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论文编号：	12329
作者编号：	1120140791
上传时间：	2021/3/8 13:33:20
中文题目：	融券卖空机制对标的公司的影响研究 ——基于企业行为和经济后果的视角
英文题目：	Research on the influence of Short Selling Mechanism on Target Firms: Based on the perspective of Corporates'' Behavior and Economic Consequence
指导老师：	周晓苏
中文关键字：	卖空机制；信息效应；盈余管理；公司战略；融资约束；公司价值
英文关键字：	Short Selling; Information Effect; Earnings Management; Corporate Strategy; Financial Constraints; Firm Value
中文摘要：	融券卖空业务自2010年3月31日启动，是我国证券市场一次重大创新改革，使得中国资本市场告别了只能“单边做多”的时代。双边市场的建立使得那些不拥有股票的悲观投资者有机会通过卖空交易表达自己对这些股票实际投资价值的预期，资本市场中多空博弈更加充分，市场定价效率也得到提高。然而，不论是监管机构还是投资者对卖空机制的分歧依然存在，卖空往往会在下跌行情中成为暴跌的“替罪羊”，受到部分市场参与者的批评。那么，融券卖空机制的实施究竟会对标的公司产生何种影响？这一问题也是学术界和实务界关注的焦点。卖空交易制度作为证券市场上重要的交易制度之一，我国虽然起步晚，但A股市场有别于全球其他市场的独特性为我们研究卖空机制提供了土壤。在严格的卖空限制下，A股市场经历了卖空机制的探索、发展、标准化的整个过程，本文利用我国资本市场“渐进式”推出融券卖空机制的详细数据，从融券卖空机制角度研究其对上市公司行为及其经济后果的影响，探究卖空交易机制对上市公司的治理效应。 首先，本文从上市公司具体行为出发，关注上市公司信息披露中最为重要的会计信息质量，基于上市公司盈余管理行为这一重要问题，针对融券卖空机制的开通对上市公司会计信息质量的影响进行实证检验。其次，本文从上市公司行为的决策起点和基础出发，基于上市公司整体战略选择，进一步深入探讨融券卖空机制对上市公司具体行为的内在作用机制，即检验融券卖空机制是否通过影响上市公司战略选择进而对标的公司盈余管理行为起到监督治理作用。最后，本文从上市公司治理改善的潜在经济后果这一角度出发，研究融券卖空机制的开通对上市公司融资约束和公司价值的影响。主要得到了如下研究结论： （1）我国推行的融券卖空交易机制能够显著降低上市公司的应计和真实盈余管理行为，尤其对向上盈余管理活动的抑制作用较大。卖空机制有效发挥了信息传递和事前威慑作用，证明了融券卖空机制具有外部监督治理功能。进一步的研究表明，当上市公司外部治理水平较差（较低的审计质量、分析师跟踪和媒体关注度）以及内部治理水平较差（较高的股权质押比例和较低的内部控制质量）时，卖空机制对盈余管理的监督治理作用则更加显著，表现出卖空机制与内外部治理因素存在互补效应。 （2）引入融券卖空机制能够显著降低公司战略选择的激进程度。进一步的中介效应检验发现，降低公司战略激进度部分中介了卖空机制与公司应计盈余管理和真实盈余管理的负向关系，即卖空机制通过降低公司战略激进度进而抑制上市公司的盈余管理行为。 （3）从融资约束视角检验融券卖空机制的经济后果发现，融券卖空机制能够缓解标的公司的融资约束，标的公司的投资-现金流敏感性有所降低，容易获得更多的国有四大商业银行贷款，并且降低了公司的现金持有水平。 （4）从公司价值视角检验融券卖空机制的经济后果发现，融券卖空机制有助于提高标的公司价值，即标的公司托宾Q和创新质量有所提升。 经过内生性问题的处理和一系列稳健性检验后，上述结论依然成立。 本文立足于融券卖空这一完善资本市场的交易机制，检验了其影响公司治理的经济后果，丰富了卖空机制相关研究并对完善我国资本市场环境具有一定启示作用。
英文摘要：	The short selling of securities lending has been launched since March 31, 2010, which is a major innovation reform of China's securities market, making China's capital market bid farewell to the era of "unilateral long". With the establishment of bilateral market, pessimistic investors who do not own stocks have opportunities to express their expectation on the actual investment value of these stocks through short selling. In the capital market, the buy-sell game is more sufficient, and the market pricing efficiency is also improved. However, there are still differences on short selling between regulators and investors. Short selling often became the "scapegoat" for the slump in the declining market and was criticized by some market participants. So, how will the implementation of Chinese short selling affects the behavior of listed companies? This issue is also attracted by academy and practices. As one of important trading systems in security market, the short selling system started late in China, but the uniqueness of A-share market, which is different from other global markets, provides us with the soil to study the short selling mechanism. Under the strict restriction of short selling, A-share market has experienced the whole process of exploration, development and standardization on short selling. This dissertation uses the detailed data of "gradual" enforcement of short selling system in China's capital market, studies its impact on the behavior of listed companies and its economic consequences from the perspective of Chinese short selling, and explores the governance role of short selling system on listed companies. Firstly, starting from specific behaviors of listed companies, this dissertation focuses on the most important quality of accounting information in information disclosures of listed companies. Based on the important issue of earnings management behavior of listed companies, this dissertation empirically tests the impact of the opening of Chinese short selling on the quality of accounting information of listed companies. Secondly, based on the starting point and basis of a series of decision-making of listed companies, which refers to the overall strategic choice of listed companies, this dissertation makes a further discussion about the internal mechanism of Chinese short selling on the specific behavior of listed companies. In short, the dissertation will to empirically test if short selling plays a role of supervising and governance for earnings management of target companies through impacting on the companies’ strategic choices. Finally, from the perspective of potential economic consequences of corporate governance improvement, this dissertation focuses on financial constraints and firm value. The main conclusions are as follows: Firstly, the short selling implemented in China can significantly reduce listed companies’ behavior of the accrual and real earnings management, especially the inhibition of upward earnings management activities. The short selling effectively plays a role of information transmission and deterrence in advance, which proves that China’s short selling mechanism has the function of external supervision and governance. Further research shows that when the external governance level of listed companies is poor (lower audit quality, lower analyst tracking and lower media attention) and the internal governance level is poor (higher equity pledge ratio and lower internal control quality), the short selling plays a more significant role of supervision and governance in earnings management, which proves that the short selling and governance factors from inside and outside have complementary effects. Secondly, the enforcement of short selling can significantly reduce the radical degree of company's strategic choices. Further intermediary effect test shows that reducing the radical degree of company's strategies partially mediates the negative relationship between short selling and company's accrued earnings management and real earnings management. In other words, short selling can restrain listed company's earnings management behavior by alleviating its strategic radicality. Finally, through testing the economic consequences of short selling for target companies, the dissertation finds that not only financial constraints of listed companies can be alleviated by short selling, but also is helpful to improve firm value. After the introduction of short selling, the investment-cashflow sensitivity of the target company is reduced, borrowing credits from the four major state-owned commercial banks becomes easy, and reduces the level of companies’ cash holdings, while the firm value improvement is reflected in the increase of Tobin Q and innovation quality of the target company. After the treatment of endogenous problems and a series of robustness tests, our conclusions are still valid. This dissertation is based on short selling system which improves our capital market, we examine the economic consequences of short selling’s impact on corporate governance. It enriches the research on short selling and has some enlightenment on improving the China’s capital market environment.
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