融资融券对下行风险的影响及渠道——基于中国A股市场的实证研究

The dramatic decline of the A-share market in a very short period in 2015 caused much attention for margin-purchase and short-sale, yet there’s still an on-going debate on whether such trade is responsible for the crash. Therefore, in this project, we propose to empirically investigate the A-share market, and examine whether margin-purchase or short-sale would affect the downside risk of individual stocks and the market. Three types of downside risk are examined, including earnings downside risk, downside beta, and stock price crash risk. These three types of downside risk are related, but have different information contents, which could help us to have a comprehensive understanding of the downside risk. We also examine possible channels through which margin-purchase and short-sale could affect downside risk: the pricing efficiency of individual stocks and the behavior of corporate managers. We first examine the influence of margin-purchase and short-sale trading, separately, on pricing efficiency, financial reporting quality, and investment inefficiency. Then, we analyze whether active margin-purchase (short-sale) would increase the downside risk of individual stocks, and that whether aggregated margin-purchase (short-sale) trading at the market level could predict market price crash risk. This project covers areas including asset pricing, financial accounting, corporate governance, corporate finance, risk management, macro-economics, etc. The pieces of empirical evidence obtained through this project will add to the existing literature along this line of research. Moreover, they will help investors to better understand the influences of margin-purchase and short-sale, and assist regulators to better regulate these two types of trading.

2015年A股在短时间内大幅下挫引发市场参与者对融资融券的广泛关注，但各界对于究竟是不是两融交易导致这次史无前例的市场暴跌一直存在争议。本项目因此提出立足A股市场，通过实证检验分析融资和融券交易分别如何影响个股及市场的下行风险，包括盈余下方风险、下方系统风险、以及股价崩盘风险。这三类风险相互关联，又蕴含不同信息，有助于我们多方面评估下行风险。我们也探讨了融资和融券影响下行风险的两条可能途径——个股定价效率及管理层行为。我们首先分别检验融资和融券交易对个股定价效率、财务信息质量、及投资效率的影响。在此基础上，我们分析活跃的融资(融券)交易是否增加个股未来下行风险，以及在市场层面融资（融券）交易活跃度是否可以预测市场价格崩盘风险。本项目涉及资产定价、财务会计、公司治理、公司财务、风险管理、宏观经济等领域，提供的实证证据将丰富相关学术文献、帮助投资者了解两融交易、并为监管者制定相关政策提供依据。

本项目分析探讨融资融券交易对股价下行风险（包括股价崩盘风险、会计下方风险、市场下行阶段的股价波动率等）的影响以及可能的影响渠道。2015年A股发生巨大动荡之后，大量媒体和投资者将市场大幅下挫归咎于融券交易。虽然市场中也存在客观评价两融交易的声音，但缺乏实证证据。随着我国融资和融券交易近几年来的快速增长和日益活跃，全面认识这两类交易对我国资本市场的影响有重要理论以及实践意义。本项目遵循申请书中研究路线开展了研究工作，并进行了合理拓展，从多维度开展大量研究: 1) 分别分析融资交易和融券交易对股价下行风险的直接影响；2) 识别融资交易与融券交易影响个股下行风险的可能渠道；3) 多角度探讨股价下行风险的影响因素，下行风险指标之间相互关联等。..我们的研究结果揭示，融券交易不仅不是导致市场或者个股价格下行的诱因，反而有助于降低股价下行风险，并厘清了融资和融券交易各自的市场角色和对股价的影响。此外，融资和融券交易吸引不同类型投资者，且这两类交易对公司财务信息质量、管理层风险偏好、分析师行为均产生不同影响，而这些因素都与股价下行风险显著相关，构成了融资融券交易影响股价下行风险的可能途径。我们也发现不同股价下行风险指标之间存在领先-滞后关系，且部分股价下行风险指标可用于预测个股预期收益率。..基于上述研究成果，本项目组在国内外高等级学术期刊共有9篇论文发表或已被接收，包括Management Science, Journal of Corporate Finance, JAAF (两篇), IRFA, FRL, RIBAF, SER,上海金融；有4篇论文在境内外学术会议/学术讲座进行了报告,1篇工作论文处于在投稿阶段。这些研究成果有助于市场参与者全面理解融资和融券这两类交易分别对市场有效性及股价下行风险的影响、可能的影响渠道、以及下行风险给公司带来的实质性影响。