卖空机制、盈余管理与公司投资效率

摘要/Abstract

摘要： 本文针对我国证券市场引入融资融券交易制度这一特殊的自然实验,以2006～2015年我国A股上市公司为样本,通过建立双重差分模型研究放松卖空管制对上市公司非效率投资的治理效应及其影响机制。结果发现:卖空机制通过抑制公司的盈余管理提高了公司的投资效率;相对于治理质量较高的公司,卖空机制对治理质量较低公司投资效率的影响更为显著。本文研究对进一步深化我国证券交易市场改革,提高公司投资效率,实现金融资源的优化配置具有借鉴意义。

关键词: 卖空机制, 盈余管理, 投资效率, 公司治理质量

Abstract: Based on the special natural experiment of the Securities Margin Trading and margin program in China,this paper studies the governance effect of short selling on companies' investment efficiency and its influencing mechanism by establishing difference-in-difference model and using the data from Chinese securities market and annual reports of listed companies from 2006 to 2015.The result shows that short selling will increase the investment efficiency by reducing earnings management.At the same time,short selling has a more significant impact on the investment efficiency in companies with lower governance quality than the ones with higher governance quality.This paper will help to deepen the reform of Chinese securities market,improve the efficiency of corporate investment, and realize the optimal allocation of financial resources.

Key words: Short Selling, Earnings Management, Investment Efficiency, the Quality of Corporate Governance

中图分类号:

F832.5

袁鲲, 武梓杨. 卖空机制、盈余管理与公司投资效率[J]. 财经论丛, 2018, 34(5): 37-46.

YUAN Kun, WU Ziyang. Short Selling, Earnings Management and Investment Efficiency[J]. , 2018, 34(5): 37-46.

参考文献

[1] Miller E. Risk, Uncertainty, and Divergence of Opinion[J]. Journal of Finance, 1977,32 (4),pp.1151-1168.
[2] Desai H.K., Ramesh S., Thiagarajan R., Balachandran B. V. An Investigation of the Information Role of Short Interest in the Nasdaq Market[J]. Journal of Finance, 2002, 57(5),pp. 2263-2287.
[3] Bris A., Goetzmann W., Zhu N. Efficiency and the Bear: Short Sales and Markets Around the World[J]. Journal of Finance, 2007, 62(3),pp.1029-1079.
[4] 李科,徐龙炳,朱伟烨. 卖空限制与股票错误定价——融资融券制度的证据[J]. 经济研究,2014,(10):165-178.
[5] Diamond D. W., Verrecchina R. E. Constraints on Short Selling and Asset Price Adjustment to Private Information[J]. Journal of Financial Economics, 1987,18(2),pp.277-311.
[6] Akbas F., Boehmer E., Erturk B., Sorescu S. Don't Shoot the Messenger: Short Interest, Returns, and Fundamental[Z]. Working Paper, Availble at SSRN: http://ssrn.com/abstract=2216919,2010.
[7] Hirshleifer D., Teoh S. H., Yu J. J. Short Arbitrage, Return Asymmetry, and the Accrual Anomaly[J]. Review of Financial Studies, 2011,24(7),pp.2429-2461.
[8] Karpoff J. M. , Lou X. Short Sellers and Financial Misconduct[J]. Journal of Finance, 2010,65(5),pp.1879-1913.
[9] Massa M., Zhang B., Zhang H. The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Manipulation[J]. Review of Financial Studies, 2013,28(6),pp.1701-1736.
[10] Fang V. W., Huang A., Karpoff J. Short Selling and Earnings Management: A Controlled Experiment[J]. Journal of Finance, 2016,71(3),pp.1251-1294.
[11] 陈晖丽,刘峰. 融资融券的治理效应研究——基于公司盈余管理的视角[J]. 会计研究,2014,(9):45-52.
[12] Leuz C., Verrecchia R. The Economic Consequences of Increased Disclosure[J]. Journal of Accouting Research, 2000,38(5),pp.91-124.
[13] Bushman R. M.,Smith A. J. Financial Accounting Information and Corporate Governance[J]. Journal of Accounting and Economics, 2001,32(1/3),pp.237-333.
[14] Biddle G., Hilary G. Accounting Quality and Firm Level Capital Investment[J].The Accounting Review, 2006,81(5),pp.963-982.
[15] Biddle G. , Hilary G., Verdi R. How does Financial Reporting Quality Relate to Investment Efficiency？ [J]. Journal of Accounting and Economics,2009,48(2/3),pp.112-131.
[16] Beatty A., Liao S.,Weber J. The Effect of Private Information and Monitoring on the Role of Accounting Quality in Investment Decisions[J]. Contemporary Accounting Research, 2010,27(1),pp.17-47.
[17] Jensen M. C., Meckling W. Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure[J]. Journal of Finance Economics,1976, 3(4),pp.305-360.
[18] Jensen M. C.The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems[J]. Journal of Finance,1993,48(3),pp.831-880.
[19] Hope O., Thomas W.Managerial Empire Building and Firm Disclosure[J]. Journal of Accounting Research, 2008,46(3),pp.591-626.
[20] 周春梅. 盈余质量对资本配置效率的影响及作用机理[J]. 南开管理评论,2009,(5):109-117.
[21] 刘慧龙,王成方,吴联生. 决策权配置、盈余管理与投资效率[J]. 经济研究,2014,(8):93-106.
[22] Billett M. T., Garfinkel J. A., Jiang Y. The Influence of Governance on Investment: Evidence from a Hazard Model[J]. Journal of Financial Economics, 2011,102(3),pp.643-670.
[23] Giroud X., Mueller H. Does Corporate Governance Matter in Competitive Industries[J]. Journal of Financial Economics, 2010,95(3),pp.312-331.
[24] Aggarwal R. K., Samwick A. A. Empire Builders and Shirkers: Investment, Firm Performance, and Managerial Incentives[J]. Journal of Corporate Finance,2006,12(3),pp.489-515.
[25] Richardson S. Over-investment of Free Cash Flow[J].Review of Accounting Studies, 2006,11(2),pp.159-189.
[26] 张会丽,陆正飞. 现金分布、公司治理与过度投资——基于我国上市公司及其子公司的现金持有状况的考察[J]. 管理世界,2012,(3):141-150.
[27] 方红星,金玉娜. 公司治理、内部控制与非效率投资:理论分析与经验证据[J]. 会计研究,2013,(7):63-69.
[28] Kothari S. P., Leone A. J., Wasley C. E. Performance Matched Discretionary Accrual Measures[J]. Journal of Accounting and Economics, 2005 ,39(1),pp.163-197.
[29] 白重恩,刘俏,陆洲,等.中国上市公司治理结构的实证研究[J].经济研究,2005,(2):81-91.
[30] 褚剑,方军雄.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究, 2016, (5): 143-158.
[31] 程新生,谭有超,刘建梅. 非财务信息、外部融资与投资效率——基于外部制度约束的研究[J]. 管理世界,2012,(7):137-150.
[32] 温忠麟,张雷,侯杰泰,等. 中介效应检验程序及其应用[J]. 心理学报,2004,(5):614-640.
[33] 靳庆鲁,侯青川,李刚,等.放松卖空管制、公司投资决策与期权价值[J]. 经济研究,2015, (10):76-88.