卖空压力与控股股东私利侵占——来自卖空管制放松的准自然实验证据
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摘要
使用中国金融市场卖空管制放松政策作为准自然实验,本文考察由此产生的卖空压力对公司控股股东私利侵占的因果效应.使用双重差分方法的研究结果表明在卖空管制放松之后,控股股东的私利侵占行为减少了27%.卖空管制放松引发的股价下跌风险是卖空压力约束控股股东私利侵占行为的重要渠道.进一步研究表明这种影响还依赖于其他治理机制,当公司其他大股东股权制衡较弱、产品市场竞争程度较低以及公司所处地区外部法律环境较差时,卖空压力产生的治理效应更强.横截面差异检验结果表明公司控股股东持股比例越高或者公司破产清算风险越高,卖空管制放松的治理效应越强.最后,研究结果表明这种治理效应能够提升公司经营业绩与市场价值.本文有助于理解卖空压力对公司控股股东私利侵占行为的影响,丰富和补充了卖空管制放松对实体经济真实影响的文献.
Investors can sell short on designated stocks in China's stock market since March 2010 when the CSRC relieved the short sale constraint. The paper provides a quasi-natural experiment to examine whether short selling pressure can discipline the controlling shareholder's exploitation. Using a sample of Chinese listed firms during 2007-2014,the results show that short selling pressures from the removal of the short sale constraints have a governance effect on the pursuit of private benefit of controlling shareholders. Downside risk is the economic mechanism through which short-selling threat disciplines the controlling shareholders. The governance effect from short sale is much stronger when other corporate governance mechanisms are weak. The cross-sectional tests suggest that the higher the proportion of shares the controller holds or the higher bankruptcy risk of the firm faces,the more reduction in the exploitation of controllers in pilot firms after the removal of short sale constraint. This paper provides further insight into the discipline effect of short selling on controlling shareholders in pursuing private benefits,and contributes to the literature on the effects of the removal of the short selling constraints on the real economy.
Investors can sell short on designated stocks in China's stock market since March 2010 when the CSRC relieved the short sale constraint. The paper provides a quasi-natural experiment to examine whether short selling pressure can discipline the controlling shareholder's exploitation. Using a sample of Chinese listed firms during 2007-2014,the results show that short selling pressures from the removal of the short sale constraints have a governance effect on the pursuit of private benefit of controlling shareholders. Downside risk is the economic mechanism through which short-selling threat disciplines the controlling shareholders. The governance effect from short sale is much stronger when other corporate governance mechanisms are weak. The cross-sectional tests suggest that the higher the proportion of shares the controller holds or the higher bankruptcy risk of the firm faces,the more reduction in the exploitation of controllers in pilot firms after the removal of short sale constraint. This paper provides further insight into the discipline effect of short selling on controlling shareholders in pursuing private benefits,and contributes to the literature on the effects of the removal of the short selling constraints on the real economy.
引文
[1]Miller E.Risk,uncertainty,and divergence of opinion[J].Journal of Finance,1977,32(4):1151-1168.
[2]Comerton-Forde C,Jones C M,Putni爟2 T J.Shorting at close range:A tale of two types[J].Journal of Financial Economics,2016,121:546-568.
[3]Brogaard J,Hendershott T,Riordan R.High frequency trading and the 2008 short-sale ban[J].Journal of Financial Economics,2017,124(1):22-42.
[4]Pownall G,Simko P J.The Information intermediary role of short sellers[J].The Accounting Review,2005,80(3):941-966.
[5]Drake M S,Rees L,Swanson E P.Should investors follow the prophets or the bears?Evidence on the use of public information by analysts and short sellers[J].The Accounting Review,2011,86(1):101-130.
[6]Karpoff J M,Lou X.Short sellers and financial misconduct[J].Journal of Finance,2010,65(5):1879-1913.
[7]Fang V,Huang A,Karpoff J M.Short selling and earnings management:A controlled experiment[J].Journal of Finance,2016,71(3):1251-1292.
[8]Chang E C,Lin T,Ma X.Does Short-Selling Threat Discipline Managers in Mergers and Acquisitions Decisions?[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2348193,2015.
[9]He J,Tian X.SHO Time for Innovation:The Real Effects of Short Sellers[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2380352,2015.
[10]La Porta R,Lopez-de-Silane F,Shleifer A.Corporate ownership around the world[J].Journal of Finance,1999,54:471-517.
[11]La Porta R,Lopez-de-Silane F,Shleifer A,et al.Investor protection and corporate valuation[J].Journal of Finance,2002,57:1147-1170.
[12]Shleifer A,Vishny R W.A survey of corporate governance[J].Journal of Finance,1997,52(2):737-783.
[13]Johnson S,La Porta R,Shleifer A,et al.Tunneling[J].American Economic Review,2000,90(2):22-27.
[14]Liu Q,Tian G.Controlling shareholder,expropriations and firm’s leverage decision:Evidence from Chinese non-tradable share reform[J].Journal of Corporate Finance,2012,18(4):782-803.
[15]Jiang G,Lee C,Yue H.Tunneling through inter-corporate loans:The China experience[J].Journal of Financial Economics,2010,98:1-20.
[16]魏明海,黄琼宇,程敏英.家族企业关联大股东的治理角色——基于关联交易的视角[J].管理世界,2013,(3):133-149.Wei Minghai,Huang Qiongyu,Cheng Minying.The role of related large shareholders in family firms:A study from the perspective of related party transactions[J].Management World,2013,(3):133-149.(in Chinese)
[17]Boehmer E,Wu J.Short selling and the price discovery process[J].Review of Financial Studies,2013,26(2):287-322.
[18]Bond P E,Edmans A,Goldstein I.The real effects of financial markets[J].Annual Review of Financial Economics,2012,4(1):339-360.
[19]Wang Z.Short Sellers,Institutional Investors,and Corporate Cash Holdings[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2410239,2014.
[20]Bertrand M,Mullainathan S.Enjoying the quiet life?Corporate governance and managerial preferences[J].Journal of Political Economy,2003,111(5):1043-1075.
[21]姜付秀,马云飙,王运通.退出威胁能抑制控股股东私利行为吗?[J].管理世界,2015,(5):147-159.Jiang Fuxiu,Ma Yunbiao,Wang Yuntong.Could the threat of exit discipline the tunneling activities of controlling shareholders?[J].Management World,2015,(5):147-159.(in Chinese)
[22]Goldstein I,Guembel A.Manipulation and the allocational role of prices[J].Review of Economic Studies,2008,75(1):133-164.
[23]Angelis D D,Grullon G,Michenaud S.The Effects of Short-Selling Threats on Incentive Contracts:Evidence from a Natural Experiment[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2238236,2015.
[24]Laeven L,Levine R.Complex ownership structures and corporate valuations[J].Review of Financial Studies,2008,21(2):579-604.
[25]La Porta R,Lopez-de-Silane F,Shleifer A,et al.Law and finance[J].Journal of Political Economy,1998,106(6):1113-1155.
[26]Chen Z,Dong G N,Gu M.The Causal Effects of Margin Trading and Short Selling on Earnings Management:A Natural Experiment from China[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2795640,2016.
[27]Gilje E P.Do firms engage in risk-shifting?Empirical evidence[J].Review of Financial Studies,2016,29(11):2925-2954.
[28]Serfling M.Firing costs and capital structure decisions[J].The Journal of Finance,2016,71(5):2239-2286.
[29]Jian M,Wong T J.Propping and tunneling through related party transactions[J].Review of Accounting Studies,2010,15:70-105.
[30]Rapach D E,Ringgenberg M C,Zhou G.Short interest and aggregate stock returns[J].Journal of Financial Economics,2016,121(1):46-65.
[31]Cheng M,Lin B,Wei M.How does the relationship between multiple large shareholders affect corporate valuations?Evidence from China[J].Journal of Economics and Business,2013,70:43-70.
[32]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了吗?——基于自然实验的证据[J].经济研究,2015,(4):165-177.Li Zhisheng,Chen Chen,Lin Bingxuan.Does short selling improve price efficiency in Chinese stock market?Evidence from natural experiments[J].Economic Research Journal,2015,(4):165-177.(in Chinese)
[33]刘烨,方立兵,李冬昕,等.融资融券交易与市场稳定性:基于动态视角的证据[J].管理科学学报,2016,19(1):103-117.Liu Ye,Fang Libing,Li Dongxin,et al.Margin trading and the stability of stock market:A dynamic perspective[J].Journal of Management Sciences in China,2016,19(1):103-117.(in Chinese)
[34]刘晓星,张旭,顾笑贤,等.投资者行为如何影响股票市场流动性?——基于投资者情绪、信息认知和卖空约束的分析[J].管理科学学报,2016,19(10):87-100.Liu Xiaoxing,Zhang Xu,Gu Xiaoxian,et al.How does investor behavior affect stock market liquidity?Analysis of investor sentiment,information cognition and short-sale constraints[J].Journal of Management Sciences in China,2016,19(10):87-100.(in Chinese)
[35]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.Chu Jian,Fang Junxiong.Margin-trading,short-selling and the deterioration of crash risk[J].Economic Research Journal,2016,(5):143-158.(in Chinese)
[36]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.Jin Qinglu,Hou Qingchuan,Li Gang,et al.Deregulation on short sale constraint,corporate investment and valuation[J].Economic Research Journal,2015,(10):76-88.(in Chinese)
[37]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.Zhang Xuan,Zhou Peng,Li Chuntao.Short selling and earnings quality:Evidence from corporate financial restatement[J].Journal of Financial Research,2016,(8):175-190.(in Chinese)
[38]Shleifer A,Vishny R W.Large shareholders and corporate control[J].Journal of Political Economy,1986,94(3):461-488.
[39]Schmidt K M.Managerial incentives and product market competition[J].Review of Economic Studies,1997,64(2):191-213.
[40]高雷,何少华,黄志忠.公司治理与掏空[J].经济学季刊,2006,5(4):1157-1178.Gao Lei,He Shaohua,Huang Zhizhong.Corporate governance and tunneling[J].China Economic Quarterly,2006,5(4):1157-1178.(in Chinese)
[41]樊纲,王小鲁,朱恒鹏.中国市场化指数:各地区市场化相对进程2011年报告[M].北京:经济科学出版社,2011,259-1318.Fan Gang,Wang Xiaolu,Zhu Hengpeng.NERI INDEX of Marketization of China’s Provinces 2009 Report[M].Beijing:Economic Science Press,2011:259-1318.(in Chinese)
[42]Fama E F,Jensen M C.Separation of ownership and control[J].Journal of Law and Economics,1983,26(2):301-325.
[43]Altman E I.Financial ratios,discriminant analysis and the prediction of corporate bankruptcy[J].The Journal of Finance,1968,23(4):589-609.
[44]Rosenbaum P R,Rubin D B.The central role of the propensity score in observational studies for causal effects[J].Biometrika,1983,70(1):41-55.
[45]Dehejia R H,Wahba S.Propensity score-matching methods for non-experimental causal studies[J].Review Economics Statistics,2002,84(1):151-161.
(2)当卖空被严格管制时,股价更多地体现了投资者对公司未来的乐观预期,而无法充分反映公司的负面消息,这种非对称的定价机制会导致公司股价被高估[1].那么,在卖空管制放松后,公司负面消息能够及时融入股价,促使股价回归内在价值,从而提高股票定价效率[2-3].基于美国资本市场,已有研究发现卖空压力能够减少公司高管的盈余管理行为[7]、在并购活动中的自利行为[8]
(3),而且对于缓解公司高管风险规避、增加公司创新投资也具有外部治理作用[9].
(4)在中国,由于投资者保护薄弱、有效经理人市场缺乏、公司治理不完善等多方面因素,公司的资源配置往往处于控股股东的强控制权下[14].凭借此控制权,控股股东通过资金占用[15]、关联交易[16]等掏空手段侵占中小股东利益.
(5)限于篇幅,第(2)个至第(4)个稳健性测试结果在文中没有报告,感兴趣的读者可向作者索取.
[2]Comerton-Forde C,Jones C M,Putni爟2 T J.Shorting at close range:A tale of two types[J].Journal of Financial Economics,2016,121:546-568.
[3]Brogaard J,Hendershott T,Riordan R.High frequency trading and the 2008 short-sale ban[J].Journal of Financial Economics,2017,124(1):22-42.
[4]Pownall G,Simko P J.The Information intermediary role of short sellers[J].The Accounting Review,2005,80(3):941-966.
[5]Drake M S,Rees L,Swanson E P.Should investors follow the prophets or the bears?Evidence on the use of public information by analysts and short sellers[J].The Accounting Review,2011,86(1):101-130.
[6]Karpoff J M,Lou X.Short sellers and financial misconduct[J].Journal of Finance,2010,65(5):1879-1913.
[7]Fang V,Huang A,Karpoff J M.Short selling and earnings management:A controlled experiment[J].Journal of Finance,2016,71(3):1251-1292.
[8]Chang E C,Lin T,Ma X.Does Short-Selling Threat Discipline Managers in Mergers and Acquisitions Decisions?[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2348193,2015.
[9]He J,Tian X.SHO Time for Innovation:The Real Effects of Short Sellers[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2380352,2015.
[10]La Porta R,Lopez-de-Silane F,Shleifer A.Corporate ownership around the world[J].Journal of Finance,1999,54:471-517.
[11]La Porta R,Lopez-de-Silane F,Shleifer A,et al.Investor protection and corporate valuation[J].Journal of Finance,2002,57:1147-1170.
[12]Shleifer A,Vishny R W.A survey of corporate governance[J].Journal of Finance,1997,52(2):737-783.
[13]Johnson S,La Porta R,Shleifer A,et al.Tunneling[J].American Economic Review,2000,90(2):22-27.
[14]Liu Q,Tian G.Controlling shareholder,expropriations and firm’s leverage decision:Evidence from Chinese non-tradable share reform[J].Journal of Corporate Finance,2012,18(4):782-803.
[15]Jiang G,Lee C,Yue H.Tunneling through inter-corporate loans:The China experience[J].Journal of Financial Economics,2010,98:1-20.
[16]魏明海,黄琼宇,程敏英.家族企业关联大股东的治理角色——基于关联交易的视角[J].管理世界,2013,(3):133-149.Wei Minghai,Huang Qiongyu,Cheng Minying.The role of related large shareholders in family firms:A study from the perspective of related party transactions[J].Management World,2013,(3):133-149.(in Chinese)
[17]Boehmer E,Wu J.Short selling and the price discovery process[J].Review of Financial Studies,2013,26(2):287-322.
[18]Bond P E,Edmans A,Goldstein I.The real effects of financial markets[J].Annual Review of Financial Economics,2012,4(1):339-360.
[19]Wang Z.Short Sellers,Institutional Investors,and Corporate Cash Holdings[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2410239,2014.
[20]Bertrand M,Mullainathan S.Enjoying the quiet life?Corporate governance and managerial preferences[J].Journal of Political Economy,2003,111(5):1043-1075.
[21]姜付秀,马云飙,王运通.退出威胁能抑制控股股东私利行为吗?[J].管理世界,2015,(5):147-159.Jiang Fuxiu,Ma Yunbiao,Wang Yuntong.Could the threat of exit discipline the tunneling activities of controlling shareholders?[J].Management World,2015,(5):147-159.(in Chinese)
[22]Goldstein I,Guembel A.Manipulation and the allocational role of prices[J].Review of Economic Studies,2008,75(1):133-164.
[23]Angelis D D,Grullon G,Michenaud S.The Effects of Short-Selling Threats on Incentive Contracts:Evidence from a Natural Experiment[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2238236,2015.
[24]Laeven L,Levine R.Complex ownership structures and corporate valuations[J].Review of Financial Studies,2008,21(2):579-604.
[25]La Porta R,Lopez-de-Silane F,Shleifer A,et al.Law and finance[J].Journal of Political Economy,1998,106(6):1113-1155.
[26]Chen Z,Dong G N,Gu M.The Causal Effects of Margin Trading and Short Selling on Earnings Management:A Natural Experiment from China[R].Working Paper,https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2795640,2016.
[27]Gilje E P.Do firms engage in risk-shifting?Empirical evidence[J].Review of Financial Studies,2016,29(11):2925-2954.
[28]Serfling M.Firing costs and capital structure decisions[J].The Journal of Finance,2016,71(5):2239-2286.
[29]Jian M,Wong T J.Propping and tunneling through related party transactions[J].Review of Accounting Studies,2010,15:70-105.
[30]Rapach D E,Ringgenberg M C,Zhou G.Short interest and aggregate stock returns[J].Journal of Financial Economics,2016,121(1):46-65.
[31]Cheng M,Lin B,Wei M.How does the relationship between multiple large shareholders affect corporate valuations?Evidence from China[J].Journal of Economics and Business,2013,70:43-70.
[32]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了吗?——基于自然实验的证据[J].经济研究,2015,(4):165-177.Li Zhisheng,Chen Chen,Lin Bingxuan.Does short selling improve price efficiency in Chinese stock market?Evidence from natural experiments[J].Economic Research Journal,2015,(4):165-177.(in Chinese)
[33]刘烨,方立兵,李冬昕,等.融资融券交易与市场稳定性:基于动态视角的证据[J].管理科学学报,2016,19(1):103-117.Liu Ye,Fang Libing,Li Dongxin,et al.Margin trading and the stability of stock market:A dynamic perspective[J].Journal of Management Sciences in China,2016,19(1):103-117.(in Chinese)
[34]刘晓星,张旭,顾笑贤,等.投资者行为如何影响股票市场流动性?——基于投资者情绪、信息认知和卖空约束的分析[J].管理科学学报,2016,19(10):87-100.Liu Xiaoxing,Zhang Xu,Gu Xiaoxian,et al.How does investor behavior affect stock market liquidity?Analysis of investor sentiment,information cognition and short-sale constraints[J].Journal of Management Sciences in China,2016,19(10):87-100.(in Chinese)
[35]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.Chu Jian,Fang Junxiong.Margin-trading,short-selling and the deterioration of crash risk[J].Economic Research Journal,2016,(5):143-158.(in Chinese)
[36]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.Jin Qinglu,Hou Qingchuan,Li Gang,et al.Deregulation on short sale constraint,corporate investment and valuation[J].Economic Research Journal,2015,(10):76-88.(in Chinese)
[37]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.Zhang Xuan,Zhou Peng,Li Chuntao.Short selling and earnings quality:Evidence from corporate financial restatement[J].Journal of Financial Research,2016,(8):175-190.(in Chinese)
[38]Shleifer A,Vishny R W.Large shareholders and corporate control[J].Journal of Political Economy,1986,94(3):461-488.
[39]Schmidt K M.Managerial incentives and product market competition[J].Review of Economic Studies,1997,64(2):191-213.
[40]高雷,何少华,黄志忠.公司治理与掏空[J].经济学季刊,2006,5(4):1157-1178.Gao Lei,He Shaohua,Huang Zhizhong.Corporate governance and tunneling[J].China Economic Quarterly,2006,5(4):1157-1178.(in Chinese)
[41]樊纲,王小鲁,朱恒鹏.中国市场化指数:各地区市场化相对进程2011年报告[M].北京:经济科学出版社,2011,259-1318.Fan Gang,Wang Xiaolu,Zhu Hengpeng.NERI INDEX of Marketization of China’s Provinces 2009 Report[M].Beijing:Economic Science Press,2011:259-1318.(in Chinese)
[42]Fama E F,Jensen M C.Separation of ownership and control[J].Journal of Law and Economics,1983,26(2):301-325.
[43]Altman E I.Financial ratios,discriminant analysis and the prediction of corporate bankruptcy[J].The Journal of Finance,1968,23(4):589-609.
[44]Rosenbaum P R,Rubin D B.The central role of the propensity score in observational studies for causal effects[J].Biometrika,1983,70(1):41-55.
[45]Dehejia R H,Wahba S.Propensity score-matching methods for non-experimental causal studies[J].Review Economics Statistics,2002,84(1):151-161.
(2)当卖空被严格管制时,股价更多地体现了投资者对公司未来的乐观预期,而无法充分反映公司的负面消息,这种非对称的定价机制会导致公司股价被高估[1].那么,在卖空管制放松后,公司负面消息能够及时融入股价,促使股价回归内在价值,从而提高股票定价效率[2-3].基于美国资本市场,已有研究发现卖空压力能够减少公司高管的盈余管理行为[7]、在并购活动中的自利行为[8]
(3),而且对于缓解公司高管风险规避、增加公司创新投资也具有外部治理作用[9].
(4)在中国,由于投资者保护薄弱、有效经理人市场缺乏、公司治理不完善等多方面因素,公司的资源配置往往处于控股股东的强控制权下[14].凭借此控制权,控股股东通过资金占用[15]、关联交易[16]等掏空手段侵占中小股东利益.
(5)限于篇幅,第(2)个至第(4)个稳健性测试结果在文中没有报告,感兴趣的读者可向作者索取.