本研究之主旨為透過「併購交易比較法」探討日本市場「未公開發行公司」之流動性折價幅度。綜觀現存文獻中，衡量流動性折價的實證研究方法有「首次公開發行比較法」、「限制性股票比較法」與「退場之市場倍數期望值比較法」。由於上述研究方法皆有其缺失之處，因此本研究沿用Koeplin, Sarin, and Shapiro[2000]提出之「併購交易比較法」以併購交易之市場倍數衡量「未公開發行公司」之折價幅度。更進一步藉由建構「參考配對組合」，為併購標的為「未公開發行公司」之交易案尋找一組與其在相同國家、交易年份、產業與類似規模之併購標的為「公開發行公司」交易案，計算各市場倍數之流動性折價幅度。 本研究檢視西元1998年至2007年，共十年間於日本發生之併購交易，並限制為控制性股權交易。最終可得樣本為146個配對組合，平均流動性折價幅度為22%～30%。經由橫斷面迴歸分析發現，所觀察到的流動性價差隨「未公開發行公司」特性與產業不同而有所差異。產業別之研究分析發現，「建築業」為六大產業中各市場倍數所計算的流動性折價幅度最深者；「金融、保險及不動產業」，則為六大產業中各市場倍數所計算的流動性折價幅度最小者。交易年份別之研究發現，各市場倍數計算出的流動性價差所呈現的趨勢與日本市場歷年來併購交易案數量呈現「反向關係」，即當併購交易熱絡期間，「流動性價差」走降；而於併購交易案較為冷卻期間，「流動性價差」則上升。對於若為高成長的大型公司，其流動性折價幅度則將大幅低於其他條件之公司。由本研究之實證結果顯示，投資人爾後於評價「流動性之價差」時，將不宜應用單一折價幅度於所有「未公開發行公司」。 / Little is known about valuation of privately held companies, for which the fact that there is no sufficient information and no ready market. In general, investors will pay less for one there is no ready market compared to one that is readily marketable, ceteris paribus. Then we all accept that a private firm’s value will be reduced for lack of marketability, applying the value of the discount is a difficult matter. To the best of our knowledge, research in the past decades has relied on “IPO Approach”, “Restricted stock approach”, and “Expected exit multiple approach”. Those approaches have inherent drawbacks so this study follows the current approach of Koeplin, Sarin, and Shapiro (2000) to use a matching technique. This study uses “reference portfolio” to construct control portfolios of acquisitions of public companies for each acquisition of private companies. For 146 comparable reference portfolio between 1998 and 2007 in Japan, the average discount is 22%～30%. Our cross-sectional analysis shows, however, that the discount observed varies with the characteristics of the firm and with the industry. This study breaks down the discount by industry, with the highest discount found in construction and the lowest in finance, insurance and real estate. We also found discount decreases during hot M&A years and increases during cold M&A years. For large and growth private firms, the discount tends to be much smaller. Overall, our findings suggest that using constant discount across private firms is wrong.