When Does a Merger Create Value? Using Option Prices to Elicit Market Beliefs
提出一种利用股票期权数据分解并购公告后价值变化的方法，分离出市场对价值创造和独立公司价值的新信息，为研究并购价值效应提供更准确的度量。
I introduce and test a method to identify market expectations about value creation in mergers. Post‐announcement market prices reflect beliefs about both merged and standalone firm values, and the likelihood of either outcome. Stock prices alone do not contain sufficient information to identify these latent beliefs. By adding exchange‐traded stock option data, I deliver a clear decomposition of observed value change into two parts: 1) value creation and 2) new information about standalone value. Previous research has struggled to disentangle the two. This decomposition provides a strong and practical measure of the market's expectations about value creation in a merger.