Verition Partners Master Fund Ltd. v. Aruba Networks Inc.

 株式買取請求権で市場価格を用いた例。

The forceful discussion of the efficient capital markets hypothesis in Dell and DFC indicates that Aruba’s unaffected market price is entitled to substantial weight.

[C]orporate finance theory reflects a belief that if an asset-such as the value of a company as reflected in the trading value of its stock-can be subject to close examination and bidding by many humans with an incentive to estimate its future cash flows value, the resulting collective judgment as to value is likely to be highly informative . . . .

“Market prices are typically viewed superior to other valuation techniques because, unlike, e.g., a single person’s discounted cash flow model, the market price should distill the collective judgment of the many based on all the publicly available information about a given company and the value of its shares.” “[I]n many circumstances a property interest is best valued by the amount a buyer will pay for it” and “a well-informed, liquid trading market will provide a measure of fair value superior to any estimate the court could impose.”

In this case, because Aruba’s shares “were widely traded on a public market based upon a rich information basis,” the fair value of the petitioners’ shares “would, to an economist, likely be best reflected by the prices at which their shares were trading as of the merger.” Aruba had “a deep base of public shareholders” and “highly active trading,” so “the price at which its shares trade is informative of fair value.” The unaffected thirty- day average market price of Aruba’s stock was $17.13 per share.

Dell and DFC teach that the deal price is also entitled to substantial weight. “In economics, the value of something is what it will fetch in the market. That is true of corporations, just as it is true of gold.” For a court to give weight to the deal price, it need not be the most reliable evidence of the Company’s value as a going concern.472 This court has authority “to determine, in its discretion, that the deal price is the most reliable evidence of fair value … , and that’s especially so in cases … where things like synergy gains or minority stockholder discounts are not contested.”

The deal price in this case resulted from an arm’s-length transaction involving a publicly traded company without a controlling stockholder. The deal price in this case contained synergies, so it logically exceeded fair value. There is also the fact that the petitioners failed to identify a bidder who would pay more than HP. “Fair value entails at minimum a price some buyer is willing to pay ….” Taken together, these propositions indicate that the deal price in this case operates as a ceiling for fair value.

The Dell and DFC decisions recognize that a deal price may include synergies and endorse deriving an indication of fair value from the deal price by deducting synergies. In this case, the evidence shows that the deal generated significant synergies. Using the low-end synergy range implies a standalone value of $21.08 per share. Using the high-end synergy range implies a standalone value of $15.32 per share. This decision has adopted the midpoint of $18.20 per share as its deal-price-less-synergies value.

This decision does not give any weight to the discounted cash flow analyses. As in Dell, “this appraisal case does not present the classic scenario in which there is reason to suspect that market forces cannot be relied upon to ensure fair treatment of the minority.” Discounted cash flow models are “often used in appraisal proceedings when the respondent company was not public or was not sold in an open market check.”

The reason for that is not that an economist wouldn’t consider the best estimate of a private company’s value to be the price it sold at in an open sale process of which all logical buyers were given full information and an equal opportunity to compete. Rather, the reason is that if such a process did not occur, corporate finance instructs that the value of the company to potential buyers should be reflected in its ability to generate future cash flows.

“But, a single person’s own estimate of the cash flows are just that, a good faith estimate by a single, reasonably informed person to predict the future. Thus, a singular discounted cash flow model is often most helpful when there isn’t an observable market price.” When market evidence is available, “the Court of Chancery should be chary about imposing the hazards that always come when a law-trained judge is forced to make a point estimate of fair value based on widely divergent partisan expert testimony.”

The unaffected market price provides direct evidence of the collective view of market participants as to Aruba’s fair value as a going concern during the period before the announcement of the transaction, which could be different than Aruba’s fair value as of closing. The same disconnect exists for the deal price, which provides evidence of how the parties to the merger agreement valued Aruba during the price negotiations, which could be different than Aruba’s fair value as of closing. Addressing a similar issue in the Union Illinois case, Chief Justice Strine described the temporal gap as a “quibble” and “not a forceful objection,” noting that “[t]he negotiation of merger terms always and necessarily precedes consummation.”484 Observing that “[n]othing in the record persuades me that [the company] was more valuable by [closing] than it was when the Merger terms were set,” he continued to use the deal price as an indicator of value.485 Similarly in this case, neither side proved that Aruba’s value had changed materially by closing, so this decision sticks with the unaffected market price and the deal price less synergies.

For Aruba, using its unaffected market price provides the more straightforward and reliable method for estimating the value of the entity as a going concern. I could strive to reach the same endpoint by backing out shared synergies and a share of value for reduced agency costs, but both steps are messy and provide ample opportunities for error. For Aruba, the unaffected market price provides a direct estimate of the same endpoint. Rather than representing my own fallible determination, it distills “the collective judgment of the many based on all the publicly available information about a given company and the value of its shares.” “[T]he price produced by an efficient market is generally a more reliable assessment of fair value than the view of a single analyst,” particularly when a trial judge is playing the analyst’s role.

This approach does not elevate “market value” to the governing standard under the appraisal statute. The governing standard for fair value under the appraisal statute remains the entity’s value as a going concern. For Aruba, the unaffected public market price provides the best evidence of its value as a going concern.

In this case, the best evidence of Aruba’s fair value as a going concern, exclusive of any value derived from the merger, is its thirty-day average unaffected market price of $17.13 per share. I recognize that no one argued for this result. I also recognize that the resulting award is lower than Aruba’s proposed figure of $19.75 per share. That figure relied on its expert’s discounted cash flow analysis, which this decision has found unpersuasive.

“When … none of the parties establishes a value that is persuasive, the Court must make a determination based on its own analysis.” The appraisal statute requires that “the Court shall determine the fair value of the shares.” This means that I must reach my own, independent determination of fair value. That determination is $17.13 per share.

(footnotes omitted)

via Morris James

株価が一定の傾向で低下する状況について

アーバンコーポレイションの株価が破綻の前に減少し続けた理由は,投資銀行によるMSワラントの行使による空売りがあったのだと思いますが,そのような人為的な影響がない場合に,株価が減少し続ける場合があるのでしょうか。

考えればいくつもの状況が考えられるのでしょうが,例えば,ベータが1の会社について,一定期間市場平均が一定であると仮定して,それでも株価が下がり続けるとしたら,どのような状況を想定したらよいでしょうか。

思いつきは次のようなものです。

  • 株式を企業価値(株式の価値+負債の価値)を基準としたオプションだと考えます*1。そして,一定期間に資金調達ができない場合,会社が破綻して株価がゼロになるとします。この期間を,オプション期間と呼ぶことにします。
  • 市場は,準強度に効率的で,会社は,巨額の債務超過なので,事業上の個々の出来事は,株価に与える影響が小さいとします。
  • 資金調達ができて正の現在価値を有するプロジェクトに投資できる場合,株式の価値が,正の値であるXになるとします。調達額,それにより実行可能なプロジェクト,その結果の株式の価値を正確に測ることは市場ではできないでしょうが,とりあえず,ここでは,それがXになるとします。+Xではなく,正の値であるXになるとします。
  • 会社が資金調達できるか否か,いつ資金調達ができるか否かは確定的ではないものの,資金調達ができる可能性は,オプション期間で一定であるとします。

この場合,オプション期間における株価は,与えられた条件から計算できると思います。そして,それは,資金調達ができないままオプション期間が短くなればなるほど,株価が低くなるという傾向を示すと思います。(思いつきなので間違ってるかもしれません。)

アーバンコーポレイションの場合,株価の下落は,MSワランツによるものが大きかったのだろうと根拠もなく思うのですが,その他の説明も,もしかしたら可能なのかもしれません*2。もし,株価の減少傾向が理論的に説明可能である場合が存在するとして,このようなとき,金商法21条の2第2項,4項,5項は,どのように解釈すべきでしょうか。

他にも株価が一定の割合で下がり続ける場合は,あるのかもしれませんが,とりあえず。

*1:Fischer Black & Myron Scholes, The Pricing of Options and Corporate Liabilities, 81 J. Pol. Econ. 637–654 (1973).

*2:アーバンの場合,MSワランツの影響が大きすぎるので,MSCBやMSワランツを発行していない会社の破綻事例の破綻前の株価の傾向を調べてみたいところです。