|
|
|
| Lifting of Short Sale Constraint and Market Value of Cash:An Empirical Tests Based on China Stock Market |
| HOU Qingchuan, JIN Qinglu, LIU Yang
|
| Institute of Accounting and Finance, Shanghai University of Finance and Economics |
|
|
|
|
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.
|
|
Received: 02 February 2016
Published: 01 January 1900
|
|
|
|
|
| [1] |
陈海强和范云菲,2015,《融资融券交易制度对中国股市波动率的影响——基于面板数据政策评估方法的分析》,《金融研究》第6期,第159~172页。
|
| [2] |
陈晖丽和刘峰,2014,《融资融券的治理效应研究——基于公司盈余管理的视角》,《会计研究》第9期。
|
| [3] |
陈晓和王琨,2005,《关联交易、公司治理与国有股改革——来自我国资本市场的实证证据》,《经济研究》第4期,第77~86页。
|
| [4] |
顾乃康和孙进军,2008,《现金的市场价值—基于中国上市公司的实证研究》,《管理科学》第4期,第96~104页。
|
| [5] |
韩立岩和刘博研,2011,《公司治理、不确定性与现金价值》,《经济学季刊》第2期,第523~550页。
|
| [6] |
韩朝华,2003:《明晰股权与规范政府》,《经济研究》第2期,第18~26页。
|
| [7] |
贺炎林、张瀛文和莫建明,2014,《不同区域治理环境下股权集中度对公司业绩的影响》,《金融研究》第12期,第148~163页。
|
| [8] |
侯青川、靳庆鲁和于潇潇,2015,《放松卖空管制与大股东“掏空”》,工作论文。
|
| [9] |
靳庆鲁、侯青川、李刚和谢亚茜,2015,《放松卖空管制、公司投资决策与期权价值》,《经济研究》第10期,第76~88页。
|
| [10] |
李科、徐龙炳和朱伟骅,2014,《卖空限制与股票错误定价―融资融券制度的证据》,《经济研究》第10期,第165~178页。
|
| [11] |
李寿喜,2007,《产权、代理成本和代理效率》,《经济研究》第1期,第102~113页。
|
| [12] |
李增泉、孙铮和王志伟,2004,《“掏空”与所有权安排——来自我国上市公司大股东资金占用的经验证据》,《会计研究》第12期,第3~13页。
|
| [13] |
李增泉、余谦和王晓坤,2005,《掏空、支持与并购重组——来自我国上市公司的经验证据》,《经济研究》第1期,第95~105页。
|
| [14] |
李志生、陈晨和林秉旋,2015,《卖空机制提高了中国股票市场的定价效率吗？——基于自然实验的证据》,《经济研究》第4期,第165~177页。
|
| [15] |
李志生、杜爽和林秉旋,2015,《卖空交易与股票价格稳定性——来自中国融资融券市场的自然实验》,《金融研究》第6期,第173~188页。
|
| [16] |
廖士光,2011,《融资融券交易价格发现功能研究——基于标的证券确定与调整的视角》,《上海立信会计学院学报》第1期,第67~76页。
|
| [17] |
唐清泉、罗党论和王莉,2005,《大股东的隧道挖掘与制衡力量——来自中国市场的经验证据》,《中国会计评论》第1期,第63~86页。
|
| [18] |
许红伟和陈欣,2012,《我国推出融资融券交易促进了标的股票的定价效率吗？——基于双重差分模型的实证研究》,《管理世界》第5期,第52~61页。
|
| [19] |
杨德勇和吴琼,2011,《融资融券对上海证券市场影响的实证分析——基于流动性和波动性的视角》,《中央财经大学学报》第5期,第28~34页。
|
| [20] |
杨兴全和张照南,2008,《制度背景、股权性质与公司持有现金价值》,《经济研究》2008年第12期,第111~123页。
|
| [21] |
余明桂和夏新平,2004,《控股股东、代理问题与关联交易:对中国上市公司的实证研究》,《南开管理评论》第6期,第33~38页。
|
| [22] |
Allen, F., Qian, J. and Qian, M. 2005. “Law, Finance, and Economic Growth in China”. Journal of Financial Economics, 77(1): 57~116.
|
| [23] |
Almeida, H., Campello, M. and Weisbach, M. 2004. “The Cash Flow Sensitivity of Cash”. Journal of Finance, 59(4): 1777~1804.
|
| [24] |
Beber, A. and Pagano, M. 2013. “Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis”. Journal of Finance, 68(1): 343~381.
|
| [25] |
Bertrand, M. and Mullainathan, S. 2003. “Enjoying the Quiet Life? Corporate Governance and Managerial Preferences”. Journal of Political Economy, 111(5): 1043~1075.
|
| [26] |
Boehmer, E. and Wu, J. 2012. “Short Selling and the Price Discovery Process”. The Review of Financial Studies, 26(2): 287~322.
|
| [27] |
Bris, A., Goetzmann, W. N. and Zhu, N. 2007. “Efficiency and the Bear: Short Sales and Markets Around the World”. The Journal of Finance, 62(3): 1029~1079.
|
| [28] |
Cassell, C.A., Drake, M.S. and Rasmussen, S.J. 2011. “Short Interest as a Signal of Audit Risk”. Contemporary Accounting Research, 28(4): 1278~1297.
|
| [29] |
Chang, E. C., Cheng, J. W. and Yu, Y. 2007. “Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market”. The Journal of Finance, 62(5): 2097~2122.
|
| [30] |
Chang, E.C., Luo, Y. and Ren, J. 2014. “Short-selling, Margin-trading, and Price Efficiency: Evidence from the Chinese Market”. Journal of Banking and Finance, 48(11): 411~424.
|
| [31] |
Chen, Q., Chen, X., Schipper, K., Xu, Y. and Xue, J. 2012. “The Sensitivity of Corporate Cash Holdings to Corporate Governance”. Review of Financial Studies, 25(12): 3610~3644.
|
| [32] |
Claessens, S., Djankov, S., and Lang, L.H.P. 2000. “The Separation of Ownership and Control in East Asian Corporations”. Journal of financial Economics, 58(1-2): 81~112.
|
| [33] |
Claessens, S., Djankov, S., Fan, J.P.H. and Lang, L.H.P. 2002. “Disentangling the Incentive and Entrenchment Effects of Large Shareholdings”. Journal of Finance, 57(6): 2741~2771.
|
| [34] |
Denis, D.K. and McConnell, J. J. 2003. “International Corporate Governance”. Journal of Financial and Quantitative Analysis, 38(1): 1~36.
|
| [35] |
Dittmar, A. and Mahrt-Smith, J. 2007. “Corporate Governance and the Value of Cash Holdings”. Journal of Financial Economics, 83(3): 599~ 634.
|
| [36] |
Fama, E. and French, K. 1993. “Common Risk Factors in the Returns on Stocks and Bonds”. Journal of Financial Economics, 33(1): 3~56.
|
| [37] |
Fang, V. W., Huang, A. and Karpoff, J. 2016. “Short Selling and Earnings Management: A Controlled Experiment”. Journal of Finance, 71(3): 1251~1293.
|
| [38] |
Faulkender, M . and Wang, R. 2006. “Corporate Financial Policy and the Value of Cash”. Journal of Finance, 61(4): 1957~1990.
|
| [39] |
Fresard, L. and Salva, C. 2011. “The Value of Excess Cash and Corporate Governance: Evidence from US Cross-listings”. Journal of Financial Economics, 98(2): 359~384.
|
| [40] |
Grullon, G., Michenaud, S. and Weston, J. 2015. “The Real Effects of Short-Selling Constraints”. Review of Financial Studies, 28(6): 1737~1767.
|
| [41] |
Jensen, M. 1986. “The Agency Cost of Free Cash Flow, Corporate Finance, and Takeovers”, American Economic Review, 76(2): 323~ 329.
|
| [42] |
Johnson, S., La Porta, R., Lopez-de-Silanes, F., Shleifer, A. 2000. “Tunneling”. American Economic Review, 90 (2): 22~27.
|
| [43] |
Kalcheva, I., and Lins, K. 2007. “International Evidence on Cash Holdings and Expected Managerial Agency Problems”. Review of Financial Studies, 20(4): 1087~ 1112.
|
| [44] |
Karpoff, J.M. and Lou, X. 2010, “Short Sellers and Financial Misconduct”. Journal of Finance,65(5):1879~1913.
|
| [45] |
Keynes, J. 1936. The General Theory of Employment, Interest and Money. London: McMillan.
|
| [46] |
Li, Y. and Zhang, L. 2015. “Short Selling Pressure, Stock Price Behavior, and Management Forecast Precision: Evidence from a Natural Experiment”. Journal of Accounting Research, 53(1): 79~117.
|
| [47] |
MacNeil, I. 2002. “Adaptation and Convergence in Corporate Governance: The Case of Chinese Listed Companies”. Journal of Corporate Law Studies, 2(2): 289~344.
|
| [48] |
Massa, M., Zhang, B. and Zhang, H. 2015. “The Invisible Hand of Short Selling: Does Short Selling Discipline Earnings Manipulation?” Review of Financial Studies, 28(6): 1701~1736.
|
| [49] |
Miller, E.M. 1977. “Risk, Uncertainty and Divergence of Opinion”. Journal of Finance, 32(4): 1151~1168.
|
| [50] |
Myers, S. and Rajan, R. 1998. “The Paradox of Liquidity”. Quarterly Journal of Economics, 113(3): 733~771.
|
| [51] |
Petersen, M. 2009. “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches”. Review of Financial Studies, 22(1): 435~480.
|
| [52] |
Pinkowitz, L. and Williamson, R. “What Is the Market Value of a Dollar of Corporate Cash?” Journal of Applied Corporate Finance, 19 (3): 74~ 81.
|
| [53] |
Saffi, P.A.C. and Sigurdsson, K. 2011. “Price Efficiency and Short Selling”. Review of Financial Studies, 24(3): 821~852.
|
| [54] |
Shleifer, A. and Vishny, R. W. 1986. “Large Shareholders and Corporate Control”. Journal of Political Economy, 94(3): PP461~488.
|
|
|
|
