卖空压力能抑制控股股东股权质押吗?——来自中国卖空管制放松的准自然实验证据

Can Short Selling Pressure Restrain the Controlling Shareholder's Equity Pledge?--Evidencefrom a Quasi-natural Experiment on Deregulation of Short Selling in China

上市公司控股股东股权质押是中国金融监管部门处置重点领域的风险之一。如何有效抑制控股股东非理性股权质押行为是一个值得探究的话题。本研究立足中国融资融券制度实施这一标志性事件,选取2010—2019年沪深A股上市公司为研究样本,实证考察卖空机制是否可以约束控股股东的股权质押行为。结果显示,卖空制度的实施能够显著抑制控股股东股权质押行为,且具有较高的经济显著性。在变换关键变量度量、更换样本时间窗口、变更样本、倾向得分匹配、平行趋势检验、安慰剂检验等一系列的稳健性检验后,该结论依然成立。作用机制检验结果表明,卖空压力主要通过提高信息透明度降低控股股东的股权质押行为;异质性分析表明,卖空压力对处于良好制度环境、股价波动率较高、分析师跟踪较少、内部控制质量低的企业以及民营企业的控股股东股权质押行为的抑制作用更加明显。本结论不仅丰富了卖空机制的外部治理作用研究,也为如何利用市场化手段从源头上化解控股股东质押危机提供了证据支持。

The equity pledge of the controlling shareholder of a listed company is one of the key areas of risk disposal by China's financial regulatory authorities.How to effectively restrain the controlling shareholder's irrational equity pledge is a topic worth exploring.Based on the landmark event of the implementation of margin and short selling system in China,this paper selects A-share listed companies in Shanghai and Shenzhen Stock Exchange from 2010 to 2019 as the research samples to empirically investigate whether the short selling mechanism can constrain the equity pledge of the controlling shareholders.The results show that the implementation of the short selling system can significantly inhibit the controlling shareholder's equity pledge and has high economic significance.This conclusion remains true after a series of robustness tests,such as changing key variable measures,changing sample time window,changing sample,propensity score matching,parallel trend test,and placebo test.The results of the mechanism test show that short selling pressure mainly reduces the controlling shareholder's equity pledge by improving information transparency.Finally,the heterogeneity analysis shows that the short selling pressure has a more obvious inhibiting effect on the equity pledge behavior of the controlling shareholders in the enterprise with good institutional environment,high volatility of stock price,low analyst tracking,weaknesses in internal controls and privately owned.The research conclusions enrich the research on the external governance role of short selling mechanism,but also provide evidence support for how to resolve the crisis of controlling shareholders'pledge from the source by using market-oriented means.