卖空机制提高了分析师盈余预测质量吗——基于融资融券制度的经验证据  

Does Short Selling Improve Analysts' Earnings Forecast Quality: Evidence from China's Securities Margin Trading

作　　者：黄俊[1,2] 黄超 位豪强[1] 王敏 Huang Jun;Huang Chao;Wei Haoqiang;Wang Min(Institute of Accounting and Finance, Shanghai University of Finance and Economics;Postdoctoral Research Center, China Central Depository ＆ Clearing Co., Ltd.;School of Accountancy, Shanghai University of Finanee and Economics;School of Accountancy, Shandong University of Finance and Economics)

机构地区：[1]上海财经大学会计学院 [2]上海财经大学会计与财务研究院 [3]中央国债登记结算有限责任公司博士后科研工作站 [4]中国人民银行金融研究所博士后科研流动站 [5]山东财经大学会计学院

出　　处：《南开管理评论》2018年第2期135-148,共14页Nankai Business Review

基　　金：国家自然科学基金项目(71632006;71372038);教育部人文社会科学重点研究基地重大研究项目(16JJD790037)资助

摘　　要：本文借助中国资本市场推出融资融券制度这一"自然实验",系统考察了卖空机制的引入对证券分析师盈余预测质量的影响。研究发现,由于卖空机制的引入有助于负面消息更及时地融入股价,并约束管理层的机会主义行为,从而提高了公司的信息透明度,由此可以降低分析师盈余预测偏差,提高其预测准确性。进一步的研究显示,由于非明星分析师对私有信息的获取较少,因此与明星分析师相比,卖空机制的引入对非明星分析师盈余预测质量的提升作用更明显;而且,在机构投资者持股比例较低的公司,管理层的机会主义行为受到的外部监督制约较小,卖空机制的引入更能改善其信息环境,因而分析师盈余预测质量提升也更明显。As an important information intermediary for capital market, securities analysts play an important role in accelerating information transmission, improving asset pricing efficiency, and reducing trader information asymmetry. However, under the influence of various conflicts of interest, analysts tend to transmit information with optimistic bias to the market. Based on the introduction of securities margin trading mechanism in China, this paper examines the impact of short selling on analysts＇ earnings forecast quality. The study finds that short selling can help the negative news to integrate into the stock price more timely, constraint the opportunistic behavior of the management, enhance the company＇s information transparency, and ultimately reduce the analysts＇ surplus forecasting bias and improve their forecasting quality. The further study shows that, compared to star analysts, non-star analysts have disadvantages in collecting information, and so short selling is more beneficial to non-star analysts. The previous study reveals that management opportunism is under less control in companies with less shareholding of institutional investors, so short selling increases the information transparency of these companies and better improves analysts＇ earnings forecast quality. The contribution of this article mainly has the following four points. Firstly, the information disclosure behavior of the management and the effectiveness of the capital market will affect the analysts＇ information transmission behavior. Therefore, this article not only expands the relevant research on the determinants of the analyst＇s earnings forecast, but also provides the empirical evidence of how macro system changes influencing the behavior of microcosmic subjects in the Market. Secondly, this article extends the research of the short-selling mechanism to analysts, further enriching the literature accumulation of the short-selling mechanism. Thirdly, under the background of relatively weak investor protection in China＇s ca

关 键 词：卖空机制 盈余预测 明星分析师 机构投资者 

分 类 号：F832.51[经济管理—金融学]