卖空压力、风险防范与产品市场表现:企业利益相关者的视角

Short Sale Price Pressure,Risk Aversion and Product Market Performance:Insights from Firm Stakeholders

2015年股市异常波动发生以来,各界对卖空机制的利弊得失进行了广泛探讨。值得注意的是,发现卖空机制正面作用的研究较多集中于股东视角。作为对该领域文献的补充,本文从利益相关者视角出发,考察企业日常经营活动的其他参与者如何应对卖空压力上升的潜在风险。以中国资本市场分批次放开卖空管制为准自然实验的研究表明,卖空压力的上升会使得上市企业的产品市场表现变差。这一关系在引入卖空机制带来的市场负面反应更强时,以及在企业缺乏较为稳定的大客户时更为明显,而在外部信息治理作用较强时会有所缓解。可见,在交易者对卖空机制相对陌生、投资者保护较为薄弱的市场环境下,卖空压力会导致一些利益相关者对企业前景产生负面预期,进而出于风险规避的考虑进行经营业务调整。本文的发现表明,要完善资本市场基础制度,做好政策出台对金融市场影响的评估,切实防范化解金融风险。加强对薄弱环节监管,防范市场操纵和股价异常波动,充分发挥市场机构的信息中介作用,能够引导市场参与者形成合理预期,从而更好地体现卖空的外部治理机制,推动上市企业质量的提升和实体经济的发展。

Since the occurrence in 2015 of abnormal fluctuations in the Chinese stock market,people have extensively discussed the merits of allowing short sales.This debate is not new.Although academics largely believe that short sales encourage price discovery and improve market efficiency,many practitioners in financial markets in developed countries such as the U.S.blame short sales for creating downward price pressure and even panics in the capital market,such as the stock price crashes during the 2008 financial crisis.Many countries have introduced short sale bans since the 2008 crisis.As the Chinese stock market also constrained short sales to an extent after the abnormal stock market fluctuations in mid-2015,it is important to evaluate the benefits and costs of short sales immediately before the new policies were enacted.Studies finding a positive role of short sales largely adopt the view of firm shareholders who own the residual claims to the firm and have tendencies to undertake risk.The literature documents that short sales can improve price efficiency and investment efficiency for listed firms both in China and in the U.S.The preferences of stakeholders who have fixed claims to the firm and are more risk-averse than shareholders are by and large ignored.This paper adds to the literature by examining how other participants in a firm s daily operations react to short sale price pressure in view of the firm s stakeholders.I focus on customers as a representative stakeholder involved in a firm s daily operations to shed light on how capital market regulations affect a firm s product market performance.The Chinese stock market initiated a pilot program for short sales in 2010 in a staggered manner.Using the staggered introduction of short sales to the Chinese stock market as a quasi-natural experiment,I find that increased short sale price pressure decreases the product market performance of listed firms.I also explore cross-sectional differences in firm characteristics.Further analysis indicates that the baseline relation is more pronounced when the firm experiences a more negative market reaction around the time of being included in the short-sales list,suggesting that stakeholders have more adverse attitudes toward a firm s prospects when the market believes that the introduction of short sales hurts the firm s value.This relation is attenuated when the firm has more concentrated large customers who have private connections with the firm and who are less likely to learn about the firm sprospects from the public information contained in the firm s stock prices.In addition,the main effect is muted if the external information governance effect of analysts is stronger.I provide suggestive evidence that short sale price pressure can result in real changes in the structure of customers:although firms customers become less stable,major customers play a more prominent role.The main findings are robust to a series of alternative model specifications.My overall findings are different from those obtained by studies of the U.S.stock market,where short sale price pressure can improve a firm s product market performance.My findings indicate that for markets in which investors are unfamiliar with short sales,short sale price pressure can lead to risk averse reactions by stakeholders,reducing the positive effect of external governance provided by short sellers.During the sample period,short sellers enjoy advantages in trading strategies,which creates space for them to manipulate stock prices and dampen investors confidence.Intensified monitoring of the market is needed to reduce the threat of bear raids as perceived by stakeholders to protect the rights of market participants,support firm growth and encourage the development of the real economy.This paper also highlights the importance of strengthening the supervision of weak links and improving the awareness of risk prevention during capital market reforms.