臺灣博碩士論文加值系統

本研究透過SDC資料庫蒐集美國併購交易資料，以併購交易比較法探討市場併購交易價格以及未上市櫃公司流動性折價幅度的影響因素。本研究以1985-2018年百分百控制股權併購交易，總計11659筆樣本做為迴歸分析研究對象，並於迴歸模型中建立代表未上市櫃公司的虛擬變數，以及景氣循環階段、併購交易宣告時點之研究變數，同時加入公司規模、獲利能力、淨利是否為正、所處產業做為本研究之控制變數。
實證結果發現，在景氣擴張階段以及隨著時間經過的影響下(即併購交易發生時點較晚期)，兩項因素均會使市場併購交易價格增加。另外，未上市櫃公司在該些因素影響下，所增加的併購交易價格又較上市櫃公司為高，因此整體流動性折價幅度亦降低。最後，本研究採取不同排除樣本極端值的方法以及加入GDP控制變數進行穩健性測試，結果均具有穩健性。

The aim of this paper is to assess the determinants of M&A transaction price and private company discount in the U.S. market. In this paper, 11,650 sample which were 100% controlled after M&A from 1985 to 2018 were collected from SDC database and used in regression analysis. A dummy variable represents private company were established in the regression model, and our main variables-business cycle and the timing of the M&A transaction were also included. At the same time, the company size, profitability, dummy variable represents whether the net income is positive, and the industry dummies were also added as control variables.
The empirical results of this paper found that during the expansion of the business cycle and under the over time effect, which means that M&A transaction occurred later, both factors increased the M&A transaction price. In addition, under the influence of these two factors, the increase of private company M&A transaction price was higher than that of public company, so the private company discount reduced. Finally, we used different methods to delete outliers and add GDP as a control variable to test the robustness of the results. We found that the results remained robust.

口試委員會審定書 i
誌謝 ii
中文摘要 iii
英文摘要 iv
目錄 v
圖目錄 vi
表目錄 vi
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究範圍與目的 3
第三節 研究架構 4
第貳章 文獻回顧 5
第一節 未上市櫃公司流動性折價衡量方法與實證結果 5
第二節 未上市櫃公司流動性折價幅度影響因素彙整 22
第參章 研究方法 24
第一節 研究假說 24
第二節 研究樣本與資料來源 33
第三節 實證模型與研究變數 37
第肆章 實證結果與分析 40
第一節 敘述統計 40
第二節 實證結果分析 43
第三節 敏感性分析 47
第伍章 研究結論、限制與建議 56
第一節 研究結論 56
第二節 研究限制與建議 58
參考文獻 59
附錄 62
附錄一 未上市櫃公司資訊揭露規範簡介 65
附錄二 景氣循環介紹 (Stupak,Jeffrey M., 2019) 67

圖 目 錄
圖1-1 研究架構 4
圖2-1 未上市櫃公司折價幅度 (Block, 2007) 14
圖2-2 未上市櫃公司各產業別折價幅度 (Block, 2007) 14
圖2-3 各產業別未上市櫃公司折價幅度 (Paglia and Harjoto, 2010)
15
圖3-1 資金成本構成要素Elliot and Jacobson(1994) 29
圖3-2 美國1975.01-2019 .04景氣循環圖 36

表 目 錄
表2-1 IPO法下的流動性折價幅度 (Emory, 2000) 6
表2-2 國外歷年限制性股票比較法研究結果彙整 8
表2-3 Koeplin,Sarin,and Shapiro (2000) 併購交易比較法折價幅度 11
表2-4 歷年併購交易比較法文獻整理 20
表2-5 未上市櫃公司流動性折價影響因素文獻整理 22
表3-1 樣本選取表 33
表3-2 樣本期間分布表 33
表3-3 樣本產業分布表 35
表3-4 樣本景氣循環階段分布表 35
表4-1 溫賽化99%之敘述統計 40
表4-2 溫賽化99%之上市櫃與未上市櫃敘述統計 41
表4-3 溫賽化99%之相關係數表 42
表4-4 溫賽化99%迴歸結果(1)-Year1 45
表4-5 溫賽化99%迴歸結果(2)-Year2 46
表4-6 敏感性分析一：溫賽化99.5%迴歸結果(1)-Year1 48
表4-7 敏感性分析一：溫賽化99.5%迴歸結果(2)-Year2 49
表4-8 敏感性分析二：刪除1%樣本極端值迴歸結果(1)-Year1 50
表4-9 敏感性分析二：刪除1%樣本極端值迴歸結果(2)-Year2 51
表4-10 敏感性分析三：刪除0.5%樣本極端值迴歸結果(1)-Year1 52
表4-11 敏感性分析三：刪除0.5%樣本極端值迴歸結果(2)-Year2 53
表4-12 敏感性分析四：加入GDP作為控制變數迴歸結果(1)-Year1 54
表4-13 敏感性分析四：加入GDP作為控制變數迴歸結果(2)-Year2 55

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