卖空威胁与企业违约风险:来自中国股市的证据

Xiaoran Ni, Hongmei Xu
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引用次数: 0

摘要

我们将中国股票市场的交错卖空放松管制作为准外生冲击,发现卖空威胁与较高的企业违约风险相关,特别是对于财务约束程度较高、增长率较高、信息不对称程度较高的企业。此外,事前违约风险较高的企业在监管变化后,债务成本增加,新债务融资减少。在监管机构SHO的试点计划中,违约风险的增加并未出现在美国上市公司身上。总体而言,我们的研究结果表明,卖空会通过增加违约可能性对企业前景产生不利影响,特别是在投资者对卖空更加陌生的环境中,卖空者由于投资者保护不力而更容易操纵,企业缺乏有效工具来避免下行风险。
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Short Selling Threats and Corporate Default Risk: Evidence from the Chinese Stock Market
Employing the staggered short-sale deregulation on the Chinese stock market as quasi-exogenous shocks, we find that short selling threats is associated with higher corporate default risk, especially for firms that are more financially constrained, with higher growth rates, and higher information asymmetries. In addition, firms with higher ex-ante default risk experience an increase in the cost of debt and a reduction in new debt financing following the regulatory changes. The increase in default risk does not appear in U.S. listed firms in the context of the Regulation SHO’s pilot program. Overall, our findings indicate that short selling can adversely affect firm prospects through increasing the likelihood of default, especially in an environment where investors are more alien to short selling, short sellers are more able to be manipulative due to weak investor protection, and firms are lack of effective tools to avoid downside risk.
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