卖空机制与避税：基于A股上市公司的经验证据

发布时间：2018-05-26 01:56

本文选题：卖空机制 + 企业避税　；参考：《中南财经政法大学》2017年硕士论文

【摘要】：中国证监会2010年启动的融资融券试点,为中国金融市场引入了卖空机制。作为金融创新的重要环节,卖空机制已被证明不仅能使得市场有效性有所提升,还会影响微观企业决策,约束经理人的自利行为。然而,在面临2015年中国股市的暴跌以及媒体和广大投资者的“叫停”压力下,证监会开始公开谴责卖空行为,甚至采取了一系列的限制卖空的政策。证监会对卖空者的态度,反映了其对融资融券试点的政策效果的低估。这一评估忽略了宏观经济金融政策与微观企业行为的互动,忽略了卖空机制对微观企业行为的影响。本文首次在卖空限制放开这一情境下,探究微观企业赋税行为的调整,进而为融资融券试点这一金融政策有效性的讨论提供进一步的证据。将证监会2010年启动的融资融券交易试点视为准自然实验,本文利用2006-2015年A股上市公司数据,运用多时点双重差分法考察了市场卖空机制对微观企业避税行为的影响。经验结果表明,融资融券试点实施后,相对于非标的公司而言,可卖空标的公司的避税显著减少,且卖空势力越强,对企业避税的抑制作用就越明显。这表明卖空机制的引入约束了经理人的自利行为,抑制了企业避税。进一步,本文发现在金融市场发育程度低和法律环境不完善的地区,卖空机制对企业避税的约束作用更加明显,表明卖空交易已然成为公司外部治理缺失的一种替代机制。本文的结果还有可能会受到逆向因果和选择偏误等内生性的影响,比如,交税表现好的公司更有可能被选为融资融券标的,这些公司在选入标的前避税就相对较少,因此卖空后避税的减少可能主要来源于两组样本本身避税的差异。运用基于融资融券试点的PSM-DID方法以及使用ETF基金持股作为IV的2SLS方法,本文进一步缓解了内生性的顾虑,再次验证了卖空机制与企业避税之间的因果关系。最后,本文探究了卖空机制影响企业避税的主要途径,发现卖空交易主要通过降低信息不对称来影响企业避税。具体地,不透明的信息环境为企业避税提供了便利,而卖空限制的放开,增加了企业的信息透明度,显著减少了两者的正向相关。因此,以金融创新为主的金融体制改革是促进中国企业健康增长的关键。
[Abstract]:As an important part of the financial innovation, the short selling mechanism has been proved not only to improve the market efficiency, but also to influence the decision of the micro enterprise and restrain the self profit of the managers. However, it is confronted with the violence in China's stock market in 2015. Under the pressure of the media and the "stop" of the majority of investors, the CSRC began to publicly condemn short selling and even adopted a series of policies to limit short selling. The attitude of the SFC to the short sellers reflects the underestimation of the policy effect on the pilot of the margin financing. The impact of short selling mechanism on the behavior of microenterprises is ignored. This paper, for the first time, explores the adjustment of tax behavior in micro enterprises under the situation of short selling restriction, and further provides evidence for the discussion of the effectiveness of the financial policy. For the quasi natural experiment, this paper uses the data of 2006-2015 years A shares listed companies and the multi time point double difference method to investigate the effect of the market short selling mechanism on the tax avoidance behavior of microenterprises. The empirical results show that the tax avoidance of the companies selling empty targets is significantly reduced and the short selling power is more than the non standard companies. The stronger, the more obvious the inhibitory effect on enterprise tax avoidance. This shows that the introduction of short selling mechanism constrains the self profit behavior of managers and restrains tax avoidance. Further, this paper finds that the short selling mechanism has more obvious restraining effect on tax avoidance in the areas where the financial market is low and the legal environment is not perfect. As an alternative mechanism for the lack of corporate governance, the results of this article may also be affected by the endogenous effects of adverse causal and selective errors, such as those with good tax performance, which are more likely to be selected as financing margin targets, and these companies are relatively less tax evasion before the entry of the standard, thus reducing the possibility of tax avoidance after short selling. It is derived from the differences in tax avoidance between the two groups of samples. Using the PSM-DID method based on the financing margin pilot and the use of the ETF fund holding as the 2SLS method of IV, this paper further alleviates the endogenous concerns and again verifies the causal relationship between the short selling mechanism and the enterprise tax avoidance. The main way of tax is to find that short selling mainly affects enterprise tax avoidance by reducing information asymmetry. Specifically, the opaque information environment provides convenience for enterprises to avoid tax avoidance, and the opening of short selling limits has increased the transparency of the enterprise information and significantly reduced the positive correlation between the two. Therefore, the financial system based on financial innovation is changed. Leather is the key to promote the healthy growth of Chinese enterprises.
【学位授予单位】：中南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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