英文标题：
《Extending Yagil exchange ratio determination model to the case of
stochastic dividends》
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作者：
Alessandra Mainini, Enrico Moretto
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最新提交年份：
2017
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英文摘要：
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger agreement. Here, we generalize Yagil\'s work letting both pre- and post-merger dividends grow randomly over time. If Yagil focuses only on changes in stock prices before and after the merger, our stochastic environment allows to keep in account both shares\' expected values and variance, letting us to identify a more complex bargaining region whose shape depends on mean and standard deviation of the dividends\' growth rate.
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中文摘要：
本文在随机环境中扩展了Yagil（1987）模型，该模型在确定性股息贴现模型中建立了股票对股票合并协议中的交换比率范围。在这里，我们概括了雅吉尔的工作，让合并前后的股息随时间随机增长。如果Yagil只关注合并前后的股价变化，我们的随机环境允许考虑股票的预期价值和方差，让我们能够确定一个更复杂的讨价还价区域，其形状取决于股息增长率的平均值和标准差。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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