【作者】 徐春波；

【导师】 何问陶；

【作者基本信息】 暨南大学 ， 金融学， 2008， 博士

【摘要】 本文旨在全面系统研究承销商声誉机制。论文把承销商声誉机制分为市场约束机制和监管约束机制,认为它们整体构成了声誉机制的两个方面。对于市场约束机制,在证券承销商声誉机制有效发挥的情况下,可以内生出以下三种关系。这三种关系是声誉市场约束机制的统一整体,构成了一个分离均衡。一是证券承销商声誉与发行企业质量之间的关系,在一个完善的证券发行市场中,在声誉机制的作用下,出于对自己声誉和未来收益的关切,高声誉的证券承销商往往会承销高质量企业的证券,因此从经验上而言,证券承销商的声誉与发行企业质量之间应该存在一种正相关关系,即越是声誉好的证券承销商,其所承揽的发行业务越有可能是质量好的企业的发行业务。二是承销商声誉资本和IPO定价的关系。如果证券承销商的声誉机制起作用,则越是声誉好的证券承销商,就越能够缓解发行企业和投资者之间的信息不对称的程度,由于IPO抑价是证券发行市场中信息不对称的一个直接的后果,因此从理论上而言,声誉越好的证券承销商所承销的IPO证券的抑价水平也应该越低。三是承销商声誉与承销服务费用的关系。因为市场为高声誉承销商提供更高的承销服务费用是对承销商建立和维持声誉的一个补偿和激励,也是促进承销商提供高质量承销服务的持续动力。因此,高声誉证券承销商可以获得比低声誉证券承销商更高的承销费用是承销商声誉资本价值的必要要求和基础,二者呈正相关关系。由于承销商声誉具有不可挽回性,高声誉承销商在理性地权衡了采取舞弊行为能获得的收益与可能面临的直接或间接损失以后,必然会约束自身的机会主义行为,以维护长期积累起来的声誉资本价值。而高效率的外部监管会对有舞弊行为的承销商做出直接或间接的处罚。因此,在成熟的市场监管体制下,舞弊的承销商必须付出巨大的代价,而高声誉承销商则会极力维护自身的声誉,避免运作过程产生任何的机会主义行为。文中用三种不同的标准来衡量承销商声誉,分别是承销家数、承销份额和综合业务量。选取了1999市场化发行制度改革后的数据对上述四个方面进行实证研究。而且通过不同阶段的数据来验证是不是随着时间的推移,我国承销商声誉机制的发挥有更好的效果。结果发现些有趣且有意义的结论。概括地讲,前两个关系在我国得不到实证结果的验证,而承销声声誉与承销费用之间的关系得到一定程度的市场经验数据的支持。实证结果表明在我国证券发行市场中,承销商声誉与IPO企业质量之间并不存在“认证中介理论”所表明的那种正相关关系,承销商声誉与IPO抑价水平负相关的关系在我国证券发行市场中也没有得到验证。承销服务费与承销商声誉值正相关,实证结果显著,但同时承销费用率对承销商声誉值的系数非常小,显示其有效性也不高。结合前两者的研究,出现一个很有意思的结果,就是在我国,虽然承销商的信息生产和认证中介的作用并没有显现出来,但其收取承销费的积极性却很高。而且综合业务量的承销费用声誉机制效果更好,说明了在目前我国的承销市场上,综合业务量大的券商往往可以收取更多的承销费用。对于声誉机制的监管方面,文中运用事件研究法得出的结果表明,中国并不存在国外成熟市场上存在的承销商和发行企业之间的声誉关联性。监管当局对承销商虚假上市违规行为的稽查并没有带来显著的市场反应,不具有明显的信息含量。在对声誉的监管机制的实证中,本文用受到证监会处罚的承销商承销股票池的市场反应来做验证,实证结果也表明了我国承销商声誉机制的监管方面是无效的。本文的四个方面的实证结果说明,在我国证券发行市场中承销商声誉机制不具有有效性。承销商声誉机制的失效不仅反映了当前我国证券发行市场效率低下,同时它也是我国证券行业行为混乱的重要原因之一。鉴于上述我国证券承销商声誉机制有效性不足的原因和声誉机制的一般原理,结合中国证券发行市场制度变迁的背景,本文最后探讨了重塑我国证券承销商的声誉机制、规范我国证券承销商行为的政策措施。更多还原

【Abstract】 The dissertation studies the reputation effect of Chinese underwriter on the stock market comprehensively .The dissertation argues that underwriter reputation effect can be analyed from two aspect of market discipline and regulation policy which construct the whole framework of underwriter reputation. As to market discipline , if the mechanism is effective, there will be three kinds of relationships in separate equilibrium which constitute the whole of market discipline. First ,underwriter’s rank of reputation is positive with the quality of issuing firm. Under the effect of underwriter reputation,in order to get more future income and reputation capital, the more prestigious investment banker is inclined and be able to underwriter security of high quality firm. Thereby the relationship between underwriter’rank of reputation and quality of issuing firm is positive. Second ,underwriter’ s rank of reputation is negative with IPOs underpricing. IPOs underpricing is direct result of asymmetric information in security issuing marker. The less information asymmetry ,the lower IPO underpricing. While a prestigious underwriter can reduce the ex ant uncertainty and alleviate the degree of information asymmetry, therefore in theory IPO underpricing underwrited by more prestigious investment banker will be smaller than by a common investment banker. Thirdly, underwriter reputation rank is positive with underwriting service’s fee. The fact that underwriter with higher reputation will get more underwriting fee is a compensation and encouragement for underwriter to built and maintain reputation, it also stimulate them to provide high quality underwriting services.As to regulation policy of underwriter reputation, the more prestigious underwriter is sure to restrict speculative behaviors to guard the value of reputation capital after weighing the short term of advantage and direct penalty and indirect long term loss. Under the condition of effective market regulation system, underwriter will maintain his reputation to escape big price of the speculative behavior.The dissertation use three kind of index, the amount of underwriter issuing underwriter market share and integrated amount of operation to measure reputation of underwriter respectively. Then,this dissertation empirically analysis underwriter’s reputation in our country’s stock market after 1999. Time is divided into three-stage to show whether the reputation mechanism is more effective along with time going. The empirical results show that the first two theoretical relationship of market discipline are not confirmed while the third is confirmed slightly. First,there is no positive relationship between the reputation rank of underwriter and quality of issuing firm which is proved by certifying agent theory。Secongd the relationship that the reputation rank of underwriter is negative with IPOs underpricing is not significant, which means that underwriter’reputation can not alleviate information asymmetry in security market. Thirdly, although underwriting fee is positive with underwriter’s reputation, the sensitivity is too small. According to the three results mentioned above, some interesting conclusions can be drawed that in our security market, although underwriters’ function of information production and certifying agent has no effect, they are zealous of receive underwriter fee. The fact that the empirical test of intergrated amount of operation is better shows at present underwriter market, the bigger security corporation can ask for more underwriter fee.As to regulation policy, my case study indicates the security authority brings negative effect on the reputation of underwriter by the impact on its market share. In this case study, however, the relationship shown in the mature market between the underwriter’s reputation and IPO clients’ reputation has not been verified. The effect of penalties imposed on underwriters’reputation by supervision act is weak.To sum up ,the empirical test from four aspects of underwriter reputation indicates that function of underwriter reputation mechanism is not effective in our security market, which is an important reason for inefficiency of our security issuance market and underwriter conduct disorder.On the reason of inefficiency of our underwriter reputation mechanism and the theory of reputation, in accord with background of institution transition and evolution of our security issuance market, this dissertation suggest some measures to improve reputation effect and reestablish underwriter’s reputation mechanism and underwriter operation behavior.更多还原