卖空机制对上市公司资本配置效率的影响——基于融资融券制度的准自然实验研究

Influence of the Short Selling Mechanism on the Capital Allocation Effectiveness of the Listed Corporations——Based on the Quasi-Natural Experiment of Margin Trading System

卖空机制对于上市公司来说是一种来自外部证券市场的治理机制,本文从这一视角出发,基于我国融资融券试点启动并分步扩容这一准自然实验,以2008-2018年沪深A股中763家上市公司为样本,运用双重差分模型研究卖空机制对于上市公司资本配置效率的影响。在资本配置效率的度量上,本文从投资效率和融资约束两个角度进行衡量。研究发现,卖空机制的引入使得上市公司的投资效率提高、融资约束降低,说明公司获取外部融资、进行外部投资这一资本配置过程更为有效,因而从整体上提高了上市公司的资本配置效率;基于产权性质异质性的研究发现,相比国有控制上市公司,卖空机制对非国有控制上市公司的资本配置效率的正向促进作用更大。

The short selling mechanism is a kind of governance mechanism from the external securities market for listed companies. From this perspective,based on the quasi-natural experiment of China’s financing and security lending pilot,this paper uses the difference-in-difference model to study the effect of short selling mechanism on the capital allocation efficiency of listed companies,taking 763 listed companies in Shanghai & Shenzhen A-Share stock markets from 2008 to 2018 as the samples. On the measurement of the capital allocation efficiency,this paper adopts two indicators: efficiency of the investment and financing constraints. The study finds that the short selling mechanism can improve the efficiency of the investment while can reduce financing constraints of listed companies. It indicates that the company’s capital allocation process of obtaining external financing and conducting external investment are more effective,thus improving the capital allocation efficiency of the listed companies on the whole;further research on heterogeneity of the property nature finds that the short-selling mechanism has a greater positive impact on the capital allocation efficiency of non-state-owned listed companies compared with state-owned listed companies.