探討併購交易價格及未上市櫃公司流動性折價決定因素：景氣循環階段與時間推移效果

Abstract

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.