融资融券制度与企业投资行为——基于“外部治理”和“信息学习”渠道的分析

Margin Trading/Short Selling and Corporate Investment——Analysis Based on the "External Governance" and "Information Learning" Channels

本文以融资融券制度分阶段扩容作为“准自然实验”,采用双重差分法实证发现融资融券制度的引入提升了投资-Q敏感度。不管股价是否有下行趋势,该种作用都存在。本文发现在公司治理水平较低的企业中,融资融券对投资-Q敏感度的提升作用更大,这说明融资融券制度发挥了外部治理机制的作用。但同时,即使在公司治理水平较高的企业中,融资融券制度同样显著提升了投资-Q敏感度。本文进一步发现,在分析师(或研报)关注度更高、融资约束更弱、高管持股比例更高的企业中,融资融券对投资-Q敏感度的提升作用显著更大。这意味着融资融券制度的引入强化了管理层从股价变动中“学习”信息的激励。本文研究结果表明,融资融券通过强化外部投资者释放私人信息的能力,提升股价信息含量,分别从作为外部治理机制约束投资(“间接渠道”)和向管理层传递私人信息(“直接渠道”)两个渠道影响企业投资行为。

This paper examines the impact of China's margin trading and short selling pilot program on corporate investment. Using a difference-in-differences empirical setting, we find that pilot firms show a significantly higher investment sensitivity with respect to Tobin's Q, no matter whether the stock is experiencing downward pressure. The increase in investment sensitiv ity is more pronounced in those firms with worse internal governance, indicating that the program impacts corporate invest ments as an external governance mechanism. But even in firms with better internal governance, the program enhances invest ment sensitivity. We also find that the increase in investment sensitivity is concentrated in firms with more attention from secu rities analysts, weaker financial constraints and larger management ownership, indicating that the program enhances managers ' incentives to learn information from stock price changes to adjust investment decisions. These results indicate that the margin trading / short selling program enables outside investors to better express their information and improves price informativeness. It influences corporate investment by not only improving external governance (an "indirect” channel), but also enhancing man agers ' incentives to learn information (a "direct” channel).