卖空压力与公司现金持有——基于中国卖空管制放松的准自然实验证据

Short Selling Pressure and Corporate Cash Holdings:Evidence from A Quasi-natural Experiment

使用中国股票市场的卖空管制放松政策作为准自然实验,本文考察由此产生的卖空压力对公司现金持有的治理效应。使用双重差分方法的研究结果表明,卖空管制放松使公司现金持有程度降低了11.23%;横截面差异检验结果表明,公司面临的产品市场竞争程度越低、破产风险越高或者公司自身的融资约束程度越低,卖空管制放松对公司现金持有的治理效应越强;卖空管制放松显著提升了公司现金持有的市场价值。

Investors can sell short on designated stocks on China stock market since March 2010 when the CSRC relieved the short sale constraint,which provides a quasi-natural experiment to examine whether short selling pressure affects corporate cash holdings.Using the sample of Chinese listed firms during 2007-2014,our results show that short selling pressure from removing of the short sale constraints has a negative effect on corporate cash holdings.Further,we find that the negative effect from short sale is much stronger for firms in the less competitive industries,with higher bankruptcy risk and lower financial constraints.The results also demonstrate that removal of the short sale constraints can increase the value of cash holdings.Our findings provide further insight into discipline effect of short sale on corporate insiders in pursuing the private benefits through holding excessive cash.