興櫃轉上櫃公司的市場評價法之實證分析

Abstract

本研究針對興櫃轉上櫃公司，建構流動性價差的調整模型，最後進行實務上的驗證與分析。標的樣本為 2008 年 1 月 1 日到 2013 年 1 月 1 日期間由興櫃初次轉上櫃的公司，並觀察同產業中類似財務資訊的對照公司，透過「股利折現模型」選定三間對照公司作為市場乘數法評價時之對照樣本，並且以 P/E 法(本益比法)和P/B 法(市價淨值比法)作為公允價值的估計變數。由於初次申請上市櫃的公司在通過上市櫃審議會未來要轉上市櫃前後，會因為市場資訊效率的差異造成公司的流動性價差，因此本研究擬透過「首次公開發行法」，採用興櫃公司轉上櫃前後的周轉率變化量以及交易值變化量做為自變數，進行標的公司流動性價差的衡量，來驗證流動性模型對於實證資料的解釋能力。

The purpose of the thesis is using market-based valuation and liquidity discount model to evaluate the reasonable market value of Initial Public Offering (IPO) firms that switched from Emerging Stock Market (ESM) to Gre Tai Securities Market (GTSM) during from 2008/1/1 to 2013/1/1. The study adopts Dividend Discount Model(DDM)to sample reliable comparable firms from the same industry to compare the estimating ability of P/E Ratio and P/B ratio. The results demonstrate that P/B ratio has better estimating ability than P/E ratio. Additionally, the results show that the estimated error of the DDM sampling is statistically less than that of the underwriter sampling on the prospectus. Because the IPO firms that switched from ESM to GTSM may be subject to the discounts or premiums, which are likely result from the difference in market liquidity. This study uses “IPO approach” to adjust the premiums and discounts via an adjusted liquidity discount model.