信息披露质量与卖空

【作者】 邹勇；

【导师】 石莉斯；

【作者基本信息】 中南财经政法大学 ， 金融学， 2020， 硕士

【摘要】 卖空机制自诞生之初,因其对资本市场的重要性以及其具有的争议性受到学界的广泛关注。一系列关于信息披露质量影响卖空的文献开始“崭露头角”。Efendi(2005)发现卖空者擅长通过考察公司的信息披露质量情况如是否违规披露信息或者披露虚假信息来检测公司的股价是否被高估,以此来选择卖空的目标。Karpoff和Lou(2010)的研究发现卖空者有能力识别出那些因为披露虚假财务信息而被高估的股票并通过卖空这些股票而获利。信息披露作为资本市场的基石是投资者进行资产配置的核心考察要素。卖空者的投资策略无疑也会受到信息披露水平的直接或者间接的影响。另一方面,由于近年来发生的一系列信息披露造假行为如美国的安然事件以及中国的辉山乳业事件,与信息披露的相关的研究受到学界的重视。因此,在参考现有研究的基础上,本文想探究中国股市中的卖空行为是否以及如何受到信息披露质量的影响。本文采用深证证券交易所(SZSE)的信息披露考核指标衡量公司的信息披露质量。通过使用这个衡量信息披露的综合指标,本文研究了信息披露质量对卖空的影响。基于2010年至2018年深圳证券交易所(SZSE)上市公司的样本,本文发现,在控制相关变量并考虑内生性问题后,更高的信息披露质量增加了公司的卖空压力。为了进一步研究其影响机制,本文参考了Hou和Moskowitz(2005)的研究,选取了投资关注变量(分析师关注,机构投资者持股等)和流动性变量(股票价格,交易天数以及非流动性比率)来研究信息披露质量影响卖空的具体路径。更高的信息披露质量增加了股票流动性(Schoenfeld(2017))和投资者关注(Tsaoa等(2016))。卖空投资者倾向于卖空那些流动性高和被投资者关注更多的股票,因为更高的流动性意味着更低的交易成本(Dechow(2001))。同时,投资者关注度越高,股价越有可能被高估(Baber等(2008),王磊和孔东民(2014)),从而会导致股票被卖空增加。本文的研究结果表明,与投资者关注相关的信息披露成分与卖空有显著的正相关关系,与流动性相关的信息披露成分对卖空的影响不显著。这说明信息披露质量高的公司通过吸引到更多的投资者关注从而导致卖空增加,即与流动性相比,投资者关注是信息披露影响卖空的主要传导路径。考虑到卖空压力所具有的公司治理效应会提升信息披露质量所导致的内生性问题,本文在稳健性检验部分选取了工具变量模型进行了内生性问题处理。本文的研究结果表明,通过选用有效的工具变量缓解了内生性问题之后,更高的信息披露质量通过投资者关注增加卖空的结论依然成立。同时,考虑到不同市场信息环境的差异性可能对结果产生的影响,本文在额外测试部分把深交所上市公司样本按照主板,中小板和创业板进行划分,然后考察了不同板块中信息披露质量对卖空的影响。通过研究发现,在市场信息环境更好的主板和中小板中,信息披露质量通过投资者关注增加卖空的结论依然成立,而在信息环境相对较差的创业板中,信息披露对卖空没有显著的影响。与以往文献相比,本文主要的创新点为以下两点。首先,以往关于信息披露和卖空的研究,主要是基于会计信息披露的角度探讨信息披露对卖空的影响。本文所借鉴的信息披露质量指标从更广的维度衡量了公司整体的信息披露水平,所以本文考察了公司整体信息披露质量水平对于卖空的影响,避免了因为只选择部分信息披露方式来衡量信息披露水平所导致的回归误差(Botosan和Plumlee(2002))。其次,本文不仅研究了信息披露质量对于卖空的直接影响,而且还通过借鉴Hou和Moskowitz(2005)的研究方法,从投资者关注和流动性角度研究了信息披露质量影响卖空的具体机制。本文的结果表明,与流动性相比,更高的信息披露质量通过投资者关注显著增加了卖空。更多还原

【Abstract】 Since the beginning of the short-selling mechanism,it has received widespread attention from the academic community for its importance to the capital market and its controversy.The literature on the quality of information disclosure affecting short-selling has begun to emerge.Efendi(2005)finds that short sellers are good at selecting short-selling targets by examining the company’s information disclosure quality,such as whether it disclosed information in violation of regulations or the disclosure of false information to detect whether the company’s stock price is overvalued.Karpoff and Lou(2010)research shows that short sellers have the ability to find stocks that have been overvalued by disclosing false financial information and profit from short-selling those stocks.Information disclosure,as the cornerstone of the capital market,is the core element of investors’ asset allocation.The investment strategy of short sellers will undoubtedly be directly or indirectly affected by the level of information disclosure.On the other hand,due to a series of fraudulent acts of disclosure in recent years,such as the Enron incident in the United States and the Huishan dairy incident in China,more and more attention has been paid to the research related to information disclosure.Therefore,based on the existing research,this article wants to explore whether and how short-selling in China’s stock market is affected by the quality of information disclosure.This article uses the information disclosure assessment indicators of the Shenzhen Stock Exchange to measure the company’s information disclosure level.By using this comprehensive indicator of information disclosure,we study the impact of the quality of information disclosure on short-selling.Based on a sample of companies listed on the Shenzhen Stock Exchange(SZSE)from 2010 to 2018,this research finds that after controlling for relevant variables and considering endogenous issues,higher quality of information disclosure can increase the company’s short-selling pressure.In order to further study its impact mechanism,this paper refers to the research of Hou and Moskowitz(2005),and selects investor attention(analyst attention and institutional investor holdings,etc)and liquidity variables(stock price,trading days and illiquidity ratio)to study the specific path of the quality of information disclosure affecting short-selling.Higher quality of information disclosure increases stock liquidity(Schoenfeld(2017))and investor attention(Tsao et al.(2016)).Research by Dechow et al.(2001)finds that short-selling investors tend to short-selling those stocks with high liquidity,because short-selling transaction costs of stocks with high liquidity will be lower.The higher the investor’s attention,the more likely the stock price will be overvalued(Baber et al.2008,Wang Lei and Kong Dongmin 2014),which will lead to an increase in short-selling of the stock.The research results in this article show that the information disclosure components related to investor attention have a significant positive correlation with short-selling,and the liquidity-related information disclosure components have no significant effect on short-selling.This shows that high quality of information disclosure lead to increased short-selling pressure by attracting more investor’ attention.compared with liquidity,investor attention is the main transmission path of information disclosure affecting short sales.Considering that the corporate governance effect of short selling may lead to endogenous problems caused by the improvement of the quality of information disclosure,this paper selects instrumental variables in the robustness test section to deal with endogenous problems.The research results in this paper show that the conclusion that higher short-term quality of information disclosure through investors’ attention to increase short-selling is still valid after the endogenous problems are alleviated by selecting effective instrumental variables.At the same time,considering the possible impact of the differences in the information environment in different markets,this article divides the Shenzhen Stock Exchange listed company samples into main boards,small and medium-sized boards and GEM in the additional testing section,and then examines the effect of short-selling on short-selling in different sections.Research shows that,in the mainboard and small and medium-sized boards with better market information environment,the conclusion that the quality of information disclosure is increased by investors’ attention is still valid,while in the GEM where the information environment is relatively poor,information disclosure has no significant impact on short-selling.Compared with previous literature,the main innovations of this paper are the following two points.First of all,previous research on information disclosure and short-selling mainly explore the impact of information disclosure on short-selling from the perspective of accounting information disclosure.The information disclosure quality index used in this article measures the overall level of information disclosure of the company from a broader dimension,so this article examines the impact of the overall level of information disclosure quality of the company on short-selling,and avoids possible regression errors because of selecting part of the information disclosure method to measure the level of information disclosure(Botosan and Plumlee(2002)).Secondly,this paper not only studies the direct impact of the quality of information disclosure on short selling,by drawing on the research methods of Hou and Moskowitz(2005),but also explores the specific mechanism that the quality of information disclosure affects short-selling from the perspective of investors attention(analyst concerns,institutional investor shareholding,advertising fees,etc.)and liquidity(stock price,trading days and illiquidity ratio).The results of this article show that,compared to liquidity,higher quality of information disclosure significantly increases short selling through investor attention.更多还原