Abstract:
Short selling has been evolving into an important governance mechanism in China. Using a data set of listed firms in the Shenzhen Security Exchange during 2006 to 2015, we investigate the effect of short selling on corporate information disclosure quality in China. After controlling for common factors and possible endogeneity issues with a set of multi-period Difference-in-Differences approaches, Placebo test and Propensity Score Matching, this research finds that the short selling has a positive, causal effect on corporate information disclosure quality. We further employee the average daily balances of securities short sales as proxy for the magnitude of short selling and use ETF ownership as its instrumental variable, the above result shows robust. Moreover, we find that the impact is more pronounced for firms located in regions with more developed financial intermediaries and/or better legal protection. Finally, we find short selling can improve corporate information disclosure quality through channels such as increasing managerial incentives as well as reducing information asymmetry. This research calls for a relaxation to short selling and a complete system to support short selling, where short shelling can play the role of corporate governance.
李春涛, 刘贝贝, 周鹏. 卖空与信息披露:融券准自然实验的证据[J]. 金融研究, 2017, 447(9): 130-145.
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