卖空机制能降低上市公司信用风险吗?——基于管理层和大股东行为视角的实证检验

Can Short-selling Mechanism Reduce Corporate Credit Risk of Listed Companies?An Empirical Test on the Perspective of Management and Major Shareholders’Behavior

近年来上市公司“爆雷”事件频发,现代企业债务危机和信用风险问题引发社会各界的高度关注。卖空机制在稳定金融市场运行中发挥了重要作用,其对微观企业的信用风险是否具有抑制效应值得开展深入研究。采用2007—2019年我国A股上市公司的相关数据,以2010年我国正式推出融资融券交易制度为事件冲击起点,构建多期双重差分模型实证检验卖空机制能否降低上市公司信用风险,并关注管理层和大股东行为对二者关系的影响。研究结果表明:(1)卖空机制能显著降低上市公司信用风险;(2)卖空机制通过抑制管理层盈余管理和大股东掏空行为两个渠道,显著降低了上市公司信用风险;(3)卖空机制降低上市公司信用风险具有显著的制度环境和产权性质异质性,在制度环境好的地区以及非国有企业中的降低作用更为明显。

In recent years, there have been frequent incidents of “explosion” of listed companies, and debt crisis and credit risk of modern enterprises have attracted great attention from the society. The short-selling mechanism plays an important role in stabilizing operation of financial market, and whether it has a suppressive effect on the credit risk of micro-enterprises is worthy of in-depth study. This paper adopts data related to China’s A-share listed companies from 2007—2019, takes formal launch of China’s financing and securities trading system in 2010 as the starting point of event shocks, constructs a multi-period double difference model to empirically test whether the short selling mechanism can reduce the credit risk of listed companies, and focuses on the influence of management and major shareholders’ behavior on the relationship between the two. The results show that:(1) The short-selling mechanism can significantly reduce the credit risk of listed companies;(2) The short-selling mechanism significantly reduces the credit risk of listed companies through two channels: suppressing management surplus management and major shareholders’ emptying behavior;(3) The mechanism of short-selling to reduce the credit risk of listed companies has significant heterogeneity of institutional environment and property rights nature, and the reduction effect is more obvious in regions with good institutional environment and non-state enterprises.