英法德三国私募股权基金支持的杠杆收购溢价分析
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摘要
杠杆收购市场从上世纪80年代在美国大规模兴起,但也引起了很多关于其价值源泉的质疑和争论。欧洲大陆杠杆收购市场起步虽晚,但在2001年以后也真正确立了其应有的地位。然而到目前为止没有相关学术研究对欧洲大陆杠杆收购溢价进行研究,更没有基于收购溢价分析结果来进行国别比较的研究。本文的重点就是研究欧洲杠杆收购市场的溢价。
本文通过以下两个基本框架进行具体分析。一是对杠杆收购市场参与主体从结构和流程进行分析,对参与主体所处税收环境进行国别比较;二是用各种理论假设的价值创造来源检验收购溢价的决定因素,即试图回答杠杆收购为何能够产生如此高溢价的问题;这里的实证检验,本文用“公转私”收购样本数据来模拟杠杆收购市场。在实证部分本文通过两组变量使上述的两个框架结合起来。第一组是税收理论中所体现的有效税率和债务/股权比例变量,并用国别虚拟变量来补充;发现税收收益理论不显著,自由现金流变量在整体样本中也不显著,但自由现金流在欧洲大陆却表现出很强的解释力。第二组是高收益债券溢价或杠杆贷款价格指数,并通过对它们的分析来看最近全球性的信贷危机对杠杆收购溢价和收购活动的影响,发现结果同预料的相反,信贷风险溢价与收购溢价呈正相关关系。同时本文也逐一检验过去欧美文献讨论过的其它理论假设,包括管理激励理论,价值低估理论,收购防御理论。
另外,在本文解释收购溢价的模型中,为了更详细地说明国别差异,还从收购者和被收购者两个角度来突出对比了三国税收法律环境。从收购者角度,分析各国私募股权基金所处的税收法律环境,从而对比杠杆收购市场竞争程度的国别差异。从被收购者角度,比较各国关于利息抵扣程度的法律规定,并从另一个角度检验了税收收益理论。根据税收收益理论,对利息支出税前抵扣的法律约束越是宽松,那么该国企业被收购后增加的利息支出就越容易抵扣税前利润,收购者愿意支付更高的溢价。通过这两方面法律环境的比较,英国和法国收购溢价的国别差异得到了很好地解释。
Leveraged buyouts originated from America and experienced a spectacular boom in early 1980s. Meanwhile, the phenomenon raised a lot of doubts about the sources of value creation in both public and academic area. Leveraged buyouts in Continental Europe started quite late, but since 2000 the market witnessed a astonishing catch-up growth. However, until now, there isn't any relevant academic research focusing on the buyouts premiums in Continental Europe market, neither the comparisons among different jurisdictions. The focus of this paper is the buyouts premiums in Europe and comparison of national legal regime.
The analysis of leveraged buyouts requires the insightful understanding of private equity industry which plays more and more important role in leveraged buyouts market. The recent changes of leveraged buyouts market also include the innovations of debt financing and the diversification and institutionalization of leveraged loans distributing channels.
The analysis in this paper is based on the following two frameworks. The first framework is the participants and markets of leveraged buyouts and leveraged loans. And the second is the model built to identify the determinants of leveraged buyouts premiums. Eventually the combination of these two frameworks hinges on the analysis of two sets of independent variables. The first set of variables is effective tax rates and debt/equity ratios, and my findings do not support the tax benefits hypothesis, neither free cash flow hypothesis. But the samples from Continental Europe do support free cash flow hypothesis. The second set of variables is credit spreads and loan index. To the contrary of our original hypothesis, the results show that credit spreads variable positively correlates with buyouts premiums. Similarly, loan index negatively correlates with buyouts premiums. This paper also tries to exam other hypothesis, including management incentive, undervaluation and buyouts defense. To account for national discrepancies, this paper builds a platform to compare the tax and legal environments of the three countries.
本文通过以下两个基本框架进行具体分析。一是对杠杆收购市场参与主体从结构和流程进行分析,对参与主体所处税收环境进行国别比较;二是用各种理论假设的价值创造来源检验收购溢价的决定因素,即试图回答杠杆收购为何能够产生如此高溢价的问题;这里的实证检验,本文用“公转私”收购样本数据来模拟杠杆收购市场。在实证部分本文通过两组变量使上述的两个框架结合起来。第一组是税收理论中所体现的有效税率和债务/股权比例变量,并用国别虚拟变量来补充;发现税收收益理论不显著,自由现金流变量在整体样本中也不显著,但自由现金流在欧洲大陆却表现出很强的解释力。第二组是高收益债券溢价或杠杆贷款价格指数,并通过对它们的分析来看最近全球性的信贷危机对杠杆收购溢价和收购活动的影响,发现结果同预料的相反,信贷风险溢价与收购溢价呈正相关关系。同时本文也逐一检验过去欧美文献讨论过的其它理论假设,包括管理激励理论,价值低估理论,收购防御理论。
另外,在本文解释收购溢价的模型中,为了更详细地说明国别差异,还从收购者和被收购者两个角度来突出对比了三国税收法律环境。从收购者角度,分析各国私募股权基金所处的税收法律环境,从而对比杠杆收购市场竞争程度的国别差异。从被收购者角度,比较各国关于利息抵扣程度的法律规定,并从另一个角度检验了税收收益理论。根据税收收益理论,对利息支出税前抵扣的法律约束越是宽松,那么该国企业被收购后增加的利息支出就越容易抵扣税前利润,收购者愿意支付更高的溢价。通过这两方面法律环境的比较,英国和法国收购溢价的国别差异得到了很好地解释。
Leveraged buyouts originated from America and experienced a spectacular boom in early 1980s. Meanwhile, the phenomenon raised a lot of doubts about the sources of value creation in both public and academic area. Leveraged buyouts in Continental Europe started quite late, but since 2000 the market witnessed a astonishing catch-up growth. However, until now, there isn't any relevant academic research focusing on the buyouts premiums in Continental Europe market, neither the comparisons among different jurisdictions. The focus of this paper is the buyouts premiums in Europe and comparison of national legal regime.
The analysis of leveraged buyouts requires the insightful understanding of private equity industry which plays more and more important role in leveraged buyouts market. The recent changes of leveraged buyouts market also include the innovations of debt financing and the diversification and institutionalization of leveraged loans distributing channels.
The analysis in this paper is based on the following two frameworks. The first framework is the participants and markets of leveraged buyouts and leveraged loans. And the second is the model built to identify the determinants of leveraged buyouts premiums. Eventually the combination of these two frameworks hinges on the analysis of two sets of independent variables. The first set of variables is effective tax rates and debt/equity ratios, and my findings do not support the tax benefits hypothesis, neither free cash flow hypothesis. But the samples from Continental Europe do support free cash flow hypothesis. The second set of variables is credit spreads and loan index. To the contrary of our original hypothesis, the results show that credit spreads variable positively correlates with buyouts premiums. Similarly, loan index negatively correlates with buyouts premiums. This paper also tries to exam other hypothesis, including management incentive, undervaluation and buyouts defense. To account for national discrepancies, this paper builds a platform to compare the tax and legal environments of the three countries.
引文
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20 Ashurst,(2004)Tax across Europe,来自一家英国专门从事转移定价方面咨询的律师事务所。网站为www.ashurst.com,该律所2004年发布的欧洲关于资本弱化方面法律变化
1.Amihud,Y.,1989,Leveraged Management Buy-outs,New York:Dow-Jones Irwin.
2.Asquith,P.and Wizmann,T.A.,1990,Event risk,covenants and bondholder returns in leveraged buyouts,Journal of Financial Economics 27,195-213
3.DeAngelo,H.,DeAngelo,L.and Rice,E.M.,1984,Going private:minority freezeouts and
4.stockholder wealth,Journal of Law and Economics 27,367-401.
5.Deutsche Bundesbank Monthly report April 2007 page15-27
6.Easterwood,J.,Singer,R.,Seth,A.and Lang,D.,1994,Controlling the Conflict of Interest in Management Buyouts,Review of Economitcs and Statistics 76,512-522.
7.EVCA,"Guide on private equity and venture capital for entrepreneurs" EVCA pulication,November 2007.
8.EVCA,"The tax and legal environment for PE and VC in EU" January 2007
9.Franks,J.,Mayer,C.and Renneoog,L.,2001,Who disciplines management of poorly performing companies?,Journal of Financial Intermediation 10,209-248
10.Geoge W.Fenn,Nellie Liang,Stephen Prowse,"The private market review:an overview",Financial Markets,Institutions&Instruments V.6,N.4,July 1997.
11.Harlow,W.V.and Howe,J.S.,1993,Leveraged buyouts and insider nontrading,Financial Management 22,109-118.
12.Holmstrom,B.and Kaplan,S.N.,(2001),"Corporate governance and merger activity in the U.S.:making sense of the '80s and '90s',Journal of Economic Perspectives 15,121-144
13.Ippolito,R.A.,and James,W.H.(1992),"LBOs,reversions,and implicit contracts".Journal of Finance 47,139-167
14.James F.Cotter,Sarah W.Peck(2001) The struchture of det and active equity investors:The case of the buyout specialist,Journal of Financial Economics,Vol.59,No.1,January 1,2001
15.Kaplan, S.N., 1989, Management buyouts: evidence on taxes as a source of value, Journal of Finance 44, 611-632.
16.Kaplan,S.N., and Stein J., 1993, The evolution of buyout pricing and financial structure in the 1980s, Quarterly Journal of Economics 108, 313-359.
17.Kieschnick,R.L, 1989, "Management buyouts of public corporations: an analysis of prior 18.characteristics,in: Leveraged buyouts, New York: Dow-Jones Irwin.
19.Kieschnick, R.L., 1998, "Free cash flow and stockholder gains in going private transactions revisited", Journal of Business Finance and Accounting 25,187-202.
20.Kenneth Lehn and Annette Poulsen (1989), Free Cash Flow and Stockholder Gains in Going Private Transactions The Journal of Finance, Vol. 44, No. 3, Papers
21.Lehn, K. and Poulsen, A.,1989, "Free cash flow and stockholder gains in going private transactions", Journal of Finance 44, 771-788.
22.Lowenstein, L.1985, Management buyouts, Columbia Law Review 85, 730-784.
23.Luc Renneboog, Tomas Simons,(2005) Pubilc-to-Private Transactions: LBOs, MBO, MBIs and IBOs. Finance Working Paper N.94/2005
24.Maupin, R.J., Bidwell, C.M. and Ortegren, A.K.,1984, An empirical investigation of the characteristics of publicly quoted corporations that change to closely held ownership through management buyouts", Journal of Business Finance and Accounting 11,435-450.
25.Mike Wright, Tomas Simons and Luc Renneboog,(2005) Leveraged public to private transactions in the UK. ECGI - Finance Working Paper No. 78/2005
26.Mike Wright, Tomas Simons, Louise Scholes and Luc Renneboog (2006), Leveraged Buyouts in the UK. And Continental Europe: Retrospect and Prospect
27.Michael C. Jensen,(1986), Agency costs of free cash flow, Corporate Finance and Takeovers," American Economic Review, Vol. 76, No. 2, May 1986
28.Mitchel,.A.and Mulherin,H.,1996, The impact of industry shocks on takeover and restructuring activity, Journal of Financial Economics, 193-229
29.OECD, Mike Wright; Andrew Burrows; Rod Ball; Louise Scholes; Miguel Meuleman; Kevin Amess. (2007) "The implications of alternative investment vehicles for corporate governance: a survey of empirical research".
30.Opler, T. and Titman, S., 1993, The determinants of leveraged buyout activity, Free cash flow versus financial distress costs, Journal of Finance 48,1985-1999.
31 Renneboog, L., Simons, T., and Wright, M., 2004, Public-to-Private transactions in the UK, Working paper Tilburg University.
Sanjai Bhagat, Andrei Shleifer, Robert W.Vishny, Gregg Jarrel and Lawrence Summers (1990),
32.Hostile Takeovers in the 1980s: The Return to Corporate Specialization.
33.Schadler, F.P. and Kams, J.E., 1990, The unethical exploitation of shareholders in management buyout transactions, Journal of Business Ethics 9, 595-602.
34.Standard Poor Viewpoints (2007) Leveraged Buyouts In Australia - Who Really Bears The Risks?
35. Stulz, R., 1988, Managerial control of voting rights, financing policies, and the market for corporate control. Journal of Financial Economics 27, 704-739
35.Travlos, N.G. and Cornett, M.M., 1993, Going private buyouts and determinants of shareholders'returns, Journal of Accounting, Auditing and Finance 8,1-25/
36.Warga, A. and Welch, I. 1993, Bondholder losses in leveraged buyouts, The Review of Financial Studies 6, 959-982.
37.Weir, C., Laing, D. and Wright, M, 2003, Incentive effects, monitoring mechanisms and the threat from the market for corporate control:
38.Weir, C., Laing, D. and Wright, M, and Burrows, A. 2005, Financial distress costs, incentive realignment, private equity and the decision to go private: pulic to private activity in the UK, Working paper, University of Nottingham.
39.Victoria Ivashina, Anna Kovner(2007),The private equity advantage: leveraged buyout firms and relationship banking. http://ssrn.com/abstract= 1017857
20 Ashurst,(2004)Tax across Europe,来自一家英国专门从事转移定价方面咨询的律师事务所。网站为www.ashurst.com,该律所2004年发布的欧洲关于资本弱化方面法律变化
1.Amihud,Y.,1989,Leveraged Management Buy-outs,New York:Dow-Jones Irwin.
2.Asquith,P.and Wizmann,T.A.,1990,Event risk,covenants and bondholder returns in leveraged buyouts,Journal of Financial Economics 27,195-213
3.DeAngelo,H.,DeAngelo,L.and Rice,E.M.,1984,Going private:minority freezeouts and
4.stockholder wealth,Journal of Law and Economics 27,367-401.
5.Deutsche Bundesbank Monthly report April 2007 page15-27
6.Easterwood,J.,Singer,R.,Seth,A.and Lang,D.,1994,Controlling the Conflict of Interest in Management Buyouts,Review of Economitcs and Statistics 76,512-522.
7.EVCA,"Guide on private equity and venture capital for entrepreneurs" EVCA pulication,November 2007.
8.EVCA,"The tax and legal environment for PE and VC in EU" January 2007
9.Franks,J.,Mayer,C.and Renneoog,L.,2001,Who disciplines management of poorly performing companies?,Journal of Financial Intermediation 10,209-248
10.Geoge W.Fenn,Nellie Liang,Stephen Prowse,"The private market review:an overview",Financial Markets,Institutions&Instruments V.6,N.4,July 1997.
11.Harlow,W.V.and Howe,J.S.,1993,Leveraged buyouts and insider nontrading,Financial Management 22,109-118.
12.Holmstrom,B.and Kaplan,S.N.,(2001),"Corporate governance and merger activity in the U.S.:making sense of the '80s and '90s',Journal of Economic Perspectives 15,121-144
13.Ippolito,R.A.,and James,W.H.(1992),"LBOs,reversions,and implicit contracts".Journal of Finance 47,139-167
14.James F.Cotter,Sarah W.Peck(2001) The struchture of det and active equity investors:The case of the buyout specialist,Journal of Financial Economics,Vol.59,No.1,January 1,2001
15.Kaplan, S.N., 1989, Management buyouts: evidence on taxes as a source of value, Journal of Finance 44, 611-632.
16.Kaplan,S.N., and Stein J., 1993, The evolution of buyout pricing and financial structure in the 1980s, Quarterly Journal of Economics 108, 313-359.
17.Kieschnick,R.L, 1989, "Management buyouts of public corporations: an analysis of prior 18.characteristics,in: Leveraged buyouts, New York: Dow-Jones Irwin.
19.Kieschnick, R.L., 1998, "Free cash flow and stockholder gains in going private transactions revisited", Journal of Business Finance and Accounting 25,187-202.
20.Kenneth Lehn and Annette Poulsen (1989), Free Cash Flow and Stockholder Gains in Going Private Transactions The Journal of Finance, Vol. 44, No. 3, Papers
21.Lehn, K. and Poulsen, A.,1989, "Free cash flow and stockholder gains in going private transactions", Journal of Finance 44, 771-788.
22.Lowenstein, L.1985, Management buyouts, Columbia Law Review 85, 730-784.
23.Luc Renneboog, Tomas Simons,(2005) Pubilc-to-Private Transactions: LBOs, MBO, MBIs and IBOs. Finance Working Paper N.94/2005
24.Maupin, R.J., Bidwell, C.M. and Ortegren, A.K.,1984, An empirical investigation of the characteristics of publicly quoted corporations that change to closely held ownership through management buyouts", Journal of Business Finance and Accounting 11,435-450.
25.Mike Wright, Tomas Simons and Luc Renneboog,(2005) Leveraged public to private transactions in the UK. ECGI - Finance Working Paper No. 78/2005
26.Mike Wright, Tomas Simons, Louise Scholes and Luc Renneboog (2006), Leveraged Buyouts in the UK. And Continental Europe: Retrospect and Prospect
27.Michael C. Jensen,(1986), Agency costs of free cash flow, Corporate Finance and Takeovers," American Economic Review, Vol. 76, No. 2, May 1986
28.Mitchel,.A.and Mulherin,H.,1996, The impact of industry shocks on takeover and restructuring activity, Journal of Financial Economics, 193-229
29.OECD, Mike Wright; Andrew Burrows; Rod Ball; Louise Scholes; Miguel Meuleman; Kevin Amess. (2007) "The implications of alternative investment vehicles for corporate governance: a survey of empirical research".
30.Opler, T. and Titman, S., 1993, The determinants of leveraged buyout activity, Free cash flow versus financial distress costs, Journal of Finance 48,1985-1999.
31 Renneboog, L., Simons, T., and Wright, M., 2004, Public-to-Private transactions in the UK, Working paper Tilburg University.
Sanjai Bhagat, Andrei Shleifer, Robert W.Vishny, Gregg Jarrel and Lawrence Summers (1990),
32.Hostile Takeovers in the 1980s: The Return to Corporate Specialization.
33.Schadler, F.P. and Kams, J.E., 1990, The unethical exploitation of shareholders in management buyout transactions, Journal of Business Ethics 9, 595-602.
34.Standard Poor Viewpoints (2007) Leveraged Buyouts In Australia - Who Really Bears The Risks?
35. Stulz, R., 1988, Managerial control of voting rights, financing policies, and the market for corporate control. Journal of Financial Economics 27, 704-739
35.Travlos, N.G. and Cornett, M.M., 1993, Going private buyouts and determinants of shareholders'returns, Journal of Accounting, Auditing and Finance 8,1-25/
36.Warga, A. and Welch, I. 1993, Bondholder losses in leveraged buyouts, The Review of Financial Studies 6, 959-982.
37.Weir, C., Laing, D. and Wright, M, 2003, Incentive effects, monitoring mechanisms and the threat from the market for corporate control:
38.Weir, C., Laing, D. and Wright, M, and Burrows, A. 2005, Financial distress costs, incentive realignment, private equity and the decision to go private: pulic to private activity in the UK, Working paper, University of Nottingham.
39.Victoria Ivashina, Anna Kovner(2007),The private equity advantage: leveraged buyout firms and relationship banking. http://ssrn.com/abstract= 1017857