基于社会资本视角的中国股市IPO定价效率研究

发布时间：2018-01-18 06:02

本文关键词：基于社会资本视角的中国股市IPO定价效率研究　出处：《华南理工大学》2012年博士论文　论文类型：学位论文

【摘要】：抑价被称为新股发行的“三大异象”之一，是学术界长期关注的热点问题。抑价现象在全世界范围内广泛存在，在中国资本市场上表现得尤为突出。据统计，中国新股发行的抑价率一度高达。导致抑价的直接原因是一、二级股票市场的价格分离，但真正的原因在于定价效率。如果定价效率损失严重，那么新股价格就会明显（向下或向上）偏离“公平价格”（），从而导致发行价格与交易价格的分离。然而，现有的研究大多关注抑价本身，缺乏对定价效率的研究。在研究中国资本市场的过程中，上市公司高管中的“退休官员”现象引起了人们浓厚的兴趣。现有的研究表明，这些“特殊”的高管可以为企业带来诸如税收优惠、政府补助、融资贷款等实际利益。然而，事实上这些与政府紧密联系的高管还可以为企业带来更丰厚的“隐性利益”，而创造这些“隐性利益”的正是这些高管在退休之前积累的“关系资本”。现实中，一些上市公司的高管就是来自证监会或发审委等核心部门的退休官员，那么他们所拥有的“关系资本”又会如何影响企业的活动？、等著名社会学家指出，社会资本可以降低交易成本，提高经济运行效率。考虑到关系资本是社会资本的重要组成部分，以及受社会资本理论的启发，本文尝试从社会资本的视角，对中国股市的定价效率进行研究。根据本研究的逻辑结构，全文由四个部分组成，具体内容如下：第一部分是提出问题，主要为第一章的内容。这部分阐述了中国资本市场抑价长期畸高的现象，以及另外一个引人注目的现象——中国上市公司高管中存在着大量的退休官员。本文从这两个现象入手，尝试以抑价为研究对象，以社会资本为视角，研究中国的资本市场。通过对现有文献的梳理发现，定价效率是一个探讨抑价问题很新颖的思路。最终，本文确定了以社会资本为视角，以定价效率为对象的研究思路，并以此为基础确定了全文的研究框架。第二部分进行理论分析，主要为第二章的内容。这部分从理论上探讨了社会资本影响定价效率的机理。从影响股票价格的三个主要因素入手，分析了社会资本如何作用于上市公司的经济绩效、技术创新以及投资者情绪，从而理清了社会资本影响定价效率的理论路径，最终建立了本文的概念模型。第三部分展开实证研究，主要为第三、四、五、六章的内容。这部分根据本文的研究思路及理论分析，对社会资本与定价效率的关系进行了实证研究。第三章运用随机边界模型研究了中国股票发行市场是否存在故意压价以及交易市场是否存在价格虚高的问题，从而通过估计定价效率探寻中国股市抑价的真正原因。该章是对本文研究思路及主要研究方法的一个探索性试验。从第四章开始将社会资本引入到定价效率的研究中。本文在研究社会资本作用时，构建了一个涵盖微观、中观及宏观的多层次分析框架。第四章从社会地位、声誉以及“关系”三个方面研究了企业家社会资本（微观层面）对定价效率的作用。第五章使用专业软件对中国新股发行企业的社会网络特性（网络密度、小团体、中心性和中介性）进行了刻画，然后在此基础上就企业社会资本（中观层面）对定价效率的影响进行了实证分析。第六章考虑了环境因素——区域社会资本（宏观层面），从信任、规范和社会网络三个方面研究了它对定价效率的影响。在实证研究的最后，总结性地对企业家社会资本、企业社会资本以及区域社会资本之间的交互效应、中介效应进行了检验。第四部分为全文结论，包括本文主要观点的总结、研究不足之处的剖析以及未来跟进研究的规划。通过理论分析与实证研究，本文获得了以下五个主要研究结论：（1）整体上，中国股市一级市场定价效率较高，不存在故意压价的现象，抑价主要由二级市场定价效率较低引发价格虚高导致的，但是在不同时期，抑价的具体原因有所不同。（2）企业家社会资本对一、二级市场的定价效率均具有一定的影响，其中企业家拥有的“政府关系”作用最为突出。（3）现阶段，中国上市公司的社会网络资源还比较匮乏，很大程度上导致了企业社会资本仅在一级市场上对定价效率表现出较强的影响力。（4）区域内的信任、规范和社会网络等要素会对定价效率产生不同程度、不同方向的作用，但总体上区域社会资本有利于定价效率的提升。（5）企业家社会资本、企业社会资本及区域社会资本变量之间存在三重交互效应，而中介效应没有获得经验证据的支持。纵观全文，本文的创新之处体现在以下三个方面：第一，思路上。突破现有研究的范式，，将抑价问题引申为对股票市场定价效率的研究。此外，在以定价效率为研究对象时，本研究关注的是“隐性的”、“非正式制度”层面的因素——社会资本对其的影响。这是对现有研究的有益补充。第二，理论上。综合社会学、经济学、管理学及行为金融学等领域的理论，分析了社会资本对定价效率的影响机理。这些理论分析上的尝试，将为该领域未来的研究提供可借鉴的范式。再者，本文在具体的企业家社会资本、企业社会资本等对定价效率作用方面的理论探讨，同样具有一定的借鉴意义。第三，实证上。在估计中国股市定价效率时，考虑了一、二级市场的差异，分别建立了随机边界生产函数模型和随机边界成本函数模型，而并非象之前研究那样使用一套数据一个模型来研究两个市场。另外，本研究分别从企业家、企业及区域三个层面来刻画社会资本，利用现有数据尽可能准确的进行度量。例如，对于企业家社会资本，从企业家拥有的社会地位、声誉及“关系”来进行刻画；对于企业社会资本，则使用整体网分析方法进行测量。这些尝试对于解决社会资本量化问题，均具有一定的参考价值。
[Abstract]:The IPO underpricing is called the "three vision" is one of the hot issues is a long-term concern in academic circles. The underpricing phenomenon exists widely in the world, in the Chinese capital market performance is particularly prominent. According to statistics, Chinese IPO underpricing rate was as high as a direct cause of underpricing. The price is two, separation of the stock market, but the real reason is that pricing efficiency. If the pricing efficiency of serious losses, so the price of new shares will be significantly (up or down) deviate from the "fair price" (), which leads to the separation of issue price and the trading price. However, the existing researches mainly focus on the suppression the price itself, the lack of research on the pricing efficiency.
In the process of Chinese capital market, the listed company executives in the "official retirement" phenomenon has aroused strong interest. The existing research indicates that these "special" executives can bring such as tax incentives, government subsidies for enterprises, financing and other practical benefits. However, the fact that these closely related with the government the executives also can bring more lucrative "hidden benefit", and create the "hidden benefit" is the executives before the retirement accumulation "relationship capital". In reality, some listed company executives from the SFC Fashen or retired officials Committee and other core departments, so they have a "relationship capital" and how it will affect the activities of enterprises, etc.? Famous sociologist pointed out that social capital can reduce transaction costs, improve the economic efficiency. Considering the relationship between social capital is This paper tries to study the pricing efficiency of Chinese stock market from the perspective of social capital, which is an important part of the capital and enlightened by the theory of social capital.
According to the logical structure of this study, the full text is composed of four parts, and the specific contents are as follows:
The first part is the question, is the main content of the first chapter. This part describes the Chinese capital market underpricing phenomenon is extremely high, there are a large number of retired officials as well as a noticeable phenomenon of executives of listed companies. This paper Chinese from these two phenomena in hand, try to underpricing as the research object and in the perspective of social capital, the capital market of China. Based on existing literature found that pricing efficiency is one of underpricing very novel ideas. Finally, this paper established in the perspective of social capital, the pricing efficiency for research object, and on the basis of the researching framework the full text.
The second part is the theoretical analysis, mainly for the content of the second chapter. This part discusses the influence mechanism of social capital pricing efficiency. Starting from the three main factors that affect the stock price, analyzes how the social capital effect on the economic performance of the listed companies, technology innovation and investor sentiment, so as to clarify the path of social theory effect of capital pricing efficiency, finally established the conceptual model of this paper.
The third part of empirical research, mainly for third, fourth, five, six chapters. This part based on the analysis of research ideas and theory in this paper, the relationship between social capital and the pricing efficiency of the empirical research. The third chapter uses the stochastic frontier model to study the China stock market exists and whether there is market demand deliberately inflated the problem of the price, so as to explore the real reason by estimating the pricing efficiency of stock market China underpricing. This chapter is an experimental study on this research ideas and research methods. The social capital is introduced to study the pricing efficiency in from the beginning of the fourth chapter. Based on the study of the role of social capital, build a covers the micro, meso and macro level analysis framework. The fourth chapter from the three aspects of social status, reputation and relationship of Entrepreneur Social Capital (micro level) On the pricing efficiency. The fifth chapter of the China IPO social network characteristics of business and professional software (network density, small groups, center and intermediary) is described. Then, based on the corporate social capital (middle level) on the pricing efficiency of the influence of the empirical analysis. The sixth chapter considers environmental factors: regional social capital (macro level), from the trust, its impact on the pricing efficiency of the three aspects of research norms and social networks. Finally, in the empirical research, summary of the social capital of entrepreneurs, the interaction between corporate social capital and social capital of region, the mediating effect was tested.
The fourth part is the conclusion of the paper, including the summary of the main points, the analysis of the deficiencies and the planning of future follow-up research. Through theoretical analysis and empirical research, the following five main conclusions are obtained.
(1) on the whole, the pricing efficiency of China's first tier stock market is high, and there is no intentional price reduction phenomenon. Underpricing is mainly caused by the low price efficiency of the two tier market, which results in the high price. However, in different periods, the specific reasons for underpricing are different.
(2) the entrepreneurial social capital has a certain impact on the pricing efficiency of the first and two levels of the market, among which the "government relations" of entrepreneurs is the most prominent.
(3) at present, the social network resources of Chinese listed companies are relatively scarce, which largely leads to the strong influence of corporate social capital on the pricing efficiency in the primary market.
(4) trust, norm and social network will play different roles in pricing efficiency, but on the whole, regional social capital will help improve the pricing efficiency.
(5) there is a three interaction effect between entrepreneurial social capital, corporate social capital and regional social capital variables, while mediating effect is not supported by empirical evidence.
Throughout the full text, the innovation of this article is embodied in the following three aspects:
First, thinking. To break through the existing research paradigm, the underpricing extended to the study of stock market pricing efficiency. In addition, in the pricing efficiency as the research object, this study is concerned with the "hidden", "the influence factors of informal institutional level social capital on it. This is beneficial a supplement to the existing research.
Second, theory. Comprehensive sociology, economics, management science and behavior finance theory, analyzes the mechanism of the influence of social capital on pricing efficiency. Try these theoretical analysis, will provide a reference model for future research in this field. Furthermore, based on the specific discussion of entrepreneur's social capital enterprise social capital on the pricing efficiency of the theory, also has certain reference significance.
Third. In the empirical estimation of the pricing efficiency of stock market Chinese, consider the difference between the two, the market level, the stochastic frontier production function model and stochastic frontier cost function model was established, and not like before the study that used a set of data of a model to study the two markets. In addition, this research respectively from the entrepreneur three, the level of enterprise and region to depict the social capital, the use of existing data as much as possible to measure accurately. For example, the social capital of entrepreneurs, the entrepreneurs have the social status, reputation and relationship to depict; for enterprise social capital analysis method is used to measure the whole network. These attempts to solve quantification of social capital, with a certain reference value.

【学位授予单位】：华南理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】