私募股權投資管理公司實證研究與個案探討

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姓名

王耀毅(Yao-Yi Wang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

私募股權投資管理公司實證研究與個案探討
(Empirical Investigation and Case Study on Listed Private Equity Management Companies)

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摘要(中)

近年來，「私募股權」投資開始受到重視與討論。除了傳統的投資方式，例如直接投資、透過私募股權基金或者是私募股權組合型基金投資外，目前投資人更可以購買私募股權投資管理公司的上市股票來參與私募股權投資。因此，本文的研究目的包括簡單概述私募股權市場，以及深入分析這些上市公司。本文將這些上市公司分成三種組織型態。主要的研究方法是個案研究與Style分析。
實證結果如下：首先，這些上市公司的股價報酬風格非常不同。整體來看，公司的股價報酬風格都偏向小型股報酬。其中3i的股價報酬風格偏向創業投資基金；而SVG Capital的股價報酬風格則部份與國庫券報酬相同；另外三家公司的報酬風格型態與buyouts funds相似。第二，公司管理者的「選擇」能力可能是解釋股價報酬的主要因素。第三，這些投資管理公司的投資方式、股利政策以及產業選擇等都不相同。而且，公司的股價大都高於其淨資產價值。

摘要(英)

Recently, “private equity” investments begin to be paid much attention to and to be discussed. Besides the principal means of private equity investment such as direct investments, investing in private equity funds or private equity fund of funds, now investors can buy the listed private equity management companies’ stocks to participate in private equity market. Therefore the purpose of this paper is to roughly summarize private equity market and investigate those listed management companies. This paper classifies those listed management companies into three kinds of organization style. The main methodology is case study and style analysis.
The results of this paper are summarized as follows: First, the stock return styles of those listed management companies are very distinct. As a whole, stock return styles are like small stock returns. 3i stock return style is like venture capital funds’ return; SVG Capital stock return style is partly similar to Treasury Bills’ return. Another three companies’ returns are like buyouts funds’ returns. Second, the managers’ “selections” could be the main factor to interpret stock returns. Third, those management companies’ investment ways, dividend policies and industry selections are not the same. Finally, the stock prices of those companies are mostly superior to net asset values.

關鍵字(中)

★ Style 分析
★ 私募股權基金
★ 私募股權投資管理公司

關鍵字(英)

★ Style analysis
★ Private equity management companies
★ Private equity funds

論文目次

第一章導論...................................1
第一節研究背景與研究.........................1
第二節研究目的...............................3
第二章私募股權市場概述.......................5
第一節私募股權的定義.........................5
第二節私募股權市場架構.......................8
第三節私募股權投資方式......................13
第四節私募股權組合型基金....................14
第五節私募股權報酬相關文獻探討..............17
第三章上市的私募股權投資管理公司............20
第一節公司類型..............................20
第二節投資上市公司的優缺點..................21
第三節 Business Development Companies........23
第四章研究方法..............................25
第五章個案探討與實證分析....................28
第一節 3i....................................28
第二節 SVG Capital...........................38
第三節 Castle Private Equity AG..............44
第四節 Allied Capital........................50
第五節 American Capital......................58
第六節個案比較..............................62
第七節 Style Analysis........................66
第六章結論..................................69
參考文獻......................................71
附錄..........................................73

參考文獻

1. 3i website, http://www.3igroup.com
2. AKIN GUMP, 2004, “Private Equity Goes Public”, at akingump.com
3. Alex Bance, 2004, “Why and How to Invest in Private Equity”, EVCA Special Paper 2004.
4. Alexander Ljungqvist and Matthew Richardson, 2003, “The Cash Flow, Return and Risk Characteristics of Private Equity”, National Bureau of Economic Research, Working Paper NO.9454.
5. Allied Capital website, http://www.alliedcapital.com
6. American Capital website, http://www.american-capital.com
7. Angelo Lobosco and Dan Dibartolomeo, 1997, “Approximating the Confidence Intervals for Sharpe Style Weights”, Financial Analysts Journal, pp. 80-85.
8. Bauer M., Bilo S., and Zimmermann H., 2001, “Publicly Traded Private Equity: An Empirical Investigation”, WWZ/Department of Finance, Working Paper No. 5 / 01.
9. BVCA website, http://www.bvca.co.uk
10. Castle Private Equity AG website, http://www.castle.li/castle/en/cpe/index.html
11. David F. Swensen, 2000, “Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment”.
12. EVCA website, http://www.evca.com
13. Fort Washington Capital Partners Group, 2004, “Investing in Private Equity through a Fund of Funds”, White Paper, at fortwashington.com
14. George W. Fenn, Nellie Liang, and Stephen Prowse, 1997, “The Private Equity Market: An Overview”, Financial Market, Institutions and Instruments, Volume 6.
15. Martin, J.D. and J.W. Petty, 1983, “An analysis of the performance of publicly traded venture capital companies”, Journal of Financial and Quantitative Analysis 18, pp. 401-498.
16. Oliver Burgel, 2000, “UK Venture Capital and Private Equity as an Asset Class for Institutional Investors”, Research Report for BVCA.
17. Piper Jaffray Private Capital Group, 2004, “Alternative assets: Private equity fund of funds”, Special Report, at www.altassets.com
18. Tom Weidig and Pierre-Yves Mathonet, 2004, “The Risk Profiles of Private Equity”.
19. Schroders, 2005, “Schroder Private Equity Fund of FundsⅢ”, Agenda.
20. Steven Kaplan and Antoinette Schoar, 2003, “Private Equity Performance: Returns, Persistence and Capital”, National Bureau of Economic Research, Working Paper No. 9807.
21. SVG Capital website, http://www.svgcapital.com/svgcapital/about/
22. William Sharpe, 1988, “Determining a Fund’s Effective Asset Mix”, Investment Management Review, pp. 59-69.
23. William Sharpe, 1992, “Asset Allocation: Management Style and Performance Measurement”, Journal of Portfolio Management, pp.7-19.
24. Zimmermann H., Bilo S., Christophers H., and Degosciu M., 2004, “The Risk and Return of Publicly Traded Private Equity”, WWZ∕Department of Finance, Working Paper No. 6 / 04.

指導教授

史綱、何中達
(Gang Shyy、Chung-Da Ho)

審核日期

2006-7-17

推文