【作者】 刘扬；

【导师】 蔡胜勋；

【作者基本信息】 河南大学 ， 金融硕士（专业学位）， 2020， 硕士

【摘要】 2010年3月31日,我国证券市场正式开始融资融券业务,自此“单边市”的状态结束,也标志着卖空机制正式进入我国的资本市场。至今融资融券已有9年的发展历程,截至2019年9月融资融券标的股票数量已达到950只,融资融券余额达到9890亿元。随着进入卖空标的范围企业的数量不断增长,市场参与者不断增多,融资融券制度对资本市场和企业行为都产生了一定的影响。国内学者对卖空机制的研究多是针对资本市场。经研究发现,卖空机制对资本市场有平抑价格波动、提高股票定价效率等的积极作用,而对企业行为的影响尤其是微观行为的研究较少。企业的融资行为和融资能力近年来逐渐得到国内外广大学者们的关注,尤其是企业的融资约束现象。融资作为企业经济活动的重要组成部分,其不仅影响企业自身的发展进步,也关系到宏观经济的整体运行情况。同时缓解企业的融资约束问题也是企业升级转型、获得更好发展的必要举措。根据优序融资理论,企业的融资方式存在优先次序安排,当企业的内部融资难以满足其投资需求时,企业会寻求外部融资。而在一个不完美的市场中,市场摩擦和信息滞后使得外部投资者处于信息劣势,故投资者出于风险考虑会要求较高的风险溢价,这使得外部融资成本高于内部融资成本,进而使企业面临融资约束问题。已有文献表明,卖空机制在制度上允许投资者“用脚投票”,从企业股价下跌中获利的机会激励了卖空投资者主动挖掘企业的负面信息,对企业管理层起到外部监督作用,约束其自利行为和机会主义行为,是一种有效的公司治理机制。而且其信息治理效应对企业的信息环境有改善作用,提高了信息数量和信息披露质量,有效降低其信息不对称程度。故本文从卖空机制的公司治理效应和信息治理效应的角度,研究了卖空机制对上市公司融资约束现象的缓解作用,并对其传导路径加以验证。本文首先采用了规范研究的方法,以信息不对称理论、信号传递理论和委托代理理论为依据对问题进行理论分析,且以卖空机制的发展现状分析为现实依据,最后用实证研究的方法,以2008-2018年间沪深两市A股上市公司作为研究样本,以国内资本市场分步扩容的融资融券制度这一“准自然实验”为契机,利用双重差分模型实证检验了卖空机制与企业现金-现金流敏感性的关系,并分析其传导路径。实证结果表明:(1)企业进入融资融券标的后,卖空管制得到放松,有效降低了企业的现金-现金流敏感性,即企业的融资约束得到缓解;(2)本文继而对融资交易和融券交易区分检验,发现融资交易对企业融资约束的影响并不显著,而融券交易的影响是显著的。(3)用相同的方法将按信息不对称程度高低将样本分为两组,实证发现卖空机制对企业融资约束的缓解作用在信息不对称程度高的组中更为显著,即卖空机制可以通过降低企业信息不对称程度来缓解企业融资约束,进一步证明了卖空机制存在一定的信息治理效应。(4)将样本分为高治理水平和低治理水平组,研究发现在治理水平低的组中,卖空机制的缓解作用更为显著,即卖空机制通过改善企业的治理水平来缓解其融资约束,进一步证明了卖空机制有一定的公司治理效应。最后本文针对实证结果给出了富有建设性的政策建议:(1)上市公司应重视卖空机制,主动配合以发挥其治理效应,改善市场环境,提高公司治理水平。(2)资本市场应加强监管,保持市场的透明度,充分发挥卖空机制的积极作用,提高市场稳定性和有效性。更多还原

【Abstract】 On March 31,2010,China’s securities market officially started margin trading.Since then,the state of "unilateral market" has ended,which also marks the formal entry of short selling mechanism into China’s capital market.Up to now,it has been 9 years of development.As of September 2019,the number of underlying stocks has reached 950,and the balance has reached 989 billion yuan.With the increasing number of enterprises entering the scope of short selling and the increasing number of market participants,margin trading system has a certain impact on the capital market and corporate behavior.Domestic scholars mostly focus on the capital market.It is found that the short selling mechanism has a positive effect on the capital market,such as stabilizing the price fluctuation and improving the efficiency of stock pricing.In recent years,the financing behavior and financing ability of enterprises have gradually attracted the attention of scholars at home and abroad,especially the phenomenon of financing constraints.As an important part of the economic activities of enterprises,financing not only affects the development and progress of enterprises,but also relates to the overall operation of macro-economy.At the same time,easing the financing constraints of enterprises is also a necessary measure for enterprises to upgrade,transform and get better development.According to the priority financing theory,there is a priority arrangement in the financing mode of enterprises.When the internal financing of enterprises is difficult to meet their investment needs,enterprises will seek external financing.In an imperfect market,market friction and information lag make external investors in information disadvantage,so investors will require a higher risk premium for risk consideration,which makes the external financing cost higher than the internal financing cost,and then makes enterprises face financing constraints.The existing literature shows that the short selling mechanism allows investors to "vote with their feet" in the system,and the opportunity to profit from the decline of the stock price of the enterprise encourages the short selling investors to actively mine the negative information of the enterprise,plays an external supervision role on the enterprise management,and restricts their self-interest behavior and opportunistic behavior,which is an effective corporate governance mechanism.And its information governance effect can improve the information environment of enterprises,improve the quantity and quality of information disclosure,and effectively reduce the degree of information asymmetry.Therefore,from the perspective of corporate governance effect and information governance effect of short selling mechanism,this paper studies the mitigation effect of short selling mechanism on financing constraints of listed companies,and verifies its transmission path.This paper first uses the normative research method to analyze the problems based on the information asymmetry theory,the signal transmission theory and the principal-agent theory,and takes the analysis of the development status of the short selling mechanism as the practical basis,and finally uses the empirical research method to take the A-share listed companies in Shanghai and Shenzhen Stock Markets between 2008 and 2018 as the research sample and the financing of the domestic capital market’s step-by-step expansion Taking the opportunity of "quasi natural experiment" of securities lending system,this paper empirically tests the relationship between short selling mechanism and cash flow sensitivity of enterprises by using double difference model,and analyzes its transmission path.The empirical results show that:(1)after the enterprises enter into the subject of margin trading,the short selling control is relaxed,which effectively reduces the cash cash flow sensitivity of enterprises,that is,the financing constraints of enterprises are relieved;(2)this paper then tests the difference between financing transactions and margin trading,and finds that the impact of financing transactions on the financing constraints of enterprises is not significant,while the impact of margin trading is significant.(3)By using the same method,the samples are divided into two groups according to the degree of information asymmetry.Empirical results show that the effect of short selling mechanism on corporate financing constraints is more significant in the group with high degree of information asymmetry,that is,short selling mechanism can alleviate corporate financing constraints by reducing the degree of information asymmetry,which further proves that short selling mechanism has certain information governance effect.(4)This paper divides the sample into high governance level group and low governance level group.The research finds that in the low governance level group,the short selling mechanism can alleviate the financing constraints by improving the corporate governance level,which further proves that the short selling mechanism has certain corporate governance effect.Finally,this paper gives some constructive policy suggestions based on the empirical results:(1)listed companies should attach importance to the short selling mechanism,actively cooperate to play its governance effect,improve the market environment,and improve the level of corporate governance.(2)The capital market should strengthen supervision,keep the transparency of the market,give full play to the positive role of short selling mechanism,and improve the stability and effectiveness of the market.更多还原