卖空机制是否降低了股价高估?——基于投资者异质信念的视角

Does short selling decrease stock overvaluation:A perspective of heterogeneous beliefs

从异质信念的视角出发,以我国融券标的股票为研究样本,实证研究了股票卖空机制对股价高估的影响.研究发现:首先,卖空机制可以通过反映投资者的悲观情绪或负面信息降低股价高估;其次,卖空机制对股价高估的影响随着卖空机制的逐步深入逐步加深;最后,卖空者不仅会对市场上的公开信息进行加工处理,而且会通过挖掘公司的私有信息进行交易,这都有利于信息更好的融入股价.进一步研究表明卖空量越大,投资者越能够通过卖空反映其悲观情绪或负面信息降低股价高估;卖空者能够识别出高估的股票且具有私有信息.本文的研究为国内外关于卖空机制是否提高股票市场定价效率的争论提供了新的直接证据.同时,本文关于卖空者信息来源的结论也统一了前人在这两个问题上的争论.

Exploiting the staggered removal of short-sale bans in China, the paper examines how short-selling affects share overvaluation from the perspective of heterogeneous beliefs. The study finds that removal of short- sale bans can decrease share overvaluation. Short-sellers use both public information and private information to trade, contributing to the price discovery. Furthermore, short-sellers release more pessimism or negative infor- mation by short selling more stocks, which can decrease share overvaluations. Short-sellers trade to decrease overvaluation by selling stocks with higher contemporaneous returns and private information. The study pro- vides new and direct evidences for worldwide arguments on this problem： whether short-selling can improve stock pricing efficiency or not. At the same time, this study provides a unified conclusion to the information sources of short-sellers.