卖空机制引入能提升公司价值吗?——来自融资融券制度的检验证据  

Does Short Selling Mechanism Enhance Firm Value?A Testing Evidence from Margin Trading System

作　　者：周艳利 顾乃康[2] ZHOU YanLi;GU NaiKang(School of Finance,Guangdong University of Foreign Studies,Guangzhou 510420;School of Business,Sun Yat-Sen University,Guangzhou 510275)

机构地区：[1]广东外语外贸大学金融学院,广东广州510420 [2]中山大学管理学院,广东广州510275

出　　处：《财贸研究》2020年第3期81-96,共16页Finance and Trade Research

基　　金：教育部人文社会科学研究青年基金项目“资本市场制度变革背景下科创板卖空机制设计与市场影响研究”(20YJC790192);国家自然科学基金项目“卖空机制引入、企业的投融资行为与资源配置效率:兼评融资融券制度的政策效果”(71772185)。

摘　　要：从卖空机制带来的治理效应和股票市场的反馈效应出发,探讨卖空机制引入对公司价值的影响,并以我国证券市场融资融券制度推行所带来的准自然实验为研究窗口,采用双重差分法进行实证检验。结果表明:与不允许卖空的企业相比,在卖空机制引入后,允许卖空的企业其公司价值显著提升;卖空机制作为一种外部治理机制,能够起到外部监督和约束的作用,对于内部治理较差的企业而言,卖空机制引入后公司价值的提升程度更大;卖空机制还可以通过市场反馈效应路径,提高投资-股价之间的敏感性,从而优化企业投资决策,提升公司价值。进一步研究发现,允许卖空的企业其公司价值之所以会提高主要是因为经营业绩得到了提升,然而由于我国股票市场实际卖空量较小,公司价值的提升程度在融资融券政策实施之初较大,随着时间的推移逐步减弱。From governance effect from short selling and feedback effect of stock market,this paper analyzes effect of introduction of short selling on firm value.Based on the quasi natural experiment brought by the margin trading institution implementation,this paper uses the difference-in-difference method to make an empirical test.The study finds out that the firm value of companies without short selling constrains is significantly increased when compared to companies with short selling constrains.As an external governance mechanism,short selling mechanism can play a role of external supervision and restriction,so the effect is concentrated in companies with poorer internal governance.On the other hand,short selling mechanism can also improve the sensitivity between investment and stock price through the market feedback effect,so as to optimize the investment decision-making and enhance the value of companies.Further test shows that the companies without short selling constrains firm value is promoted mainly due to the improvement of the company’s operating performance,but the impact of short selling mechanism on firm value and operating performance tends to weaken over time,which may be related to the small amount of short interest in China’s security market.

关 键 词：卖空机制 治理效应 反馈效应 公司价值 经营业绩 

分 类 号：F275.5[经济管理—企业管理]