卖空机制的公司治理效应 融券影响盈余质量的自然实验.PDF

卖空机制的公司治理效应： 融券影响盈余质量的自然实验证据 摘要：在资本市场尚处于发展阶段的中国，卖空俨然成为一种外部治理机制，能够有效地 约束经理人的行为、缓解委托代理问题。本文利用2006-2014 年中国A 股上市公司的数据，运 用多时点双重差分模型和安慰剂检验，考察卖空对财务重述的影响，发现加入融券标的后，相 较于不能被卖空的公司，卖空公司发生年报重述的可能性显著降低，这种抑制作用在金融市场 欠发达和治理水平较差的公司更加明显。进一步研究发现，卖空机制可以通过吸引更多的分析 师跟踪来抑制年报重述，进而发挥其公司治理效应。最后，使用应计盈余管理规模和是否报告 微利作为盈余质量测度的稳健性检验，进一步验证了卖空的公司治理作用。因此，逐渐消除融 券交易壁垒，鼓励金融创新，是促进我国金融市场健康发展的关键。 关键词：卖空机制；盈余质量；分析师跟踪；双重差分法 Short Selling and Earnings Quality: Evidence from A Nature Experiment on Margin Trading in China Abstract: Short selling could be a kind of external governance mechanism to discipline managerial behaviors and to mitigate the principal-agent conflicts. With the introduction of a pilot margin trading on securities in Chinas two security exchanges, the effectiveness of this governance mechanism has become increasingly important. Using firm-level data over the sample period from 2006 to 2014 in China, we first examine the impact of short selling on the behavior of corporate annual report restatements. After controlling for the endogeneity issues with a multi-period Difference-in-Differences approach and a placebo test, this research finds that the short selling has a negative, causal effect on the probability of listed firms annual report restatements. We further found that the impact is more pronounced for firms with weaker corporate governance and for firms from regions with less developed financial market. A robust check where we use both accruals and whether the firm has reported a small positive profit as additional measures for earnings quality, further confirms the previous findings. Moreover, we find analyst coverage is one of the underlying mechanisms through which short selling affects the behaviors of managers and inhibit annual report restatement. Collectively