地方关系承销与市场定价有效性研究——基于承销商独立性视角  

Local Relationship Underwriting and Market Pricing Efficiency

作　　者：余峰燕[1] 梁琪[2] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]南开大学经济学院,天津300071

出　　处：《金融研究》2017年第5期143-159,共17页Journal of Financial Research

基　　金：国家自然科学基金项目(71272183;71403183;71302097;71672123);国家社会科学基金重大项目(09&ZD037)的资助

摘　　要：承销业务在我国证券市场上具有明显的"属地性"特征,本文采用选择偏差修正模型探讨了这种"属地性"的地方关系承销现象。研究发现:第一,国有企业、承销商声誉较低的小券商更可能参与地方关系承销业务,而在市场化发展程度较低的地区,地方关系承销的发生概率较高。第二,地方关系承销能显著降低股票IPO折价率,且地方关系承销的股票具有显著的财务业绩优势,说明地方关系资产具有价值且能被市场有效识别。第三,本文基于地方政府对承销双方区域管辖权、股权角度刻画地方关系密度,发现地方关系密度与承销股票IPO折价率呈倒U型关系,当且仅当地方政府是发行人实际控制人时,地方关系承销存在正业绩效应。研究结论为学术界剖析中国式关系承销"异象"、监管部门改善券商执业质量提供了理论基础和经验证据。Underwriting in Chinese stock market has the characteristic of ＇ local oligopolies＇. Utilizing selection bias adjustment model, this paper investigates the local relationship underwriting in China. We find that, firstly SOEs and investment banks with poor reputation are more likely to engage in the local relationship underwriting, and local relationship underwriting takes place more frequently in the less market - oriented regions. Secondly, local relationship underwriting can significantly reduce IPO underpricing and improve the issuers＇ financial performance, which means that local relationship has played a certification role and investors have the ability to identify such relationship capital. Thirdly, using territorial jurisdiction and ownership as the relationship intensity measurement, we find an inverted U - shaped relation between the local relationship intensity and IPO underpricing, and only when the local governments serve as the issuers＇ final controller can the positive performance effects be observed. Our findings have important policy implications for improving the quality of underwriting services in Chinese stock market.

关 键 词：地方关系承销 关系密度 承销商独立性 

分 类 号：F832.51[经济管理—金融学]