融券约束和市场定价效率*——基于我国股票市场转融通的准自然实验证据

本文从融券约束的视角出发，研究我国股票市场融券机制对标的股票价格发现效率的影响。相比于融券交易量，融券约束可以更好地识别融券机制的作用。因为它可以从交易渠道、信息渠道、外部监管渠道对股价产生影响。笔者利用转融通的实施作为准自然实验，识别出了融券约束放松后标的股票价格发现效率的变化。实证结果显示融券约束放松后：（1）在市场下跌的情况下股价的共同趋势增强，意味着此时股价中包含的个股特质性信息含量降低，而市场上涨时则不存在这种效应；（2）股价对市场信息的反应速度增快；（3）股价更加接近随机游走，即股价的可预测性降低。本文的政策启示是，适当降低融券约束、扩大机构投资者比例、保持较高的融券交易准入门槛以及加强投资者教育可以促进融券机制发挥积极作用。     

Price Squeezes in a Regulatory Environment

This paper analyzes the relevance and the scope of price squeeze tests in a regulatory environment. We distinguish between three types of ex ante regulation (full, partial or no regulation) to identify regulatory squeezes, predatory squeezes, and squeezes as foreclosure. We argue that policy makers should (i) use price squeeze tests as an ex post instrument, compatible with the ex ante regulatory environment, and (ii) focus on predatory price squeezes. We propose a predatory squeeze test that respects regulatory choices that have been made previously, in contrast with the earlier proposed tests. We extend our framework to ask at which aggregation level predatory price squeeze tests ought to be applied, a much-debated issue in telecommunications.JEL Classification: L40, L51, L97Jan Bouckaert acknowledges the financial support from the University of Antwerp (NOI2003). Frank Verboven acknowledges financial support from the Belgian Science Foundation-Flanders. We are grateful to two anonymous referees and the Editor for their helpful remarks. We also thank conference and seminar participants at CEFIR (Moscow), CPB (The Hague), the University of Antwerp, and Massimo Motta, Walter Nonneman, Wilfried Pauwels, and Tomasso Valletti for very useful comments.     

Information advantage,short sales,and stock returns: Evidence from short selling reform in China

We study short selling around earnings announcements and examine the potential sources of their information. Using unique daily aggregate short selling transactions in China, we find that short sellers significantly increase (decrease) their short positions before negative (positive) earnings surprise. In addition, abnormal high short selling is significantly associated with negative post-earnings announcement stock returns. The findings suggest that short sellers, on average, are informed and sophisticated traders and they can exploit profitable opportunities contained in earnings announcements. Finally, we find that stocks with poor governance or more insiders have higher (lower) abnormal short selling in negative (positive) earnings surprise, indicating private information leakage from firms with weak governance; which is consistent with the tipping argument. Our findings have important policy implications for capital market regulation in China.     

The Effects of Bailouts and Soft Budget Constraints on the Environment

This paper investigates the effects of financial relief programs, commonly referred to as ‘bailouts’, on pollution. A partial equilibrium soft budget constraint model of the firm is developed to identify the effect of bailouts on the emission decisions of firms. The results from the model indicate that the expectation of bailouts increases ex ante emissions. A more stringent emissions tax is required to achieve the same level of emissions if bailouts are available than if bailouts are not available; however, a tradable permit system will maintain the same emissions level if bailouts are available as when bailouts are not available.     

Fixed Exchange Rates and Banking Crises: When Does the Former Prevent the Latter?

Because monetary policy is constrained in fixed exchange rate regimes, banks should expect fewer money‐financed bailouts and therefore manage their risks more carefully when exchange rates are fixed than when they are flexible. It follows that we should observe fewer banking crises in countries with formal currency pegs. The 1990s however are littered with occurrences of banking crises in countries with fixed exchange rates. This paper asks whether banks in those countries could have adopted excess risk expecting money‐financed bailouts or whether their pegs discouraged such moral hazard‐type risks.     

融券制度与内部人寻租——来自准自然实验的经验证据

内部人寻租一直以来是理论与实务界关心的重点,如何有效抑制内部人寻租行为是资本市场的重大课题。本文以内部人交易度量内部人寻租,分析了融券制度对内部人寻租的影响。研究发现:(1)融券制度对内部人寻租有显著抑制作用,并且融券规模越大,内部人寻租越少。(2)相比于国有企业,非国有企业当中融券制度对内部人寻租的抑制作用更加明显。本文还将内部人交易分方向进行回归,结果显示融券制度对内部人寻租的抑制作用主要体现在卖出方向上。本文进一步分析了融券制度影响内部人寻租的路径,发现“竞争效应”和“信息效应”是融券制度影响内部人寻租的两条重要路径。本文考虑了竞争性解释——分析师关注的作用,发现分析师关注并不能影响本文结论的正确性;本文还利用反面事实推断、倾向得分匹配、反向因果检验等方法,确保实证结论的稳健性。本文的研究结果,丰富了内部人寻租的特征及影响因素研究,有利于市场监管部门加强对内部人寻租行为的控制;扩充了有关融券制度的文献,为卖空制度的推行及完善提供理论依据。     

ASYMMETRIC INFORMATION AND EXCHANGE OF INFORMATION ABOUT PRODUCT DIFFERENTIATION

We introduce asymmetric information about consumers’ transportation costs (i.e., the degree of product differentiation) in the model of Hotelling. When transportation costs are high, both firms have lower profits with asymmetric information than with perfect information. Contrarily, if transportation costs are low, both firms may prefer the asymmetric information scenario (the informed firm always prefers the informational advantage, while the uninformed firm may or may not prefer to remain uninformed). Information exchange is ex‐ante advantageous for both firms, but ex‐post damaging if transportation costs turn out to be low. If the information is unverifiable, the informed firm does not represent a reliable source of information, since it always prefers to announce that transportation costs are high and there is no contract that induces truthful revelation.     

卖空压力影响公司融资约束吗——基于中国A股上市公司的实证证据*

代理成本和信息不对称是导致公司出现融资约束的重要原因。本文以2010年3月正式推出的融资融券制度为外生冲击,以2005—2015年间沪深两市A股非金融类上市公司为研究样本,利用双重差分（difference in difference)模型实证检验了卖空压力对公司融资约束的影响。本文研究发现：（1）卖空压力能够提高公司银行贷款规模,降低贷款成本;（2）卖空压力能够降低公司的现金持有水平;（3）卖空压力能够降低公司的现金—现金流敏感性。综合来看,卖空压力能够缓解公司融资约束。进一步的,卖空压力对公司融资约束的缓解作用在民营企业中更加显著,并且卖空压力可能是通过降低公司代理成本和信息不对称程度进而缓解融资约束的。在各种稳健性检验后,本文研究结论保持不变。     

National Border Effects: Location, Not Nationality, Matters

A recent literature documents the downward impact of national borders on trade. This paper probes the relative importance of two potential sources of border effects: (1) pure locational factors, such as transport costs and tariffs; and (2) an inherent disadvantage for a firm selling in a foreign market. I am able to make this decomposition by using data on the local sales of foreign affiliates of US multinational enterprises, on US bilateral exports, and on domestic sales by host‐country firms. The “border effect” arises almost entirely from locational factors. If a firm establishes and sells from a subsidiary located in the foreign country, its local sales are about on a par with those of domestic firms in that market.     

Private investment with social benefits under uncertainty: The dark side of public financing

We develop a game‐theoretic model of private–public contribution to a long‐term project with sequential actions and moral hazard. A private agent is one who is in charge of both the financial contribution and the management effort, these two actions entailing private costs and uncertain ex‐post private and social benefits. A public agent is one who decides the amount of public funding to this quasi‐public good, knowing that the size and the probability of attaining a surplus ex post depend on the private agent's effort. We consider four public‐funding scenarios: benefit‐sharing versus cost‐sharing crossed with ex‐ante versus ex‐interim government intervention. We test our theoretical predictions by means of an experiment that confirms the main result of the model: Cost‐sharing public intervention is more effective than benefit‐sharing in boosting private financial contribution to the project. Furthermore, when public intervention comes after private contribution ( ex‐interim government intervention), both public‐funding scenarios have a negative impact on the private management effort. In our model, the latter result is explained by the private agent's high degree of risk aversion. These results have policy implications for strategic investments with long‐term social consequences. In deciding the optimal timing and method of the contribution, governments should also consider the indirect effects on agents’ long‐term management efforts.     

融资、融券交易及其波动对股价稳定性的影响一致吗*

本文区分并讨论了融资交易、融券交易及二者的波动对标的股价稳定性影响的不一致性。研究表明,融资交易提高了标的股价的整体稳定性却加剧了股价异常下跌频率,而融券交易对股价整体稳定性及异常下跌频率并不存在显著影响。更重要的是,融资交易的异常波动加剧了股价的不稳定,而融券交易的异常波动则有助于提高股价稳定性。本文的政策启示在于,应采取比较“温和”的方式调控融资交易以避免融资交易的过度波动加剧标的股价的不稳定。     

SHORT‐RUN POLICY COMMITMENT WHEN INVESTMENT TIMING IS ENDOGENOUS: ‘MORE HARM THAN GOOD?’

In our model, firms choose when to set cost‐reducing investment and the government, which only has short‐run commitment power, sets an output subsidy. We show that firms that delay investment without government intervention have an incentive to invest early under policy activism, strategically underinvesting or overinvesting to obtain larger subsidies. The policy scheme thus creates a new, potentially more harmful, distortion. Under oligopoly, a firm has a weaker incentive to manipulate policy than under monopoly, which makes policy intervention less harmful. We investigate when the government may do better by adhering to laissez‐faire than by engaging in active policy intervention.     

Timing and Commitment of Environmental Policy,Adoption of New Technology,and Repercussions on R&;D

We investigate the interplay between environmental policy, incentives to adoptnew technology, and repercussions on R&D. We study a model where a monopolistic upstream firm engages in R&D and sells advanced abatement technology to polluting downstream firms. We consider four different timing and commitment regimes of environmental tax and permit policies: ex post taxation (or issuing permits), interim commitment to a tax rate (a quota of permits) after observing R&D success but before adoption, and finally two types of ex antecommitment before R&D activity, one with a unique tax rate (quota of permits), the other one with a menu of tax rates (permit quotas). We study the second best tax and permit policies and rank these with respect to welfare. In particular, we find that commitment to a menu of tax rate dominates all other policy regimes.     

Speculative Attacks with Multiple Sources of Public Information*

We propose a speculative attack model in which agents receive multiple public signals. Diverse pieces of public information can be taken into account differently by different players and are likely to lead to different appreciations ex post. This process defines players' expected private values of a successful attack. The main result shows that equilibrium uniqueness depends on two conditions: (i) signals are sufficiently dispersed and (ii) private beliefs about signals' relative precision differ sufficiently. We derive some implications for information dissemination policy. Transparency in this context is multidimensional: it concerns the publicity of announcements, the number of signals disclosed and their precision.     

Exploring causal relationships in an innovation program with Robust Portfolio Modeling

Many countries seek to foster the commercial exploitation of science-based research results through selective policy instruments. Typically, these instruments involve processes of follow-up data collection where the results of ex ante and ex post assessments are systematically recorded. Yet, several factors – such as the presence of multiple objectives, predominance of qualitative data and missing observations – may complicate the use of such data for adjusting the management practices of these instruments. With the aim of addressing these challenges, we adopt Robust Portfolio Modeling¹ (RPM) as an evaluation framework to the analysis of longitudinal data: specifically, we (i) determine subsets of outperforming and underperforming projects through the development of an explicit multicriteria model for ex post evaluation, and (ii) carry out comparative analyses between these subsets, in order to identify which ex ante interventions and contextual characteristics may have contributed to later performance. We also report experiences from the application of RPM-evaluation to a Finnish innovation program and outline extensions of this approach that provide further decision support to the managers of innovation programs.     

Financial constraints,short selling and corporate fraud: Evidence from China

This study investigates the relationship between financial constraints and corporate fraud commission and its detection and the moderating role of short selling using a partial observable bivariate probit model. First, financially constrained corporations are more likely to commit fraud and their fraudulent behaviours are less likely to be detected. Second, short selling has an interesting effect on corporate fraud. On the one hand, short selling has a direct restraining effect on corporate fraud commission and increases the likelihood of corporate fraud detection. On the other hand, short selling plays a moderating role in the relationship between financial constraints and corporate fraud. This study contributes to the corporate fraud literature by analysing the factors influencing corporate fraud and provides theoretical support for regulators and managers in monitoring fraudulent behaviour.     

Liquidity and Liquidation

The manager of a firm that is selling an illiquid asset has discretion as to the sale price: if he chooses a high (low) selling price, early sale is unlikely (likely). If the manager has the option to default on the debt that is collateralized by the illiquid asset, the optimal selling price depends on whether the manager acts in the interests of owners or creditors. We model the former case. In equilibrium the owner will always offer the illiquid asset for sale at a strictly higher price than he paid, and will default if he fails to sell. As a result, upon successful sales the illiquid asset changes hands at successively higher prices. We also consider a generalization of the model which permits sellers to finance sales using either debt or preferred stock, or both. This allows derivation of an optimal capital structure. We are indebted to seminar participants at the University of California, Los Angeles; University of California, Santa Barbara; Utah State University; University of Miami; Federal Reserve Bank of Atlanta; Federal Reserve Bank of San Francisco and Federal Reserve Bank of Kansas City. We have received helpful comments from Tom Cooley.     

THE RISK OF FIRE SALES IN THE TRI‐PARTY REPO MARKET

This paper studies the risk of “fire sales” in the tri‐party repo market, a large and important market where securities dealers find short‐term funding for a substantial portion of their own and their clients' assets. We distinguish between fire sales of assets by a dealer who, facing a run that could lead to default, sells securities to generate liquidity, and fire sales of assets by repo investors after a dealer's default has occurred. While fire sales do cause damage no matter how they arise, the tools available to lessen the harm from the two types of fire sales are different. We find that limited tools are available to mitigate the risk of predefault fire sales and that no established tools currently exist to mitigate the risk of postdefault sales. (JEL G01, G18)     

Asset price volatility and trading volume with rational beliefs

Summary. This paper develops a model of speculative trading in a large economy with a continuum of investors. In our model the investors are assumed to have diverse beliefs which are rational in the sense of being compatible with observed data. We demonstrate the existence of price amplification effects and show that the equilibrium prices can be higher or lower than the rational expectation equilibrium price. It is also shown that trading volume is positively related to the directions of price changes. Moreover, we study how asset price volatility and trading volume are influenced by belief structures, short selling constraints and the amount of fund available for investment.Received: 23 January 2003, Revised: 30 April 2003, JEL Classification Numbers: D84, G12.We are grateful to Professors Mordecai Kurz, Kenneth Arrow, Kenneth Judd, Carsten Nielsen, Maurizio Motolese, Mark Garmaise, Jean-Michel Grandmont, Peter Hammond, Karl Shell, Jan Werner and participants of the Society for the Advancement of Economic Theory (SAET) Conference and Stanford Institute of Theoretical Economics (SITE) Conference for many helpful suggestions. Correspondence to: H.-M. Wu     

Trade policy in the face of price and non-price strategies

When selling their products domestically or internationally, firms rely on more than just price as a strategic variable. They also rely on non-price instruments such as advertising and/or R&D investments. Any trade policy that affects or limits the use of one variable will likely have strategic consequences for the use of all the others. Using a Hotelling model with vertical differentiation we focus on how trade policy barriers alter price and non-price competition on the goods market. The main results are as follows: first, no matter whether the trade restriction (tariff) is placed on the non-price instrument or on the good itself, the foreign (domestic) firm prefers to increase (decrease) its use of its pricing tool and give up some of (increase) its use of the non-price instrument. Second, in the presence of a non-price instrument, tariffs do not always lead both firms to increase their price: it can lead the foreign firm to decrease its (final) price.