興櫃股票公允價值估價模型探討

A Study on Fair Value Pricing Models of Emerging Stock

自2013年台灣開始要求上市櫃公司採用國際財務報導準則（IFRS），過去興櫃股票只需使用成本法入帳，故衡量興櫃股票公允價值成為IFRS啟用後企業首當其衝面臨的問題。興櫃股票缺乏流動性，且公司資訊透明度不似上市櫃公司高，過去常用的評價模型無法衡量興櫃公司的公允價格。本研究參考Silber（1991）設計出流動性折價後模型，衡量出興櫃公允價值，接著和三種價格做比較：第一種為興櫃收盤價；第二種為券商簡易衡量模型；第三種為證期會承銷價公式。研究結果發現流動性折價幅度確實跟公司獲利能力和私募規模有顯著相關。模型驗證階段，使用Theil'sU值去判斷其適用性，這三種價格和所計算出來的理論價格相比，研究結果證實有些興櫃股票價格有過於高估現象。

Taiwan Stock Exchange (TSE) adopts International Financial Reporting Standards (IFRS) in 2013. In the past, firms used historical costs as the fair value in the financial statement. Therefore, measuring the fair value of emerging stock becomes the most important issue after adopting IFRS. Unlike the listed companies, the emerging stock is illiquid and the financial information is less prevailed. The closing price of the emerging stock might be manipulated. Therefore, the models commonly used for the listed stocks might not be appropriate for assessing the fair value of the emerging stock. Referring Silber (1991), this study employs available publicly accounting and market data and develop a liquidity discount model to evaluation the fair price of the emerging stocks. The calculated fair price is compared with the prices commonly used in the market. Three commonly used fair prices are the closing price of emerging stock, the average monthly price used by security dealers, and the underwriting price developed by the Securities and Futures Institute (SFI). The results show that the liquidity discount is significantly associated with the company profitability and the scale of the private placement. Furthermore, this study employs Theil's U to verify the fair price developed by the liquidity discount model. The results show the some emerging stock prices are overvalued.