融资融券制度与策略性信息披露——基于业绩预测精确度的证据

Margin Trading,Short Selling and Strategic Corporate Disclosure:Evidence from Specificity of Management Forecasts

本文从业绩预测披露形式的角度入手,实证分析了融资融券制度是否引起公司的策略性信息披露行为。基于我国融资融券交易的开放这一自然实验构建双重差分模型,研究发现,相比于非融资融券标的公司,标的公司在被列入融资融券标的名单之后,会采用更加模糊的形式披露坏消息的业绩预测,而好消息预测的披露则更加精确。进一步研究表明,上述影响在强制性披露、信息环境透明度较低或高管薪酬对资本市场业绩的敏感性较高时更加明显。本文从策略性信息披露的角度为我国融资融券制度的实施影响提供了新的证据。

This paper investigates how margin trading and short selling affect the specificity choices of corporate disclosure.Using the margin-trading and short-selling program as a natural experiment to construct a difference-in-difference model,we find treatment firms,compared with control firms,tend to disclose less specific forecasts of bad news but increase the specificity of good news.Further analyses show that the relation between the program and management forecast specificity is more significant when the forecasts are mandatory,the information environment is more opaque,or the sensitivity between top executives’payment and stock market performance is higher.This paper provides new evidence for the economic consequences of margin trading and short selling from the perspective of strategic information disclosure.