转融通提高了股票的定价效率吗?——基于自然实验的研究
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摘要
文章将转融通视为对现有融资融券交易制度的外生改善,以自然实验的方式研究了2010年1月至2015年12月A股数据,发现转融通的实施能够显著降低资产收益率对于过去市场信息的依赖程度,提高了定价效率和市场有效性。进一步分析发现,转融通的实施同时促进了融资和融券的交易;但转融通制度是通过改善卖空限制,特别是融券余额占比较低的个股,来提高定价效率的。额外的证据显示,信息中介和外部治理是卖空机制的作用渠道。研究的结论对于认识转融通的实施效果以及进一步完善融资融券交易制度提供了参考。
With the introduction of refinancing business,the number of underlying stock has been enlarging gradually,which can be deemed as an exogenous enhancement of existing margin-trading and short-selling system. Using the trading data of Ashare stocks between January 2010 and December 2015,this paper studies the effect of refinancing business implementation.The results indicate that the implementation improves asset pricing efficiency and market effectiveness. The further study shows that refinancing system boosts the transaction of both margin-trading and short-selling,but it is the function of mitigating short sales constraints that plays a more important role in pricing efficiency improvement. These results can provide references for understanding the implementation effect of refinancing business and how to further refine the system of margin-trading and short-selling.
With the introduction of refinancing business,the number of underlying stock has been enlarging gradually,which can be deemed as an exogenous enhancement of existing margin-trading and short-selling system. Using the trading data of Ashare stocks between January 2010 and December 2015,this paper studies the effect of refinancing business implementation.The results indicate that the implementation improves asset pricing efficiency and market effectiveness. The further study shows that refinancing system boosts the transaction of both margin-trading and short-selling,but it is the function of mitigating short sales constraints that plays a more important role in pricing efficiency improvement. These results can provide references for understanding the implementation effect of refinancing business and how to further refine the system of margin-trading and short-selling.
引文
[1]BOEHMER E,WU J J.Short Selling and the Price Discovery Process[J].Review of Financial Studies,2013,26(2):287-322.
[2]BRIS A,GOETZMANN W N,ZHU N.Efficiency and the Bear:Short Sales and Markets Around the World[J].The Journal of Finance,2007,63(3):1029-1079.
[3]廖士光,杨朝军.卖空交易机制、波动性和流动性[J].管理世界,2005(12):6-13.
[4]许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?[J].管理世界,2012(5):52-61.
[5]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?[J].经济研究,2015(4):165-177.
[6]MILLER E M.Risk,Uncertainty,and Divergence of Opinion[J].The Journal of Finance,1977,32(4):1151-1168.
[7]BOEHME R D,DANIELSEN B R,SORESCU S M.ShortSale Constraints,Differences of Opinion,and Overvaluation[J].Journal of Financial and Quantitative Analysis,2006,41(2):455-487.
[8]SAFFI P A C,SIGURDSSON K.Price Efficiency and Short Selling[J].The Review of Financial Studies,2011,24(3):821-852.
[9]HONG H,STEIN J C.Differences of Opinion,Short-Sales Constraints,and Market Crashes[J].Review of Financial Studies,2003,16(2):487-525.
[10]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.
[11]虞一青,刘嫦,赖登凌.融资融券失衡对股价波动性的影响[J].金融论坛,2016(12):60-69.
[12]CHANG E C,CHENG J W,YU Y.Short-Sales Constraints and Price Discovery:Evidence from the Hong Kong Market[J].The Journal of Finance,2007,62(5):2097-2121.
[13]肖浩,孔爱国.融资融券对股价特质性波动的影响机理研究[J].管理世界,2014(8):30-43.
[14]MASSA M,ZHANG B,ZHANG H.The Invisible Hand of Short Selling:Does Short Selling Discipline Earnings Management?[J].The Review of Financial Studies,2015,25(6):1701-1736.
[15]FANG V W,HUANG A H,KARPOFF J M.Short Selling and Earnings Management:A Controlled Experiment[J].The Journal of Finance,2016,71(3):1251-1294.
[16]张璇,周鹏,李春涛.卖空与盈余质量——来自财务重述的证据[J].金融研究,2016(8):175-190.
[17]代宏霞,林祥友.实施转融通制度提高了我国证券市场质量吗?——运用双重差分模型对沪深股市的实证分析[J].西部论坛,2014(2):55-64.
[18]HOU K,MOSKOWITZ T J.Market Frictions,Price Delay,and the Cross-Section of Expected Returns[J].The Review of Financial Studies,2005,18(3):981-1020.
[19]方立兵,刘烨.融资融券大扩容:标的股票定价效率提升了吗?[J].证券市场导报,2014(10):56-61.
[20]FAMA E F,FRENCH K R.Common Risk Factors in the Returns on Stocks and Bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[21]ABARBANELL J S,BUSHEE B J.Abnormal Returns to a Fundamental Analysis Strategy[J].The Accounting Review,1998,78(1):19-45.
[22]陈信元,陈冬华,朱红军.净资产、剩余收益与市场定价:会计信息的价值相关性[J].南方金融,2002(4):59-70.
[23]苏冬蔚,麦元勋.流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004(2):95-105.
[24]AMIHUD Y,Illiquidity and Stock Returns:Cross-section and Time-series Effects[J].Journal of Financial Markets,2002,5(1):31-56.
[25]HUTTON A P,MARCUS A J,TEHRANIAN H.Opaque Financial Reports,R2,and Crash Risk[J].Journal of Financial Economics,2009,94(1):67-86.
[26]潘越,戴亦一,林超群.信息不透明、分析师关注与个股暴跌风险[J].金融研究,2011(9):138-151.
(1)详见《上海证券交易所融资融券交易实施细则》。
(2)为节省空间,只报告了Delay1的结果,Delay2的结果同样显著,后文同理。
(3)具体操作,按照流通市值、换手率和波动率,对转融通实施后每个月处于可转融通状态的标的,匹配不可转融通的标的,得到1∶1的处理组和参照组样本。
(4)取所有可融资融券的样本,对转融通前融资和融券余额的市值占比平均值排序,大于中位数的令为高组,小于等于中位数的则令为低组。
(5)利用分年度—行业的修正Jones模型,计算出可操控性总应计利润,并对过去三年的总应计利润绝对值进行加总得到企业信息不透明程度的度量,该指标越大企业信息透明度越低,反之越高。
(6)本文使用的是2009年的樊纲指数。
(7)分别对透明度指标和市场化指数进行排序,大于中位数的为高组,小于等于中位数的为低组。
[2]BRIS A,GOETZMANN W N,ZHU N.Efficiency and the Bear:Short Sales and Markets Around the World[J].The Journal of Finance,2007,63(3):1029-1079.
[3]廖士光,杨朝军.卖空交易机制、波动性和流动性[J].管理世界,2005(12):6-13.
[4]许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?[J].管理世界,2012(5):52-61.
[5]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?[J].经济研究,2015(4):165-177.
[6]MILLER E M.Risk,Uncertainty,and Divergence of Opinion[J].The Journal of Finance,1977,32(4):1151-1168.
[7]BOEHME R D,DANIELSEN B R,SORESCU S M.ShortSale Constraints,Differences of Opinion,and Overvaluation[J].Journal of Financial and Quantitative Analysis,2006,41(2):455-487.
[8]SAFFI P A C,SIGURDSSON K.Price Efficiency and Short Selling[J].The Review of Financial Studies,2011,24(3):821-852.
[9]HONG H,STEIN J C.Differences of Opinion,Short-Sales Constraints,and Market Crashes[J].Review of Financial Studies,2003,16(2):487-525.
[10]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.
[11]虞一青,刘嫦,赖登凌.融资融券失衡对股价波动性的影响[J].金融论坛,2016(12):60-69.
[12]CHANG E C,CHENG J W,YU Y.Short-Sales Constraints and Price Discovery:Evidence from the Hong Kong Market[J].The Journal of Finance,2007,62(5):2097-2121.
[13]肖浩,孔爱国.融资融券对股价特质性波动的影响机理研究[J].管理世界,2014(8):30-43.
[14]MASSA M,ZHANG B,ZHANG H.The Invisible Hand of Short Selling:Does Short Selling Discipline Earnings Management?[J].The Review of Financial Studies,2015,25(6):1701-1736.
[15]FANG V W,HUANG A H,KARPOFF J M.Short Selling and Earnings Management:A Controlled Experiment[J].The Journal of Finance,2016,71(3):1251-1294.
[16]张璇,周鹏,李春涛.卖空与盈余质量——来自财务重述的证据[J].金融研究,2016(8):175-190.
[17]代宏霞,林祥友.实施转融通制度提高了我国证券市场质量吗?——运用双重差分模型对沪深股市的实证分析[J].西部论坛,2014(2):55-64.
[18]HOU K,MOSKOWITZ T J.Market Frictions,Price Delay,and the Cross-Section of Expected Returns[J].The Review of Financial Studies,2005,18(3):981-1020.
[19]方立兵,刘烨.融资融券大扩容:标的股票定价效率提升了吗?[J].证券市场导报,2014(10):56-61.
[20]FAMA E F,FRENCH K R.Common Risk Factors in the Returns on Stocks and Bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[21]ABARBANELL J S,BUSHEE B J.Abnormal Returns to a Fundamental Analysis Strategy[J].The Accounting Review,1998,78(1):19-45.
[22]陈信元,陈冬华,朱红军.净资产、剩余收益与市场定价:会计信息的价值相关性[J].南方金融,2002(4):59-70.
[23]苏冬蔚,麦元勋.流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004(2):95-105.
[24]AMIHUD Y,Illiquidity and Stock Returns:Cross-section and Time-series Effects[J].Journal of Financial Markets,2002,5(1):31-56.
[25]HUTTON A P,MARCUS A J,TEHRANIAN H.Opaque Financial Reports,R2,and Crash Risk[J].Journal of Financial Economics,2009,94(1):67-86.
[26]潘越,戴亦一,林超群.信息不透明、分析师关注与个股暴跌风险[J].金融研究,2011(9):138-151.
(1)详见《上海证券交易所融资融券交易实施细则》。
(2)为节省空间,只报告了Delay1的结果,Delay2的结果同样显著,后文同理。
(3)具体操作,按照流通市值、换手率和波动率,对转融通实施后每个月处于可转融通状态的标的,匹配不可转融通的标的,得到1∶1的处理组和参照组样本。
(4)取所有可融资融券的样本,对转融通前融资和融券余额的市值占比平均值排序,大于中位数的令为高组,小于等于中位数的则令为低组。
(5)利用分年度—行业的修正Jones模型,计算出可操控性总应计利润,并对过去三年的总应计利润绝对值进行加总得到企业信息不透明程度的度量,该指标越大企业信息透明度越低,反之越高。
(6)本文使用的是2009年的樊纲指数。
(7)分别对透明度指标和市场化指数进行排序,大于中位数的为高组,小于等于中位数的为低组。