卖空与创新:A股公司融券试点的证据

Short Selling and Corporate Innovation:Evidence from Margin Trading in China

本文依托中国A股市场2010年开始实施的融券试点,在通过多时点双重差分和倾向得分匹配等计量方法控制内生性的基础上,实证检验了卖空对上市公司创新行为的促进作用.结果 表明:(1)加入融券标的后,卖空公司的创新数量和创新质量都有显著提高;(2)对于金融市场欠发达、治理水平较差的公司,这种作用更明显;(3)在使用融券余额作为卖空势力的测度并用ETF基金持股比例作为工具变量进一步控制内生性以后,以上结论仍然成立.卖空有助于降低创新企业的信息不对称性和加强对经理人的薪酬激励,进而促进了企业的创新.因此,取消卖空限制将有助于中国企业的创新和资本市场的健康稳定发展.

Employing a data set of Chinese listed firms,we examine the governance effect of short selling on corporate innovation in China.After controlling for possible endogeneity issues with a multi-period Difference-in-Differences approach and Propensity Score Matching,this research finds that the short selling in China has a positive,causal effect on both the quantity and quality of corporate innovation•We further find that the impact is more pronounced for firms with weaker corporate governance and for firms from regions with less developed financial market.Moreover,using annual average balance of short-sold securities as a proxy for the magnitude of short selling and ETF ownership as her instrument,we further confirm the previous findings.Collectively,our findings suggest that short selling has become an effective external governance mechanism to public companies in China.