冯旭南

• 1:西南财经大学金融学院

摘要(Abstract)：

以盈余公告事件为背景,本文探讨卖空限制对中国资本市场价格发现的影响。结果表明:卖空受到限制的股票,其在盈余公告公布期间的收益率相对较低,尤其是当投资者之间的意见分歧较为严重时。这一发现验证了Milller(1977)的猜测:卖空限制和意见分歧相结合,导致股价高估,主要表现为高估的股价在盈余公告公布期间出现较大的向下调整。我们还发现,当投资者之间的意见分歧较大时,卖空受到限制的股票,其在盈余公告公布期间出现暴跌的可能性也较高。这进一步说明,卖空限制阻碍了信息,尤其是负面信息的传播,从而导致个股在盈余公告公布期间出现暴跌。本文的结论对客观认识卖空限制对我国股票市场价格发现和定价效率的影响具有重要的现实意义。

关键词(KeyWords)： 卖空;意见分歧;价格发现;盈余公告

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 冯旭南

DOI: 10.16513/j.cnki.cje.2016.03.008

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• (1)2005年10月,修订后的《证券法》通过,删除了限制融资融券交易的条款。2008年4月,国务院出台《证券公司监督管理条例》、《证券公司风险处置条例》,把“融资融券”正式列入券商业务。
• (1)1609年荷兰商人Isaac Le Maire认为荷兰东印度公司股票价格被高估,于是做空该股并获利丰富,这就是卖空机制的起源。
• (2)详见Rubinstein(2004)。
• (1)详见http://www.sec.gov/answers/shortsale.htm
• (1)关于异质信念对资产价格的影响,详见Hong and Stein(2007)的总结。
• (1)以其他年份进行分析,文章的主要结论保持不变。感兴趣的读者可以向作者索取分析结果。感谢审稿人的这一宝贵建议。
• (2)基于篇幅限制,我们未公布这些结果。
• (1)我们事先并不知道哪个指标能够更好地度量A股投资者之间的意见分歧,因此采用不同的代理变量进行检验。如果从这些指标中得出的结论比较一致,则能说明本文结论的可信性。
• (2)详见Karpoff(1987)综述。
• (1)之前第12个月到之前第2个月(共11个月,剔除最靠近的1个月)。
• (1)感谢匿名评审人的这一宝贵建议。