卖空机制能够约束内部人减持吗?——基于融资融券制度的经验证据

Does Short Selling Restrain Insider Selling?Evidence from Margin Trading Mechanism

本文以我国放松卖空管制为视角,探究其对内部人减持的影响。研究表明,卖空机制能够抑制企业内部人减持行为。机制分析发现,卖空对内部人减持的抑制作用是通过缓解股权高溢价实现的。进一步研究表明,卖空能够抑制大股东、董事以及管理层减持,但对监事减持无影响;卖空能够降低内部人减持的获利程度,并且在内部人减持动机更大时,对内部人减持的抑制作用更强;卖空通过约束内部人减持提升了股票定价效率,还有助于降低内部人增持行为。本文的研究结论丰富了卖空和内部人减持领域的文献,并对政府部门完善制度设计具有启示意义。

Insider selling has recently become a common feature of the Chinese stock market.The economic consequences of insider selling for listed firms and the capital market as a whole has attracted much attention from practitioners and academics.Insiders such as large shareholders,directors,senior executives,and supervisors often use their information and valuation advantages to inflate stock prices by manipulating information disclosure,engaging in capital operations,and paying large stock dividends.Thus,their holdings are likely to be overvalued by external investors,allowing insiders to gain abnormal trading profits through selling them.These opportunistic self-serving insider sales exhibit strong negative externalities,which not only harm the interests of external investors but can also have negative real effects.Insider selling can then attract the attention of regulators,and authorities will attempt to restrain it by issuing stricter laws and regulations.However,insiders may still attempt to sell their holdings and cash out,and some may deliberately seek loopholes in the trading rules.Thus,a market mechanism in addition to government supervision is required to restrain insider selling.The implementation of a margin trading mechanism represents a major innovation in China's stock market,and opens the door to short selling.The price discovery function of short selling can increase the efficiency of stock pricing,thus reducing the likelihood of stock price overvaluation.Can short selling restrain insider selling by reducing stock price overvaluation?This question has not been previously addressed.We propose that if the main purpose of insider selling is to obtain excess returns,the incentives of insiders to sell their holdings will be weaker after the deregulation of short selling,as the market pricing efficiency increases and the degree of stock price overvaluation and the excess trading return of insider selling decrease.In this study,we explore the effect of short-selling on insider selling in the context of China's implementation of the margin trading mechanism,using a sample of A-share listed firms from 2006 to 2016.Our findings are as follows.(1)Short selling can restrain insider selling.(2)The restraining effect of short selling on insider selling is realized by alleviating the degree of stock price overvaluation.(3)Short selling can restrain the share selling of large shareholders,directors,and management,but has no effect on that of supervisors.(4)Short selling can reduce the excess profit of insider selling.(5)The effect of short selling on insider selling is stronger when insiders have a greater incentive to sell their holdings.(6)Short selling improves stock price efficiency by restraining inside selling.(7)Short selling also decreases insider buying.Our study makes three main contributions to the literature.First,studies of insider selling mainly focus on the motivations behind it and its economic consequences,rather than how to restrain it through market mechanisms.We contribute to the literature by examining the effect of short selling on insider selling.Second,we provide new empirical evidence of the economic consequences of the margin trading mechanism and short selling.The effects of this trading mechanism after its implementation have been extensively examined.Its effectiveness has been confirmed,and short selling has been found to improve market price efficiency,reduce stock price volatility,and potentially contribute to the stability and healthy development of the stock market.However,another strand of literature suggests that the deregulation of short selling can increase the stock crash risk.Thus,the economic consequences of the margin trading mechanism remain unclear.In this study,we examine the governance effect of the margin trading mechanism from the perspective of insider selling,thus providing new empirical evidence of the economic consequences of margin selling and short selling.Our findings also have implications for policymakers.Methods of restraining insider selling have been considered by regulators,but insiders with strong incentives to cash out will attempt to find loopholes in the trading rules and get around the ban to sell their holdings.Thus,restraining insider selling requires not only government supervision but also a market mechanism.We find that short selling can restrain insider selling by improving stock price efficiency,thus providing policy implications for securities regulatory authorities in further improving the construction of China's capital markets and protecting the interests of small and medium-level investors.