卖空与信息披露:融券准自然实验的证据

发布时间：2018-05-26 19:48

本文选题：卖空机制 + 信息披露　；参考：《金融研究》2017年09期

【摘要】：本文利用2006-2015年深交所A股上市公司数据,实证检验了卖空机制对信息披露质量的影响。在控制了一系列可能的影响因素,并使用倾向得分匹配、安慰剂检验和多个双重差分缓解了内生性问题以后,本文发现引入卖空机制显著提高了标的公司的信息披露质量。本文进一步使用融券余额作为卖空势力的测度指标并将ETF基金持股比例作为其工具变量来控制内生性后,以上结果依然稳健。进一步分析发现,在中介市场发育程度较高和法制环境较好的地区,做空对信息披露质量的改善作用更明显。最后,本文探究了做空提升信息披露质量的途径,证明卖空可以通过增加对管理层的激励和降低信息不对称来约束经理人的自利行为,进而提高上市公司的信息披露质量。因此,继续放开融券,并完善其相关制度,可以充分发挥卖空在中国资本市场上的公司治理作用。
[Abstract]:Based on the data of A share listed companies in Shenzhen Stock Exchange from 2006 to 2015, this paper empirically tests the effect of short selling mechanism on the quality of information disclosure. After controlling a series of possible influencing factors and using propensity score matching placebo test and multiple double differences to alleviate the endogenous problem this paper finds that the introduction of short selling mechanism can significantly improve the quality of information disclosure of the underlying company. In this paper, the margin balance is further used as a measure of short selling power and the ETF fund shareholding ratio as its tool variable to control the endogenous, the above results are still robust. Further analysis shows that in the areas where the intermediary market has a higher degree of development and the legal environment is better, short play a more obvious role in improving the quality of information disclosure. Finally, this paper explores the ways to improve the quality of information disclosure by short selling, which proves that short selling can restrain managers' self-interest behavior by increasing incentive to management and reducing information asymmetry, and then improve the quality of information disclosure of listed companies. Therefore, to continue to liberalize margin and improve its related system can give full play to the corporate governance role of short selling in China's capital market.
【作者单位】：中南财经政法大学金融学院;香港大学中国金融研究中心;
【基金】：国家自然科学基金(批准号:71372212) 产业升级与区域金融湖北省协同创新中心对本研究的资助
【分类号】：F832.51

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