中国式卖空机制与高管减持——基于融资融券分步扩容的准自然实验

本文以我国的融资融券制度为背景,结合双重差分模型,研究卖空机制对上市公司高管减持行为的影响。研究发现,相对于非融券标的,可融券标的公司高管的月减持比例在允许卖空后下降22%,这种抑制作用在小规模、高盈余平滑度以及非国有公司中体现得更为明显。其次,成为可融券标的后,股价定价效率提高,高管减持收益显著下降。进一步地,本文将高管的减持行为分为定期性与投机性两类,发现卖空机制显著抑制了高管基于信息优势和股价偏差的投机性减持行为。

Short-selling Constraints and Managerial Selling: Margin Trading in a Natural Experiment

As insiders, senior executives have information advantages and are able to manage their firms' external information environment; therefore, investors, regulators, and markets pay close attention to their trading activities. Understanding the causes and consequences of executives' trading activities, especially their selling behavior, is of vital importance in developing healthy financial markets.
This question is approached in the literature through a focus on the role of internal governance, such as increasing equity concentration, increasing institutional holdings, restricting earnings management, and improving information disclosure. Few scholars explore the perspective of external governance. Short-selling behavior is an important external governance mechanism; therefore, we study how the short-selling mechanism influences executives' trading behavior.
The margin trading policy implemented in the Chinese A-share market since 2010 allows investors to short sell their stocks. The introduction of the short-selling mechanism facilitates the timely incorporation of negative information into stock prices, reduces information asymmetry, and improves market efficiency. Based on monthly data from A-share firms between January 2007 and December 2015, we use a difference-in-differences method to leverage the staggered expansion of the list of stocks allowed to be shorted by the policy as exogenous shocks to the efficiency of the underlying stocks. We also study whether managerial selling behavior is changed by this short-selling mechanism. Our results show that the introduction of the short-selling mechanism reduces managerial selling behavior. In particular, the percentage of shares sold by managers compared with firms' outstanding shares is reduced by 0.004% in the treatment group relative to the control group, which comprises about 22.22% of the average shares sold by managers. We also find that the short-selling mechanism mainly deters managers' speculative selling behavior to profit from trading on information advantages, but has no effect on their regular selling. In a cross-sectional analysis, we show that for smaller firms, firms with higher earnings smoothness, and non-state-owned firms, the short-selling mechanism has a larger effect. Furthermore, we examine the channels through which the short-selling mechanism affects managerial selling behavior and find that margin trading policies improve price efficiency and reduce profits from managerial selling. The literature shows that managers conceal negative information before they sell their shares. However, we do not find any evidence that this behavior is reduced by margin trading policies.
We contribute to the literature in the following ways. First, while most scholars analyze the role of internal governance on managerial trading activities, we complement the literature by focusing on the external governance role of the market. We find that the short-selling mechanism can reduce managerial selling and improve corporate governance. We not only provide a broader perspective for analyzing the influential factors on managerial trading activities, but also present supportive evidence that show executives profit from trading on their information advantages. Second, we classify managerial selling into two types of trading purpose: regular and speculative selling. While regular selling is based on the executives' routine adjustment of asset portfolios or liquidity needs, speculative selling occurs when executives trade on their information advantages. We show that the short-selling mechanism reduces only speculative selling. Finally, we present evidence for channels through which the short-selling mechanism affects managerial selling. Our results provide insights for supervising managerial trading activities.