卖空制度、公司管理层行为与股价信息效率——基于微观传导机制的研究

Short-Selling, Corporate Managers’ Behavior and Information Efficiency of Stock Prices:A Study Based on the Micro-Transmission Mechanism

笔者以我国卖空制度标的股票的分步扩容作为自然实验事件,将卖空制度、公司管理层行为与股价信息效率有机地联系在一起,分析了卖空制度对股价信息效率影响的微观传导机制。研究运用工具变量法与处理效应模型法控制了模型内生性偏误后,实证结果更具有稳健性。研究发现,卖空机制不仅能够约束公司的过度投资与盈余管理,而且卖空提高股价信息效率的一个重要微观传导机制在于其能够通过约束管理层在投资决策与会计操纵上的机会主义行为,促进股价信息效率提高。尽管由于融资融券不均衡发展、政策缺陷与其他市场限制,我国卖空制度的价格发现的直接机制尚存缺陷,但此传导机制却能在一定程度上修复这一缺陷,从公司渠道使信息更加透明地传递到投资者层面。因此,我国卖空制度不仅不是增加股市崩盘风险的洪水猛兽,反而能帮助股市回归内在价值与风险管理。研究结论对于"后股灾"时代我国卖空类金融创新的制度建设与公司治理的改善具有重要的政策意义。

This study takes the gradual expansion of the target stocks in China’s Short-Selling mechanism as a natural experimental event,organically ties together the short-selling system,corporate managers’behavior and stock prices,and analyzes the micro-transmission mechanisms of the impact of short-selling on the information efficiency of stock prices.The study utilizes the Instrumental Variable Method and Treatment Effect Model to control for the endogeneity bias,and as a result the empirical results are less biased and much more robust.We find that short selling mechanism can decrease the company’s excessive capital expenditure and discretional accruals.Furthermore,we find that an important micro-transmission mechanism for short selling to improve the information efficiency of stock prices is by constraining the managers’opportunistic behavior in investment decision-making and accounting manipulation.Although the direct mechanism of short-selling’s price discovery function may not work well due to the unbalanced development of margin-trading and short-selling,policy defects and other market restrictions,through this corporate channel,this transmission mechanism makes the information transmission to investors more transparent.Therefore,China’s short-selling system is by no means a scourge which increases the risk of the stock market crashes.On the contrary,it can help the stock market to return to its intrinsic value and manage the risks.This study’s conclusion has great policy implications in the institutional construction of financial innovation in credit exchange and the improvement of corporate governance in this"Post-Stock-Crisis"era of China.