卖空限制与收益可预测性——A股融资融券制度的证据

基于A股市场融资和融券余额的巨大差距,本文拓展了Hong et al.(2016)的理论模型,在融券端和融资端分别找到了影响股票收益率的变量:融券比率(融券余额/流通市值)和融资回补天数(融资比率/日均换手率)。进一步,本文利用组合价差法和Fama-MacBeth横截面回归法,实证检验了A股市场中融券比率与融资回补天数解释和预测股票收益率的能力。实证结果表明,在存在融券限制条件下,融券比率相比融券回补天数(融券比率/日均换手率)能更好地代表套利者对股票价格高估程度的看法,根据融券比率构建的等权重多空组合能带来月均1.58%的显著收益;而由于融资约束相对较少,融资回补天数相比融资比率(融资余额/流通市值)能更好地代表套利者对股票价格低估程度的看法,根据融资回补天数构建的等权重多空组合能带来月均1.28%的显著收益。实证结果与本文存在融券数量限制下的理论模型相符,且该收益率不能被多因子模型和常规股票特征所解释。

Short Selling Restriction and Return Predictability: Evidence from China's A-Share Margin Trading and Short Selling

In the context of the stock market, margin trading is the phenomenon whereby investors pay a certain amount of margin to security companies, borrow a certain amount of funds to buy stocks, and return the funds with interest after a certain period. Accordingly, short selling refers to investors' borrowing and selling securities from securities companies and afterwards returning the securities with interest.
Margin trading and short selling have existed in mature stock markets in Europe, the United States, and Japan for many years. Through margin trading and short selling, informed traders can make better use of private information to increase the information content of stock prices and push stock prices to move closer to their intrinsic value. Arbitrageurs can also rely on margin trading and short selling for risk-free arbitrage, reducing stock mispricing (Miller, 1977) and improving overall pricing efficiency in stock markets.
In the literature, the ratio of margin trading and short selling is generally used to measure the market depth of margin trading and short selling. The relationship between stock returns and both margin trading and short selling is studied. A typical indicator is defined as the ratio of balance on margin trading/short selling and outstanding shares. However, it is possible that this ratio does not fully consider the transaction cost information. “Transaction cost” here refers to the time cost required to cover the margin trading and short selling amount. In contrast, the number of days-to-cover takes the impact of the turnover rate on the transaction cost of margin trading and short lending into account, which helps to determine the level of stocks' mispricing.
China's margin trading and short selling businesses are becoming increasingly mature. In March 2010, the China Securities Regulatory Commission launched an A-share margin trading and short selling business pilot program. To date, the program has been enlarged six times. With this expansion in scale, the balance of margin trading and short selling has also increased, rising from less than 13 billion RMB in 2010 to 1.02 trillion RMB by the end of December 2019. However, at the same time, the phenomenon of asymmetric transactions has been prominent. Typically, 98.85% of the trading balance is due to margin trading. This proportion has remained at almost 99% since 2014. Unlike margin trading transactions, short selling is still subject to many restrictions in China's A-share markets.
Based on the huge difference between margin trading and short selling in China's A-share markets, this paper extends the theoretical model of Hong et al. (2016) to identify factors that affect stock returns from margin trading and short selling, which are the short selling ratio and days-to-cover on margin trading. Furthermore, using the portfolio construction and Fama-MacBeth cross-sectional regression methods, this paper empirically tests these factors' predictive power. The sample includes 1,126 stocks selected from the margin trading and short selling pool from January 2012 to December 2018. The data are obtained from the CSMAR database and cross-validated using the WIND database.
The empirical results show that days-to-cover on the margin trading side has significant ability to predict the stock return, while the financing ratio (LR) does not have significant predictive power. This indicates that the days-to-cover is a better criterion than the LR, and can much more precisely represent the view of undervaluation, which is consistent with the theoretical model without financing restrictions. On the short selling side, however, the days-to-cover has no significant ability to predict stock returns. The short selling ratio (SR) has a significant ability to predict stock returns, which indicates that the SR represents the arbitrageur's view of overvaluation better than the days-to-cover. This is also consistent with our model under short selling restrictions. The results remain robust when they are tested with sub-samples in different periods, after controlling for the institutional investor shareholding ratio and other indicators of margin trading and short selling.