融资融券、信息透明度与企业投资效率
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摘要
以2004～2016年沪深两市A股上市公司数据为样本,运用双重差分模型,考察融资融券制度对企业层面投资效率的影响以及信息透明度的中介作用。研究发现,融资融券可以提高企业信息透明度,并能够降低企业的过度投资和投资不足程度,且信息透明度是融资融券约束企业非效率投资行为的重要中介因素。进一步检验发现,在内外部治理机制较弱的公司中,融资融券提高投资效率的治理效应更加明显,说明融资融券制度与企业内部和外部治理机制之间存在替代关系。上述结果表明,融资融券交易有助于改善公司的信息环境及投资行为,具有显著的治理效应。
引文
[1]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?--基于双重差分模型的实证研究[J].管理世界,2012(5):52~61.
[2]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?--基于自然实验的证据[J].经济研究,2015(4):165~177.
[3]廖士光,杨朝军.卖空交易机制、波动性和流动性--一个基于香港股市的经验研究[J].管理世界,2005(12):6~13.
[4]古志辉,郝项超,张永杰.卖空约束、投资者行为和A股市场的定价泡沫[J].金融研究,2011(2):129~148.
[5]李科,徐龙炳,朱伟骅.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.
[6]陈海强,范云菲.融资融券交易制度对中国股市波动率的影响--基于面板数据政策评估方法的分析[J].金融研究,2015(6):159~172.
[7]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性--来自中国融资融券市场的自然实验[J].金融研究,2015(6):173~188.
[8]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.
[9]Miller E.M..Risk,Uncertainty,and Divergence of Opinion[J].The Journal of Finance,1977(4):1151~1168.
[10]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.
[11]Fang V.W.,Huang A.,Karpoff J..Short Selling and Earnings Management:A Controlled Experiment[J].The Journal of Finance,2016(3):1251~1294.
[12]Christophe S.,Ferri M.,Angel J..Short Selling Prior to Earnings Announcements[J].The Journal of Finance,2004(4):1845~1875.
[13]Massa M.,Zhang B.,Zhang H..The Invisible Hand of Short Selling:Does Short Selling Discipline Earnings Management?[J].Review of Financial Studies,2015(6):1701~1736.
[14]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.
[15]李丹,袁淳,廖冠民.卖空机制与分析师乐观性偏差--基于双重差分模型的检验[J].会计研究,2016(9):25~31.
[16]Goldstein I.,Guembel A..Manipulation and the Allocational Role of Prices[J].Review of Economic Studies,2010(1):133~164.
[17]Beber A.,Pagano M..Short-Selling Bans Around the World:Evidence from the 2007-2009Crisis[J].The Journal of Finance,2013(1):343~381.
[18]肖浩,孔爱国.融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验[J].管理世界,2014(8):30~43.
[19]Boehmer E.,Wu J..Short Selling and the Price Discovery Process[J].Review of Financial Studies,2013(2):287~322.
[20]Diether K.,Lee K.,Werner I..Short-Sale Strategies and Return Predictability[J].Review of Financial Studies,2008(2):575~607.
[21]Mitchell M.,Pulvino T.,Stafford E..Price Pressure around Mergers[J].The Journal of Finance,2004(1):31~63.
[22]Chang E.C.,Lin T.C.,Ma X..Does Shortselling Threat Discipline Managers in Mergers and Acquisitions Decisions?[D].HongKong:The University of Hong Kong,2015.
[23]He J.,Tian X..Do Short Sellers Exacerbate or Mitigate Managerial Myopia?Evidence from Patenting Activities[D].Athens:University of Georgia,2016.
[24]Sun H.,Yin S..Short Selling,Insider Trading and Large Controlling Shareholders[M].New York:Social Science Electronic Publishing,2016:1~200.
[25]Graham J.E.,Hughen J.C..Ownership Structure,Expectations,and Short Sales on the Nasdaq[J].Journal of Economics and Finance,2007(1):33~48.
[26]De Angelis D.,Grullon G.,Michenaud S..The Effects of Short-Selling Threats on Incentive Contracts:Evidence from an Experiment[J].Review of Financial Studies,2013(7-8):262~263.
[27]Hope O.K.,Hu D.,Zhao W..Third-Party Consequences of Short-Selling Threats:The Case of Auditor Behavior[J].Journal of Accounting and Economics,2017(4~5):479~498.
[28]Verdi R.S..Information Environment and the Cost of Equity Capital[M].New York:Social Science Electronic Publishing,2005:1~200.
[29]Biddle G.,Hilary G..Accounting Quality and Firm-Level Capital Investment[J].The Accounting Review,2006(5):963~982.
[30]李延喜,曾伟强,马壮,陈克兢.外部治理环境、产权性质与上市公司投资效率[J].南开管理评论,2015(1):25~36.
[31]Dechow P.,Ge W.,Schrand C..Understanding Earnings Quality:A Review of the Proxies,Their Determinants and Their Consequences[J].Journal of Accounting and Economics,2010(2-3):344~401.
[32]Khan M.,Watts R.L..Estimation and Empirical Properties of a Firm-Year Measure of Accounting Conservatism[J].Journal of Accounting and Economics,2009(2-3):132~150.
[33]Basu S..The Conservatism Principle and the Asymmetric Timeliness of Earnings[J].Journal of Accounting and Economics,1997(1):3~37.
[34]Richardson S..Over-investment of Free Cash Flow[J].Review of Accounting Studies,2006(2):159~189.
[35]辛清泉,林斌,王彦超.政府控制、经理薪酬与资本投资[J].经济研究,2007(8):110~122.
[36]Francis J.,Nanda D.,Olsson P..Voluntary Disclosure,Earnings Quality,and Cost of Capital[J].Journal of Accounting Research,2008(1):53~99.
[37]刘慧龙,吴联生,王亚平.国有企业改制、董事会独立性与投资效率[J].金融研究,2012(9):127~140.
[38]李维安,徐建.董事会独立性、总经理继任与战略变化幅度--独立董事有效性的实证研究[J].南开管理评论,2014(1):4~13.
[39]李小荣,张瑞君.股权激励影响风险承担:代理成本还是风险规避?[J].会计研究,2014(1):57~63.
[40]徐倩.不确定性、股权激励与非效率投资[J].会计研究,2014(3):41~48.作者单位:湖南大学工商管理学院,长沙410082
[2]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?--基于自然实验的证据[J].经济研究,2015(4):165~177.
[3]廖士光,杨朝军.卖空交易机制、波动性和流动性--一个基于香港股市的经验研究[J].管理世界,2005(12):6~13.
[4]古志辉,郝项超,张永杰.卖空约束、投资者行为和A股市场的定价泡沫[J].金融研究,2011(2):129~148.
[5]李科,徐龙炳,朱伟骅.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.
[6]陈海强,范云菲.融资融券交易制度对中国股市波动率的影响--基于面板数据政策评估方法的分析[J].金融研究,2015(6):159~172.
[7]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性--来自中国融资融券市场的自然实验[J].金融研究,2015(6):173~188.
[8]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.
[9]Miller E.M..Risk,Uncertainty,and Divergence of Opinion[J].The Journal of Finance,1977(4):1151~1168.
[10]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.
[11]Fang V.W.,Huang A.,Karpoff J..Short Selling and Earnings Management:A Controlled Experiment[J].The Journal of Finance,2016(3):1251~1294.
[12]Christophe S.,Ferri M.,Angel J..Short Selling Prior to Earnings Announcements[J].The Journal of Finance,2004(4):1845~1875.
[13]Massa M.,Zhang B.,Zhang H..The Invisible Hand of Short Selling:Does Short Selling Discipline Earnings Management?[J].Review of Financial Studies,2015(6):1701~1736.
[14]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.
[15]李丹,袁淳,廖冠民.卖空机制与分析师乐观性偏差--基于双重差分模型的检验[J].会计研究,2016(9):25~31.
[16]Goldstein I.,Guembel A..Manipulation and the Allocational Role of Prices[J].Review of Economic Studies,2010(1):133~164.
[17]Beber A.,Pagano M..Short-Selling Bans Around the World:Evidence from the 2007-2009Crisis[J].The Journal of Finance,2013(1):343~381.
[18]肖浩,孔爱国.融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验[J].管理世界,2014(8):30~43.
[19]Boehmer E.,Wu J..Short Selling and the Price Discovery Process[J].Review of Financial Studies,2013(2):287~322.
[20]Diether K.,Lee K.,Werner I..Short-Sale Strategies and Return Predictability[J].Review of Financial Studies,2008(2):575~607.
[21]Mitchell M.,Pulvino T.,Stafford E..Price Pressure around Mergers[J].The Journal of Finance,2004(1):31~63.
[22]Chang E.C.,Lin T.C.,Ma X..Does Shortselling Threat Discipline Managers in Mergers and Acquisitions Decisions?[D].HongKong:The University of Hong Kong,2015.
[23]He J.,Tian X..Do Short Sellers Exacerbate or Mitigate Managerial Myopia?Evidence from Patenting Activities[D].Athens:University of Georgia,2016.
[24]Sun H.,Yin S..Short Selling,Insider Trading and Large Controlling Shareholders[M].New York:Social Science Electronic Publishing,2016:1~200.
[25]Graham J.E.,Hughen J.C..Ownership Structure,Expectations,and Short Sales on the Nasdaq[J].Journal of Economics and Finance,2007(1):33~48.
[26]De Angelis D.,Grullon G.,Michenaud S..The Effects of Short-Selling Threats on Incentive Contracts:Evidence from an Experiment[J].Review of Financial Studies,2013(7-8):262~263.
[27]Hope O.K.,Hu D.,Zhao W..Third-Party Consequences of Short-Selling Threats:The Case of Auditor Behavior[J].Journal of Accounting and Economics,2017(4~5):479~498.
[28]Verdi R.S..Information Environment and the Cost of Equity Capital[M].New York:Social Science Electronic Publishing,2005:1~200.
[29]Biddle G.,Hilary G..Accounting Quality and Firm-Level Capital Investment[J].The Accounting Review,2006(5):963~982.
[30]李延喜,曾伟强,马壮,陈克兢.外部治理环境、产权性质与上市公司投资效率[J].南开管理评论,2015(1):25~36.
[31]Dechow P.,Ge W.,Schrand C..Understanding Earnings Quality:A Review of the Proxies,Their Determinants and Their Consequences[J].Journal of Accounting and Economics,2010(2-3):344~401.
[32]Khan M.,Watts R.L..Estimation and Empirical Properties of a Firm-Year Measure of Accounting Conservatism[J].Journal of Accounting and Economics,2009(2-3):132~150.
[33]Basu S..The Conservatism Principle and the Asymmetric Timeliness of Earnings[J].Journal of Accounting and Economics,1997(1):3~37.
[34]Richardson S..Over-investment of Free Cash Flow[J].Review of Accounting Studies,2006(2):159~189.
[35]辛清泉,林斌,王彦超.政府控制、经理薪酬与资本投资[J].经济研究,2007(8):110~122.
[36]Francis J.,Nanda D.,Olsson P..Voluntary Disclosure,Earnings Quality,and Cost of Capital[J].Journal of Accounting Research,2008(1):53~99.
[37]刘慧龙,吴联生,王亚平.国有企业改制、董事会独立性与投资效率[J].金融研究,2012(9):127~140.
[38]李维安,徐建.董事会独立性、总经理继任与战略变化幅度--独立董事有效性的实证研究[J].南开管理评论,2014(1):4~13.
[39]李小荣,张瑞君.股权激励影响风险承担:代理成本还是风险规避?[J].会计研究,2014(1):57~63.
[40]徐倩.不确定性、股权激励与非效率投资[J].会计研究,2014(3):41~48.作者单位:湖南大学工商管理学院,长沙410082