Abstract:
Shanghai and Shenzhen Stock Exchanges allowed the short sale on designated stocks since March 31, 2010. After lifting the short sale constraint, investors can sell short the stocks if controlling shareholders tunnel cash away from the firm for private benefits, and thus the stock price will decline. Compared with firms that cannot be sold short, the incentive to siphon cash away of controlling shareholders of firms that can be sold short may be mitigated, if the costs of price decline are larger than the private benefits of siphoning cash. Therefore, the market value of cash will increase due to the disciplining role of short sale. Based on A-share firms on Shanghai and Shenzhen Stock Exchanges from 2007 to 2014, this study uses the lifting of short sale constraint as a quasi-natural experiment to examine the prediction. The empirical results indicate that lifting short sale constraint can help to increase the market value of cash, and such impact primarily exist in private firms with relatively concentrated ownership by controlling shareholders.
侯青川, 靳庆鲁, 刘阳. 放松卖空管制与公司现金价值——基于中国资本市场的准自然实验[J]. 金融研究, 2016, 437(11): 112-127.
HOU Qingchuan, JIN Qinglu, LIU Yang. Lifting of Short Sale Constraint and Market Value of Cash:An Empirical Tests Based on China Stock Market. Journal of Financial Research, 2016, 437(11): 112-127.
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