【作者】 史欣向；

【导师】 梁彤缨；

【作者基本信息】 华南理工大学 ， 企业管理， 2012， 博士

【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。更多还原

【Abstract】 IPO underpricing, regarded as one of "Three Abnormal Phenomena" in IPO activities, is still a hot topic concerned by academics. IPO phenomenon exists worldwide, especially in China capital market. According to statistics, IPO underpricing rate in China is as high as338%. The direct cause of IPO underpricing seems like separation between stock issuing market (primary market) and stock trading market (secondary market), but in fact the real reason is market’s pricing efficiency. If pricing efficiency of sotck market has suffered serious losses, the IPO price will be significantly deviate (up or down) from the "fair price", leading to separation between issuing price and market price. However, most existing papers just focus on representation of IPO underpricing, but ignore market’s pricing efficiency behind IPO.When concerning on China’s capital market, we found an interesting phenomenon of retired government officials in executives of the listed companies. Many studies suggested that these special executives could bring enterprises considerable benefits such as tax incentives, government subsidy, and financial loan. In fact, these executives in close touch with government could also create various invisible benefits. The resource of these invisible benefits is just so-called relation capital of those executives which was accumulated during work in government. In our country, many executives of listed companies have been government officials of CSRC or IPO Approval Commission, thus what an effect their relation capital will have on firm’s IPO activities? Sociological scholars such as Putnam, Coleman suggested that social capital can reduce trade cost, and improve efficiency of economic operations. Considering relation capital itself is one part of social capital, and inspired by social capital theory, this paper will execute a study on IPO pricing efficiency on the perspective of social capital.Firstly, introduce focus of this paper. This is mainly the content of Chapter1. This part presented the phenomenon of abnormal underprcing in China’s stock market, and the other interesting phenomenon, so many former government officials in executives of China’s listed companies. Inspired by these phenomenons, we tried to research IPO underpricing in China’s capital market on the perspective of social capital. Through literature review, we found IPO pricing efficiency is a new idea in study of IPO underpricing. Finally, we decided to focus on IPO pricing efficiency and study on the perspective of social capital. The framework of this paper is founded on above thoughts.Secondly, theoretical analysis. This is mainly the content of Chapter2. This part theoretically explored the mechanism of social capital impacting on IPO pricing efficiency.We analyzed how three main factors of determining stock price were influenced by socialcapital, thereby deduced the theoretical path of social capital affecting IPO pricing efficiency,finally founded concept model of this paper.Thirdly, empirical studies. This includes Chapter3, Chapter4, Chapter5and Chapter6.This part executed empirical studies on the effects of social capital on IPO pricing efficiency.Chapter3used stochastic frontier model to successfully split IPO underpircing into deliberateunderpricing in pirmary market and factitious high-price in secondary market, then exploredreal reasons of IPO underpircing in Chi’nas stock market by estimating IPO pircing eiffciency.The attempt of this chapter is to test our idea proposed in Chapter1and empirical models.Chapter4brought social capital into discussion about IPO pircing eiffciency, mainly showedus the effect of entrepreneuiral social capital (social status, reputation and Guanxi) on IPOpricing efficiency. Chapter5descirbed the characteristics of networks of listed companiesusing professional software Ucinet, and then did an empirical study on relation betweencorporate social capital and IPO efficiency based on data received above. Chapter6analyzedthe effect of social environment, regional social capital, on IPO pircing efficiency, and testedinteraction effect and mediation effect among entrepreneuiral social capital, corporation socialcapital and regional social capital by empirical study.Finally, conclusions of full text and future bluepirnt. This is content of Chapter7,including main conclusions, limitations and future research planning. By theoretical andempirical study, this article received five main conclusions as follow:(1)On the whole, pircing eiffciency is high in pirmary market of Chi’nas stock market,’which suggests deliberate underpircing doesnt exist, and the reason of IPO underpircing isfactitious high-price in secondary market. However, its reason needs to do specific analysisunder different contexts duirng different periods.(2)Entrepreneurial social capital has significant effects on both pirmary market and“”secondary market, especially Guanxi with government among these factors.(3)At present, corporate social capital has significant effects only on pirmary market mostd’ue to lack of resource of social networks in Chinas listed companies.(4)Trust, norms and social networks in regions have different effect on IPO pricingefficiency, but overall regional social capital will help enhancing IPO pircing eiffciency.(5)Tirple interaction effect exists among entrepreneuiral social capital, corporation socialcapital and regional social capital, but no empirical evidences prove mediation effect in ourstudy. Throughout full text of this article, there are three following innovations:First, this article explored the real reasons of IPO underpricing from the perspective of ’market pricing efficiency’, which is an expansion on existing research paradigm. In empirical studies on IPO pricing efficiency, we introduce stochastic production frontier model and stochastic cost frontier model in primary market and secondary market, respectively. This idea is not like former paper using a same model in two different markets.Second, this article introduced sociological theory into corporation finance field, and explored the influence of social capital on IPO pricing efficiency. This is a useful complement to existing researches. In the study of In the study of social capital, this paper built up a systematically analytical framework of entrepreneurs, enterprise and regionally social environment. We supply a little new ideas that other scholars could learn from when also analyze social capital in another field.Third, this paper discussed impacts of social capital, categorized to entrepreneurial social capital, enterprise social capital and regional social capital, on IPO pricing efficiency from both theoretical and empirical aspects. The attempt made in this paper has several reference values for the study of either IPO pricing efficiency or social capital.更多还原