异质信念、卖空机制与企业股权发行的价格效应——基于融资融券试点与扩容自然实验的证据  

Heterogeneous Beliefs,Short Selling Mechanism and Stock Price Impact of Enterprise Equity Issuance:Evidence from a Natural Experiments of the Margin Trading Pilot and Expansions

作　　者：徐枫[1,2] 郑耀东 邢天添 FENG XU;YAODONG ZHENG;TIANTIAN XING(Institute of Finance and Banking,Chinese Academy of Social Sciences;Chinese Public Administration Society;Industrial Culture Development Center,Ministry of Industry and Information Technology)

机构地区：[1]中国社会科学院金融研究所 [2]中国社会科学院资本市场研究室 [3]中国行政管理学会 [4]工信部工业文化发展中心

出　　处：《产业经济评论》2022年第6期172-187,共16页Review of Industrial Economics

基　　金：国家社会科学基金一般项目“银行竞争、卖空机制与企业融资约束研究”(批准号:21BGL084);国家社会科学基金社科学术社团主题活动课题研究类项目“协调推进数字政府建设与行政体制改革研究”(批准号:22STA008)的阶段性成果。

摘　　要：资本市场交易制度对投资者特征和企业证券发行经济后果关系的影响不容忽视。文章以当前融资融券试点及标的扩容改革为背景,选取2009—2021年沪深A股上市公司股权发行事件为研究对象,实证检验卖空机制、投资者异质信念和企业股权发行价格效应的关系。研究结果表明,放松卖空约束后,异质信念和企业股权发行价格效应的负相关关系明显增强。卖空机制通过增加信息不对称强化了异质信念和企业股权发行价格效应的负相关关系。只有第二次、第三次和第四次融资融券标的扩容显著增强了异质信念和企业股权发行价格效应的负相关关系。提升企业信息披露质量有助于防范投资者异质信念叠加卖空机制共同作用对企业证券发行价格效应造成冲击。Capital market trading system has a very important impact on the relationship between investor characteristics and the economic consequences of enterprise securities issuance.This paper selects the equity financing events of Chinese listed firms from 2009 to 2021,to examine the relationship between short selling mechanism,investors’heterogeneous beliefs and stock price impact of enterprise equity issuance.The result shows that after relaxing short selling constraint,the negative correlation between investors'heterogeneous beliefs and stock price effect of enterprise equity issuance is significantly enhanced.Mechanism test finds that short selling mechanism strengthened the negative correlation between investors'heterogeneous beliefs and stock price effect of enterprise equity issuance by increasing information asymmetry.Further research finds that the second,third and fourth expansions of the subject matter of margin trading significantly enhanced the negative correlation between investors'heterogeneous beliefs and stock price effect of enterprise equity issuance.This paper proposes to prevent the comprehensive impact of investors'heterogeneous belief and short selling system on stock price impact of enterprise equity issuance,by improving the quality of enterprise information disclosure.

关 键 词：异质信念 卖空禁止 卖空允许 股价效应 

分 类 号：F832.51[经济管理—金融学]