卖空与盈余质量——来自财务重述的证据.docVIP

卖空与盈余质量——来自财务重述的证据 张璇 周鹏 李春涛 中南财经政法大学统计与数学学院/金融学院 X 关注成功！ 加关注后您将方便地在 我的关注中得到本文献的被引频次变化的通知！ 新浪微博 腾讯微博 人人网 开心网 豆瓣网 网易微博 摘????要： 本文利用2006-2014年中国A股上市公司数据,运用双重差分和安慰剂检验,考察卖空对财务重述的影响。研究发现,加入融券标的后,相较于不能被卖空的公司,融券标的公司发生财务重述的可能性显著降低,这种治理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,卖空机制可以通过增加激励合约的有效性和吸引分析师跟踪来减少财务重述。最后,使用可操控应计项目和是否报告微利作为盈余质量的代理变量进行稳健性检验,发现上述结论依然成立。因此,放开卖空限制,有助于改善上市公司信息披露质量和完善公司治理结构。 关键词： 卖空机制; 盈余质量; 激励合约; 财务重述; 收稿日期：2016-01-28 Short Selling and Earnings Quality:Evidence from Corporate Financial Restatement ZHANG Xuan ZHOU Peng LI Chuntao School of Statistics and Mathematics,School of Finance,Zhongnan University of Economics and Law; Abstract： Using a firm-level dataset from 2006 to 2014 in China,this research examines the impact of short selling on the behavior of corporate financial restatement.After controlling for possible endogeneity issues with a placebo test and a Difference-in-Differences approach,we document a negative,causal effect from short selling to the probability of corporate financial restatement.We further find that the effect is more pronounced for firms with weaker corporate governance and for firms from regions with less developed financial market.A robust check further confirms the previous findings,where we use both accruals and whether the firm has reported a small positive profit as additional measures for earnings quality.Moreover,we find a more efficient incentive mechanism and more analyst coverage are among possible underlying channels through which short selling affects the behaviors of managers as wellas wrporates financial restatement.This research calls for a relaxation to short selling to foster a stable equity market in China. Keyword： Short Selling; Earnings Quality; Incentive; Financial Restatement; Received： 2016-01-28 一、引言 卖空具有价格发现的功能(Boehmer and Wu,2013),能够增加资本市场的有效性(Saffi and Sigurdsson,2011)。卖空也可能会减少市场流动性、放大市场风险(Henry and Mc Kenzie,2006)。然而,卖空不仅影响价格形成的交易机制,更是直接影响企业行为的治理机制。近年来,一些学者研究发现,卖空机制能有效地约束经理人行为、缓解委托代理问题,具有一定的