暨南大学硕士学位论文
题名（中英对照）：
融券交易的治理效应——基于非效率投资的检验
The Governance Effect of Short-selling——Based on
the Test of Non-efficiency Investment
作者姓名：许安然
指导教师姓名肖继辉
及学位、职称：博士教授
学科、专业名称：财务管理
学位类型：学术学位
论文提交日期：2018年5月15日
论文答辩日期：2018年5月23日
答辩委员会主席：
论文评阅人：
学位授予单位和日期：
摘要
我国的融券交易制度自2010年建立以来，历经了几年的发展，标的证券不
断增加，逐渐满足看空投资者的需求。面对从单边市场到双边市场的转换，大量
的研究已经表明融券交易的出现会对资本市场以及微观企业行为产生一定的影
响。但是，这种影响究竟是正面还是负面的，学术界与实务界似乎都存在着不同
的声音。
本文根据信息不对称、委托代理、过度自信等理论，以2006-2016年我国A
股上市公司作为样本，采用双重差分（DID）模型研究了融券交易对上市公司非
效率投资的影响及作用机制，进一步讨论了融券交易这一金融创新的经济后果。
研究结果表明，在放开融券交易后，融券交易能够减少上市公司的非效率投
资；我们根据非效率投资产生的机理的不同，将这种约束效应分组讨论，发现在
代理冲突较严重的公司中，融券交易抑制过度投资、缓解投资不足的作用更为显
著；在管理层存在过度自信的企业中，融券交易对过度投资抑制作用更为显著，
但是对投资不足的作用并不显著。进一步研究发现，融券交易对意愿性非效率投
资与操作性非效率投资中的过度投资均有显著抑制作用。这些结果说明，融券交
易能够弥补公司的治理缺陷，具有一定的外部治理作用。
最后，为了避免潜在的内生性问题并且使研究结果更为稳健，本文还采用了
倾向性得分匹配、工具变量、利用剔除出标的名单的样本等方法对研究假设进行
了稳健性检验，再次验证了本文的研究结论。
关键词：融券交易，非效率投资，代理成本，过度自信
I
Abstract
China's short selling trading system,established in 2010,has developed rapidly in
recent years,meanwhile,the underlying securities have been steadily increasing,
gradually satisfying the demand of bearish investors.From the unilateral market to the
bilateral market,the emergence of short selling will have a certain impact on the
market and enterprises.However,whether the effect is positive or negative,there
seems to be different voices in both theoretical and practical worlds.
According to the information asymmetry,the principal-agent,overconfidence
theory,this paper takes China's A-share listed companies from 2006to 2016as a
sample,with difference-in-differences (DID)model and the mediation effect test,and
studies the influences and possible mechanisms of short selling transaction to the
efficiency of investment of listed companies,the economic consequences of financial
innovation are further discussed.
The study found that short selling trading can reduce the inefficient investment of
listed companies after the trading of short selling.According to the different
mechanisms of inefficient investment,the constraint effect of short selling was
discussed.The result shows that in the companies whose agency problem is more
serious,short selling trading can inhibit over-investment and under-investment.In
overconfident companies,the short selling trading has a significant inhibitory effect
on over-investment,while has no obvious effect on the under-investment.In summary,
the short selling trading has an external governance role.
Finally,in order to avoid potential endogenous problems and make the results
more credible,this paper also adopted the propensity score matching,use of
companies that excluded the list,instrumental variable method,and other methods to
test the hypothesis,the research conclusion of this paper is verified again.
Key words:Short selling trade,Inefficient investment,Agency cost,
Over-confidence
II
目录
摘要.................................................................................................................................I
Abstract..........................................................................................................................II
目录..............................................................................................................................III
图表目录......................................................................................................................IV
1绪论............................................................................................................................1
1.1研究背景及意义............................................................................................1
1.2研究方法........................................................................................................3
1.3研究框架与内容............................................................................................3
1.4可能的创新....................................................................................................5
2文献综述....................................................................................................................6
2.1融券交易的相关研究....................................................................................6
2.2非效率投资的相关研究................................................................................8
2.3文献评述......................................................................................................12
3理论分析与研究假设..............................................................................................14
3.1融券交易与非效率投资..............................................................................14
3.2代理冲突、融券交易与非效率投资..........................................................15
3.3过度自信、融券交易与非效率投资..........................................................17
4研究设计与方法......................................................................................................19
4.1研究样本与数据来源..................................................................................19
4.2主要变量的衡量指标..................................................................................19
4.3研究模型与变量定义..................................................................................22
5实证结果及分析......................................................................................................24
5.1描述性统计..................................................................................................24
5.2多元回归分析..............................................................................................27
5.3稳健性检验..................................................................................................37
6进一步研究..............................................................................................................48
7研究结论与启示......................................................................................................51
7.1研究主要结论..............................................................................................51
7.2研究启示......................................................................................................52
参考文献......................................................................................................................53
在校期间发表学术论文清单......................................................................................60
致谢..............................................................................................................................61
III