摘要
基于"回报-未来盈余",即未来盈余反应系数(FERC)的视角,探讨我国融资融券交易制度的实施是否有助于提升股价信息含量。研究发现:标的股票在允许进行融资融券交易之后,"回报-未来盈余"、"回报-未来盈余变动"以及"回报-未来现金流"敏感性增强,表明融资融券交易制度的实施使得未来盈余反应系数(FERC)增加,即股票回报能够反映更多公司未来盈利能力信息,股价信息含量提升。进一步基于基金持股、管理层持股的分析发现,标的公司在融资融券交易制度实施之后,基金持股与管理层持股公司未来盈余反应系数(FERC)更高,表明融资融券制度一方面能够发挥理性投资者对于维护资本市场稳定的重要作用,另一方面能够通过卖空机制的治理效应,促进管理层持股协同效应的发挥,提升股价信息含量。研究表明我国融资融券交易制度的实施提升了股价信息含量,对于促进资本市场理性交易具有重要意义。
Based on the return-future earnings relation, which can be regarded as the future-earnings response coefficients （FERC）, we investigate whether the implementation of margin trading and short selling system improves the informativeness of stock price in China. We find that the coefficients of return-future earnings, return-future earnings change and return-future cash flow increase following the permission of margin trading and short selling for targeted stocks, which suggests that the reform increase the efficiency of investors＇ expectation and improve the informativeness of stock price. Further study finds that targeted stocks held by mutual funds or insiders have higher future-earnings response coefficients （FERC）, which implies that the reform makes the rational investors play a more important role in the capital market and improve the synergy effect of managerial own- ership. The results suggest that the reform of margin trading and short selling improve the informativeness of stock price and is beneficial to the development of capital market in China.
出处
《会计与经济研究》
CSSCI
北大核心
2017年第2期3-25,共23页
Accounting and Economics Research
基金
国家自然科学基金项目(71572009
71372162
71372011
71272055)
中国博士后科学基金项目(2017M611087)
关键词
融资融券
未来盈余反应系数
股价信息含量
基金持股
管理层持股
margin trading and short selling
future-earnings response coefficient
the informativeness of stock price
mutual fund ownership
managerial ownership
