卖空机制能够约束内部人减持吗?——基于融资融券制度的经验证据  

Does Short Selling Restrain Insider Selling?Evidence from Margin Trading Mechanism

作　　者：马云飙 武艳萍 石贝贝 MA Yunbiao;WU Yanping;SHI Beibei(School of Accountancy,Central University of Finance and Economics;School of International Trade and Economics,University of International Business and Economics)

机构地区：[1]中央财经大学会计学院,北京100081 [2]对外经济贸易大学国际经济贸易学院,北京100029

出　　处：《金融研究》2021年第2期171-187,共17页Journal of Financial Research

基　　金：国家自然科学基金(71802049、71802207、72073024);教育部人文社科青年基金(20YJC630101,18YJC630271);中央财经大学中央高校基本科研业务费专项资金;中央财经大学科研创新团队支持计划;对外经济贸易大学中央高校基本科研业务费专项资金的资助(CXTD12-03)。

摘　　要：本文以我国放松卖空管制为视角,探究其对内部人减持的影响。研究表明,卖空机制能够抑制企业内部人减持行为。机制分析发现,卖空对内部人减持的抑制作用是通过缓解股权高溢价实现的。进一步研究表明,卖空能够抑制大股东、董事以及管理层减持,但对监事减持无影响;卖空能够降低内部人减持的获利程度,并且在内部人减持动机更大时,对内部人减持的抑制作用更强;卖空通过约束内部人减持提升了股票定价效率,还有助于降低内部人增持行为。本文的研究结论丰富了卖空和内部人减持领域的文献,并对政府部门完善制度设计具有启示意义。Insider selling has recently become a common feature of the Chinese stock market.The economic consequences of insider selling for listed firms and the capital market as a whole has attracted much attention from practitioners and academics.Insiders such as large shareholders,directors,senior executives,and supervisors often use their information and valuation advantages to inflate stock prices by manipulating information disclosure,engaging in capital operations,and paying large stock dividends.Thus,their holdings are likely to be overvalued by external investors,allowing insiders to gain abnormal trading profits through selling them.These opportunistic self-serving insider sales exhibit strong negative externalities,which not only harm the interests of external investors but can also have negative real effects.Insider selling can then attract the attention of regulators,and authorities will attempt to restrain it by issuing stricter laws and regulations.However,insiders may still attempt to sell their holdings and cash out,and some may deliberately seek loopholes in the trading rules.Thus,a market mechanism in addition to government supervision is required to restrain insider selling.The implementation of a margin trading mechanism represents a major innovation in China's stock market,and opens the door to short selling.The price discovery function of short selling can increase the efficiency of stock pricing,thus reducing the likelihood of stock price overvaluation.Can short selling restrain insider selling by reducing stock price overvaluation?This question has not been previously addressed.We propose that if the main purpose of insider selling is to obtain excess returns,the incentives of insiders to sell their holdings will be weaker after the deregulation of short selling,as the market pricing efficiency increases and the degree of stock price overvaluation and the excess trading return of insider selling decrease.In this study,we explore the effect of short-selling on insider selling in the context of China

关 键 词：内部人减持 卖空机制 股权溢价 

分 类 号：F832.51[经济管理—金融学]