我国商业银行综合经营与股票市场资源配置效率研究—基于承销商独立性视角

The frequent occurrence of securities firms' dishonesty and violation has provoked great controversy in academe and industrial circles recently. Based on China's comprehensive financial operation reformation, our project plans to study this phenomenon from the perspectives of underwriters' independence. Under the institutional environment which the underwriters and banks have been operating in, we try to improve the existing researches in two aspects. Firstly, our project has constructed more generalized models for measuring underwriter's independence, which not only reflects the underwriter-issuer mutual selecting decision, the concern of the reputation gap, but also offers a quantitative measure for the extent of the underwriter's independence by focusing on the lending relationship intense. Secondly, we have analyzed the effect of lending technologies, organization form (including the structure of syndicate underwriting) on the underwriters' independence, as well as the role of which on the underwriters' dishonest and violating behaviors and market resource allocation efficiency. Our project not merely provides a theoretical quality improvement direction for the securities firms when there is a general lack of reputation mechanism in Chinese underwriting industry, but offers theoretical background and empirical evidences for the authorities to evaluate the financial industry's synthetic operation results and to optimize supervision measures.

最近频发的券商失信违规现象，引发了学术界和实务界的激烈讨论。本课题结合金融业综合经营改革从承销商独立性角度对这一现象展开了分析。本课题特别强调国内券商、银行所处背景的影响，并主要从两个方面拓展了现有研究。一是构建了更一般化的承销商独立性的度量方法，不仅突出了发行人与承销商的选择决策及声誉差异的影响，还从银企信贷依赖性角度定量地测度承销商独立性。二是分析了银行贷款技术、组织形式（包括承销团结构）对承销商独立性的影响，以及这种互动对承销商失信违规行为、市场资源配置效率的影响。本课题不仅有助于在我国承销商声誉机制普遍缺失的情形下，为国内券商质量改善提供理论上的依据和改进方向，还为监管当局评估金融业综合经营的后果、优化监管措施提供了理论基础和经验证据。

【摘要】在金融业混业经营背景下，关系承销问题在证券市场中普遍存在。其中较为重要的有债权关系承销、股权关系承销以及地方关系承销，国内外对这类问题的研究非常重视。我们针对这些承销商独立性问题进行了深入研究。首先，我们在系统梳理我国债权关系承销组织形式演进历史的基础上，考察了我国股票市场上的债权关系承销效应，发现商业银行介入证券承销业务并不会恶化市场资源配置，而制度环境、组织形式对关系承销效应发挥具有重要作用。其次，针对我国承销市场的“属地性”特征，我们采用选择偏差修正模型探讨了地方关系承销现象，得到制度因素是地方关系承销现象存在的主要驱动因素，地方关系资本在中国股票IPO市场中具有价值鉴证功能，地方关系资本能被市场参与者有效识别等重要结论。最后，针对中国券商直投业务改革背景，我们研究了股权关系承销问题，我们构建了不对称信息下的多期博弈模型，并根据模型推论进行了实证检验，发现股权关系承销更容易引发利益冲突的重要结论。