フナハシ ヒデハル   Funahashi Hideharu
  舟橋 秀治
   所属   神奈川大学  経済学部 経済学科/現代ビジネス学科
   職種   准教授
言語種別 英語
発行・発表の年月 2017/10
形態種別 学術雑誌
査読 査読あり
標題 Chen K C, Funahashi H , and Warmerdam N (2017), "Evaluating Conditions and Terms of the AT&T and DirecTV Merger," Research in Finance, 33, 1-17
執筆形態 共著
掲載誌名 Research in Finance
掲載区分国外
巻・号・頁 33,pp.1-17
著者・共著者 K. C. Chen, Hideharu Funahashi, Nicole Warmerdam
概要 On May 18, 2014, AT&T Inc., the second-biggest U.S. mobile-phone carrier, agreed to acquire DirecTV, a satellite-television company, for $49 billion in cash and stock. However, the merger's conditions and terms are complicated as the stock exchange ratio is contingent on the volume weighted average AT&T stock price over a 30-day period that is three trading days prior to the date when the merger becomes effective. Using a contingent claims pricing approach, we model DirecTV's theoretical value based on the merger's conditions and terms. It is shown that the theoretical DirecTV stock value is analogous to the sum of the present value of a cash offer, plus owning shares of the AT&T stock, and short volume weighted average price (VWAP) call spreads. Using three different option-pricing models, DirecTV's stock valuation model is tested with the market data.