【摘要】 卖空威胁的存在增加了企业避税的成本,从而导致卖空交易逐渐成为一种外部治理机制,具有税收"征管"效应。本文利用2006-2015年中国A股上市公司的数据,考察了卖空机制对企业避税行为的影响及其机制。首先,本文将中国2010年启动的融券试点视为一个准自然试验,运用多时点双重差分方法,发现在融券试点后,卖空标的企业的避税规模显著下降。其次,本文运用融券余额测度卖空势力,用ETF基金持股比例作为工具变量,发现空头势力越大,企业避税规模的缩减幅度越大。再次,本文进行了一系列稳健性检验,包括构建PSM-DID模型、限制样本在沪深300成分股以内(外)、利用转融通政策建立DID模型,其结果都支持卖空机制具有税收征管功能。此外,外部环境的异质性也会影响卖空的税收征管效应,我们发现在金融市场欠发达和法律环境不完善的地区,卖空对企业避税的影响更加显著,这表明卖空机制能够弥补企业外部治理的不足,减少企业避税。最后,在机制检验中,我们发现降低企业的信息不对称程度是卖空机制约束经理人行为以减少企业避税的重要渠道。因此,在防范恶意卖空行为的同时,适当允许卖空,可以有效降低企业的信息不对称性,这不仅能弥补公司治理和企业外部监管的不足,还能有效地规范经理人的税收筹划。这对于政府公共服务和社会福利的提供以及经济的可持续发展都至关重要。更多还原

【Abstract】 Short selling was totally banned in China before 2010. On 31 March 2010, the China Securities Regulatory Commission(CSRC) permitted margin trading and securities lending under a pilot program for the first time, in which the CSRC approved 90 blue-chip securities for margin trading and securities lending. There are five large scales adjustment to the pilot program where more and more stocks are permitted for this kind of marginal trading and this list expended to cover 990 companies. In the initial of this program, the trading volume of security lending is very low. To encourage security lending, the CSRC work out a new plan called “refinancing mechanism” which permits banks, insurance companies and funds to provide stock shares they hold to brokerage firms in order to be short sold. Mean time, the China Securities Finance Corporations is established in August 30, 2012 and the implemented the first refinancing on Feb 28, 2013. The above two policies created external shocks to short selling, which permits us to use a difference-in-differences methods to investigate the relationship between short selling and tax-avoidance. Short selling may influence corporate behavior, including tax paying behavior, through the following channels:(1) reduced information asymmetric;(2) enhanced effectiveness of managerial contract and(3) attracting more external monitoring. The effectiveness of short selling on corporate tax paying behavior will also be affected by the governance environments of listed firms. We propose that the effectiveness of short selling is not a kind of stand alone phenomenon and the effect of short selling depends on the development of market mechanisms as well as the legal protection. Based on the above reasoning, this article developed the following hypothesis: H1:Listed firms which are selected to the short selling pilot program will engage in less tax avoidance activities after being added to the short selling list, compared with peer firms which are not participated into the short selling program. H2: The decreasing tax avoidance effect will be more pronounced for firms located in regions with developed market mechanisms H3: The decreasing tax avoidance effect will be more pronounced for firms located in regions with better legal protection. We test the above hypothesis with a data set of China’s listed firms. We proxy corporate tax avoidance from three dimensions. Firstly, following Mills(1998) we use the Book-Tax Difference as our first measure; Secondly, following Desai & Dharmapala(2006), we project the Book-Tax Difference onto the total accrual and use the estimated residual term as our second measure of tax avoidance; and thirdly, we follow Kim et al.(2011)and use the first component of the above tow measures as our third measure. It is not avoidable that there exists a bi-directional causality between short selling and tax avoidance. To easy this endogenous issue, we take advantage of short sale pilot program initialed by CSRX since 2010. This series of experiments added more and more listed firms to the able-to-short list, which creates an external shock in terms of short selling. This permits us to use a difference-in-differences approach to test the effect of short selling on corporate tax avoidance. We also use the permission of investment fund and insurance to provide shares to be short by investors as another external shock on short sale as well as instrumental approach to test our hypothesis. Over all, we find that the larger the short sale pressure, the less the corporate tax avoidance. We entitle this effect as the tax-dog effect of short selling, instead of tax-dodger. Further split sample analysis shows that the above tax-dog effect is more pronounced for firms located in regions with less developed financial market and/or weak legal protection environments, suggesting that there is a substitute effect between short selling and other corporate governance mechanisms. Finally, we find that short selling can reduce tax avoidance by reducing the information asymmetry. Thus, the role of short selling in reducing information asymmetry not only contributes to strengthen corporate governance mechanisms, but also to discipline managers’ behaviors in terms of tax avoidance, which is especially important for government’s providing of social welfare, social stability and a sustainable economic growth in China.更多还原