文章利用我国逐步推出融资融券交易的自然实验机会,运用双重差分的研究设计,考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现:相对于非标的股票,融资融券标的股票在成为标的之后,其股价对市场的向下波动及时做出了调整,使得股价对市场正负向波动反应之间的不对称性显著降低,表明标的股票更加及时和充分地吸收了有关公司价值的负面信息;同时,相对于非标的股票,融资融券标的标的股票在成为标的之后,其股价暴跌风险显著降低。文章结果表明,我国股市推出融资融券交易后,卖空机制提高了市场对标的股票负面消息的定价效率。
卖空机制、股价信息含量与暴跌风险——基于融资融券交易的经验证据
摘要
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引用本文
唐松, 吴秋君, 温德尔, 等. 卖空机制、股价信息含量与暴跌风险——基于融资融券交易的经验证据[J]. 财经研究, 2016, 42(8): 74–84.
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