摘要
卖空机制如何影响公司投资行为及公司价值的议题具有重要的理论价值与现实意义。中国证券市场于2010年3月正式放开卖空管制,投资者对列入卖空名单的股票可进行卖空交易。本文利用这一准自然试验分析了卖空机制对于公司投资决策以及价值的影响。Miller(1977)指出,卖空机制可使负面消息更及时地反映到股票价格之中,从而提高股价的信息含量和效率。当面临较差的投资机会时,如果公司不及时调整投资决策,投资者会卖空股票以套利,从而导致股价下跌、损减大股东的财富。因此,在放松卖空管制以后,当面临较差的投资机会时,可卖空公司的大股东有动机监督管理层及时调整投资决策。管理层调整投资决策(扩大或缩减投资规模)的过程,也就是执行实物期权(增长期权、清算期权)的过程,因此,根据Zhang(2000)基于实物期权的公司价值理论,在放松卖空管制以后,可卖空公司的清算期权的价值会有所提升。
Investors can sell short on designated stocks on China stock market since March 2010 when the CSRC relieved the short sale constraint. It is accepted that short sale can help to incorporate bad news into stock price more quickly so as to reduce the overvaluation （Miller, 1977）. This study investigates the impact of short sale on corporate investment and stock valuation. When the investment opportunity declines, if the corporate does not reduce or cut-off the investment, the investors will take advantage of the ＂bad news＂ and short sell the stock. The interests of controlling shareholders will be impaired when the stock price declines. Therefore, they will have motivation to monitor the managers to reduce the inefficient investment. Accordingly, the relief of short sale constraint will make the corporate investment respond more efficiently to the declined investment opportunity. According to the valuation theory based on real option （ Zhang, 2000） , the value of put option will be incorporated into stock price when the investment is reduced or cut-off. However, short sale has no impact on investment or call option when the investment opportunity improves. The empirical evidence supports the above argument.
出处
《经济研究》
CSSCI
北大核心
2015年第10期76-88,共13页
Economic Research Journal
基金
国家自然科学基金项目(71472114
71072036
71272012)
教育部新世纪优秀人才支持计划
上海财经大学创新团队支持计划的资助
关键词
卖空
投资决策
公司期权价值
Short Sale
Investment
Corporate Option Valuation
