卖空压力影响企业的风险行为吗?--来自A股市场的经验证据  

Does Short-sales Pressure Affect Firms'Risk Behavior?Empirical Evidence from the A-share Market

作　　者：倪骁然[1,2] 朱玉杰 

机构地区：[1]厦门大学经济学院金融系,361005 [2]厦门大学王亚南经济研究院 [3]清华大学经济管理学院金融系

出　　处：《经济学（季刊）》2017年第2期1173-1198,共26页China Economic Quarterly

摘　　要：本文以中国A股市场推出融资融券业务为准自然实验,发现企业面对卖空压力会更少地承担风险。进一步研究表明,卖空压力对企业风险行为的负向影响在治理水平较低的企业中更为显著,而治理水平较高的企业不会降低风险水平,反而会通过保持较高的管理层持股水平以承担风险。本文的发现从风险行为和治理机制的角度验证了卖空压力对企业行为的实质影响,揭示了资本市场压力传导到实体经济的一条路径。Using the enactment of short-sales program on Chinese A-share market as a quasi-natural experiment, this paper finds that firms react to short-sales pressures by under taking less risk. Further analyses indicate that the negative relation is more pronounced in firms with weaker governance, while firms with stronger governance would keep high managerial ownership to take risk rather than reduce risk. Our findings confirm the real effect of short-sales pressures on firm behavior in the view of risk-taking and governance mechanisms, and reveal a channel via which capital market pressure can transmit to the real economy.

关 键 词：卖空 融资融券 企业风险 

分 类 号：F832.51[经济管理—金融学]