the strategic behavior of foreign direct investors. These implications are illustrated with a stylized example from a recent high profile, foreign direct natural resource investment in the Russian Far East by a consortium of Japanese and European companies.
This paper suggests a real-option based model to calculate optimum level of price-cap which is applied for threshold of public service pricing. Under price-cap regime, producer of utility service is not allowed to increase its price above given threshold. We assumed this relationship as a purchase of call option of given service between consumers and producers, and provided the model to calculate fair value of the option based on volatility of producers'cost.
This paper analyzes and quantifies the risk of volatile natural gas price movement in gas distribution price. Japanese gas distribution price regulation allows gas distribution companies to transfer the change of natural gas price into the gas distribution price, subject to pre-determined threshold. This paper assumes this contract as an insurance provided by the companies to consumers. Based on this assumption, valuation method of the risk with some implications on current regulation is suggested.
The two-part tariff is adopted not only to many of the contracts for electricity supply but also to those for capacity trading. Previously, the fixed charge in the two-part tariff was thought to cover a part of fixed costs, but now it is getting considered to be a premium for the capacity reservation as the deregulation of the power industry progresses. The two part tariff appropriately reflects risk and cost is expected to ensure the adequacy of power supply. In this study, the valuation modeling for the two-part tariff under power demand uncertainty is constructed and some perspectives are provided.
In previous research Markov decision processes has been applied to managing credit lines. And an expected total discounted reward was maximized. But an outer environment (e.g. economic growth) was not represented in the model. So in this research we apply Markov decision processes with the outer environment to managing credit lines. And we propose a new managing credit lines method which maximizes expected total discounted reward in the Markov decision processes with the outer environment.
During a project, various risk events may emerge. These risk events lead to decision-makings such as additional investment for project, execution of project, and withdrawal from project. Prepayment and Re-scheduling are typical credit risk events. Prepayment risk is the risk that project fund is reduced before maturity by certain reasons of investors. Re-scheduling risk is the risk that a loan repayment date is postponed because a financial condition of project is worsened at a maturity and repayment of a loan amount is difficult. In this paper we propose the method to evaluate a value of project including these credit risks and establish a structural model to evaluate it.
Japanese food problem has reached a turning point. With the decline of food self-sufficiency, the government sector recognized it as a pressing policy problem. Also in the private sector, food safety is growing concern. We have experienced many significant changes in agriculture field; however the management for agricultural field should make more progress. Derivatives products become popular hedging tool for the past years in various fields and Japanese corporation uses it well, but people do not use derivatives in agricultural sector in Japan. The reason for this is mainly due from low productivity in Japanese agricultural sector. As a case study, this note deals of Japanese rice derivatives and make it clear why Japanese rice farmers have so little use of derivatives products. And then I propose the need for further development of the Japanese agricultural (rice) derivatives fields.