本文關(guān)鍵詞：基于社會(huì)資本視角的中國(guó)股市IPO定價(jià)效率研究　出處：《華南理工大學(xué)》2012年博士論文　論文類型：學(xué)位論文

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【摘要】：抑價(jià)被稱為新股發(fā)行的“三大異象”之一，是學(xué)術(shù)界長(zhǎng)期關(guān)注的熱點(diǎn)問(wèn)題。抑價(jià)現(xiàn)象在全世界范圍內(nèi)廣泛存在，在中國(guó)資本市場(chǎng)上表現(xiàn)得尤為突出。據(jù)統(tǒng)計(jì)，中國(guó)新股發(fā)行的抑價(jià)率一度高達(dá)。導(dǎo)致抑價(jià)的直接原因是一、二級(jí)股票市場(chǎng)的價(jià)格分離，但真正的原因在于定價(jià)效率。如果定價(jià)效率損失嚴(yán)重，那么新股價(jià)格就會(huì)明顯（向下或向上）偏離“公平價(jià)格”（），從而導(dǎo)致發(fā)行價(jià)格與交易價(jià)格的分離。然而，現(xiàn)有的研究大多關(guān)注抑價(jià)本身，缺乏對(duì)定價(jià)效率的研究。 在研究中國(guó)資本市場(chǎng)的過(guò)程中，上市公司高管中的“退休官員”現(xiàn)象引起了人們濃厚的興趣�，F(xiàn)有的研究表明，這些“特殊”的高管可以為企業(yè)帶來(lái)諸如稅收優(yōu)惠、政府補(bǔ)助、融資貸款等實(shí)際利益。然而，事實(shí)上這些與政府緊密聯(lián)系的高管還可以為企業(yè)帶來(lái)更豐厚的“隱性利益”，而創(chuàng)造這些“隱性利益”的正是這些高管在退休之前積累的“關(guān)系資本”�，F(xiàn)實(shí)中，一些上市公司的高管就是來(lái)自證監(jiān)會(huì)或發(fā)審委等核心部門的退休官員，那么他們所擁有的“關(guān)系資本”又會(huì)如何影響企業(yè)的活動(dòng)？、等著名社會(huì)學(xué)家指出，社會(huì)資本可以降低交易成本，提高經(jīng)濟(jì)運(yùn)行效率。考慮到關(guān)系資本是社會(huì)資本的重要組成部分，以及受社會(huì)資本理論的啟發(fā)，本文嘗試從社會(huì)資本的視角，對(duì)中國(guó)股市的定價(jià)效率進(jìn)行研究。 根據(jù)本研究的邏輯結(jié)構(gòu)，全文由四個(gè)部分組成，具體內(nèi)容如下： 第一部分是提出問(wèn)題，主要為第一章的內(nèi)容。這部分闡述了中國(guó)資本市場(chǎng)抑價(jià)長(zhǎng)期畸高的現(xiàn)象，以及另外一個(gè)引人注目的現(xiàn)象——中國(guó)上市公司高管中存在著大量的退休官員。本文從這兩個(gè)現(xiàn)象入手，嘗試以抑價(jià)為研究對(duì)象，以社會(huì)資本為視角，研究中國(guó)的資本市場(chǎng)。通過(guò)對(duì)現(xiàn)有文獻(xiàn)的梳理發(fā)現(xiàn)，定價(jià)效率是一個(gè)探討抑價(jià)問(wèn)題很新穎的思路。最終，本文確定了以社會(huì)資本為視角，以定價(jià)效率為對(duì)象的研究思路，并以此為基礎(chǔ)確定了全文的研究框架。 第二部分進(jìn)行理論分析，主要為第二章的內(nèi)容。這部分從理論上探討了社會(huì)資本影響定價(jià)效率的機(jī)理。從影響股票價(jià)格的三個(gè)主要因素入手，分析了社會(huì)資本如何作用于上市公司的經(jīng)濟(jì)績(jī)效、技術(shù)創(chuàng)新以及投資者情緒，從而理清了社會(huì)資本影響定價(jià)效率的理論路徑，最終建立了本文的概念模型。 第三部分展開(kāi)實(shí)證研究，主要為第三、四、五、六章的內(nèi)容。這部分根據(jù)本文的研究思路及理論分析，對(duì)社會(huì)資本與定價(jià)效率的關(guān)系進(jìn)行了實(shí)證研究。第三章運(yùn)用隨機(jī)邊界模型研究了中國(guó)股票發(fā)行市場(chǎng)是否存在故意壓價(jià)以及交易市場(chǎng)是否存在價(jià)格虛高的問(wèn)題，從而通過(guò)估計(jì)定價(jià)效率探尋中國(guó)股市抑價(jià)的真正原因。該章是對(duì)本文研究思路及主要研究方法的一個(gè)探索性試驗(yàn)。從第四章開(kāi)始將社會(huì)資本引入到定價(jià)效率的研究中。本文在研究社會(huì)資本作用時(shí)，構(gòu)建了一個(gè)涵蓋微觀、中觀及宏觀的多層次分析框架。第四章從社會(huì)地位、聲譽(yù)以及“關(guān)系”三個(gè)方面研究了企業(yè)家社會(huì)資本（微觀層面）對(duì)定價(jià)效率的作用。第五章使用專業(yè)軟件對(duì)中國(guó)新股發(fā)行企業(yè)的社會(huì)網(wǎng)絡(luò)特性（網(wǎng)絡(luò)密度、小團(tuán)體、中心性和中介性）進(jìn)行了刻畫，然后在此基礎(chǔ)上就企業(yè)社會(huì)資本（中觀層面）對(duì)定價(jià)效率的影響進(jìn)行了實(shí)證分析。第六章考慮了環(huán)境因素——區(qū)域社會(huì)資本（宏觀層面），從信任、規(guī)范和社會(huì)網(wǎng)絡(luò)三個(gè)方面研究了它對(duì)定價(jià)效率的影響。在實(shí)證研究的最后，總結(jié)性地對(duì)企業(yè)家社會(huì)資本、企業(yè)社會(huì)資本以及區(qū)域社會(huì)資本之間的交互效應(yīng)、中介效應(yīng)進(jìn)行了檢驗(yàn)。 第四部分為全文結(jié)論，包括本文主要觀點(diǎn)的總結(jié)、研究不足之處的剖析以及未來(lái)跟進(jìn)研究的規(guī)劃。通過(guò)理論分析與實(shí)證研究，本文獲得了以下五個(gè)主要研究結(jié)論： （1）整體上，中國(guó)股市一級(jí)市場(chǎng)定價(jià)效率較高，不存在故意壓價(jià)的現(xiàn)象，抑價(jià)主要由二級(jí)市場(chǎng)定價(jià)效率較低引發(fā)價(jià)格虛高導(dǎo)致的，但是在不同時(shí)期，抑價(jià)的具體原因有所不同。 （2）企業(yè)家社會(huì)資本對(duì)一、二級(jí)市場(chǎng)的定價(jià)效率均具有一定的影響，其中企業(yè)家擁有的“政府關(guān)系”作用最為突出。 （3）現(xiàn)階段，中國(guó)上市公司的社會(huì)網(wǎng)絡(luò)資源還比較匱乏，很大程度上導(dǎo)致了企業(yè)社會(huì)資本僅在一級(jí)市場(chǎng)上對(duì)定價(jià)效率表現(xiàn)出較強(qiáng)的影響力。 （4）區(qū)域內(nèi)的信任、規(guī)范和社會(huì)網(wǎng)絡(luò)等要素會(huì)對(duì)定價(jià)效率產(chǎn)生不同程度、不同方向的作用，但總體上區(qū)域社會(huì)資本有利于定價(jià)效率的提升。 （5）企業(yè)家社會(huì)資本、企業(yè)社會(huì)資本及區(qū)域社會(huì)資本變量之間存在三重交互效應(yīng)，而中介效應(yīng)沒(méi)有獲得經(jīng)驗(yàn)證據(jù)的支持。 縱觀全文，本文的創(chuàng)新之處體現(xiàn)在以下三個(gè)方面： 第一，思路上。突破現(xiàn)有研究的范式，，將抑價(jià)問(wèn)題引申為對(duì)股票市場(chǎng)定價(jià)效率的研究。此外，在以定價(jià)效率為研究對(duì)象時(shí)，本研究關(guān)注的是“隱性的”、“非正式制度”層面的因素——社會(huì)資本對(duì)其的影響。這是對(duì)現(xiàn)有研究的有益補(bǔ)充。 第二，理論上。綜合社會(huì)學(xué)、經(jīng)濟(jì)學(xué)、管理學(xué)及行為金融學(xué)等領(lǐng)域的理論，分析了社會(huì)資本對(duì)定價(jià)效率的影響機(jī)理。這些理論分析上的嘗試，將為該領(lǐng)域未來(lái)的研究提供可借鑒的范式。再者，本文在具體的企業(yè)家社會(huì)資本、企業(yè)社會(huì)資本等對(duì)定價(jià)效率作用方面的理論探討，同樣具有一定的借鑒意義。 第三，實(shí)證上。在估計(jì)中國(guó)股市定價(jià)效率時(shí)，考慮了一、二級(jí)市場(chǎng)的差異，分別建立了隨機(jī)邊界生產(chǎn)函數(shù)模型和隨機(jī)邊界成本函數(shù)模型，而并非象之前研究那樣使用一套數(shù)據(jù)一個(gè)模型來(lái)研究?jī)蓚�(gè)市場(chǎng)。另外，本研究分別從企業(yè)家、企業(yè)及區(qū)域三個(gè)層面來(lái)刻畫社會(huì)資本，利用現(xiàn)有數(shù)據(jù)盡可能準(zhǔn)確的進(jìn)行度量。例如，對(duì)于企業(yè)家社會(huì)資本，從企業(yè)家擁有的社會(huì)地位、聲譽(yù)及“關(guān)系”來(lái)進(jìn)行刻畫；對(duì)于企業(yè)社會(huì)資本，則使用整體網(wǎng)分析方法進(jìn)行測(cè)量。這些嘗試對(duì)于解決社會(huì)資本量化問(wèn)題，均具有一定的參考價(jià)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.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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