资本市场开放能降低公司定价偏误吗——基于沪港通的准自然实验

Can Capital Market Liberalization Reduce Company Pricing Bias--Quasi-natural Experiment based on Shanghai-Hong Kong Stock Connect

新兴资本市场开放有利于引入境外上市主体与成熟投资者,提升市场资源配置能力,实现市场合理定价。为促进中国资本市场进一步发展,沪港股票市场交易互联互通机制试点(简称"沪港通")于2014年11月17日正式启动。本文利用"沪港通"这一准自然实验,选取2012~2016年沪深两市上市公司数据,建立PSM-DID模型,考察资本市场开放对公司定价偏误的影响。研究结果显示,"沪港通"的开启降低了标的公司定价偏误,这一影响主要体现在定价高估的公司。通过进一步分析,我们发现沪港通开通对标的公司定价偏误的影响主要通过提高股价信息含量和降低公司融资约束两条路径来实现。本文结论表明,资本市场开放有利于增强市场价格发现能力,提高资源配置效率,这对党中央提出的"深化金融供给侧改革""推进资本市场对外开放"系列措施有重要启示。

Liberalization of the emerging capital market is conducive to the introduction of overseas listed entities and mature investors,the improvement of the market’s resource allocation ability and the realization of reasonable market pricing.In order to promote the further development of China’s capital market,the pilot of the Shanghai-Hong Kong Stock Exchange trading interconnection mechanism(referred to as"Shanghai-Hong Kong Stock Connect")was launched officially on November 17,2014.By using the quasi-natural experiment of Shanghai-Hong Kong Stock Connect,we elect the data of listed companies in Shanghai and Shenzhen from 2012 to 2016 and establishes the PSM-DID model to investigate the impact of capital market liberalization on company pricing errors.We find that the implementation of the"Shanghai-Hong Kong Stock Connect"has reduced the pricing bias of the target company,which is mainly reflected in overvalued companies.Further analysis shows that the reduction of pricing bias in the target company is mainly achieved through two ways-the improvement of information content of stock price and the reduction of the company’s financing constraints.In conclusion,our evidence suggests that opening up the capital market could enhance market pricing power and improve resource allocation efficiency.It has important enlightenment on the"deepening financial supply-side reforms"and"promoting the opening of the capital market"proposed by the Party Central Committee.