融券卖空与新股定价效率  

Short Selling and IPO Pricing Efficiency

作　　者：宋顺林[1] 曹奥臣 Song Shunlin;Cao Aochen

机构地区：[1]中央财经大学会计学院,100081 [2]中央财经大学经济学院,102206

出　　处：《会计研究》2024年第10期123-135,共13页Accounting Research

基　　金：国家自然科学基金面上项目(72272165)的研究成果。

摘　　要：新股上市首日即可进行融券卖空,是注册制的一大制度创新,但引起了较大的争议。争议的焦点在于,卖空对中国资本市场究竟利弊几何。鉴于此,本文利用注册制期间上市的科创企业,首次系统检验了融券卖空与新股定价效率的关系。研究发现:1)首日融券卖空显著降低了新股上市首日回报率和IPO溢价率,整体上起到了平抑上市首日股价高估的效果;2)上市首日融券卖空对新股后市表现存在显著的正向影响,有助于缓解新股后市表现走衰问题。进一步分析表明,当新股估值较高、市场情绪悲观时,首日卖空更频繁,表明市场存在不同类型的卖空者。本文丰富了卖空与新股定价效率的相关研究,为后注册制时代的卖空机制完善提供了重要参考。New shares can be short-sold through margin trading on the first day of listing, which is a major institutional innovation of the registration system, but it has caused considerable controversy. The focus of the debate is on the question of whether short-selling is beneficial or detrimental to China's capital market. In view of this, this paper, for the first time, systematically examines the relationship between short-selling through margin trading and the pricing efficiency of new shares using the technology firms listed during the registration system period. The study finds, first, short-selling on the first day significantly reduces the first-day return and IPO premium rate of new shares, overall playing a role in suppressing the overvaluation of the share price on the first day of listing.Second, short-selling on the first day has a significant positive impact on the post-listing performance of new shares, helping to alleviate the problem of declining performance in the aftermarket.Third, when the valuation of new shares is high and market sentiment is pessimistic, short-selling is more frequent on the first day. Among them, the impact of irrational short-selling trading behavior on stock prices is short-term. This paper enriches the research on short-selling and the pricing efficiency of new shares and provides an important reference for the improvement of the short-selling mechanism in the post-registration system era.

关 键 词：融券卖空 新股定价效率 IPO溢价 科创企业 

分 类 号：F83[经济管理—金融学]