股票卖空机制与企业研发投资 ——基于中国融券卖空的自然实验证据

本文以2007-2014年中国上市公司为样本，基于中国融资融券制度的自然实验环境，采用双重差分模型检验股票卖空机制对企业研发投资的影响。结果发现，在融资融券制度实施前后的观测期内，允许卖空股票的上市公司，其研发投资水平的增长显著低于不允许卖空的上市公司，这表明股票卖空机制抑制了中国企业的研发投资；同时我们发现，股票卖空交易对企业研发投资的抑制效应在治理机制不完善的上市公司更加显著；进一步的研究发现，股票卖空机制是通过提高企业被收购的威胁，促使企业采取真实的盈余管理等作用渠道抑制了企业的研发投资；最后，我们也检验了卖空机制对研发投资效率的影响，发现允许卖空的上市公司更可能出现研发投资不足。

Short-sale mechanism and corporate R&D investment

Research and development (R&D) investment is one of the driving forces for a nation′s economic development. More, it is the driving force of a firm′s sustainable growth. As Holmstrom (1989) points out, R&D process is long-term orientated, special, unpredictable and is exposed to a high possibility of failure. Hence, the enhancement of R&D needs critical functions of fully developed capital markets. Those functions include lowering financing costs, allocation of scarce resources, evaluating innovative projects, risk management and overseeing top management teams (Hsu et al., 2014). There have been many studies which prove the importance of capital markets on a firm′s R&D from the following theoretical and empirical aspects: stock liquidity (Fang et al., 2014), financial development (Sun et al，2015; Amore et al., 2013; Chava et al.，2013), financial analysts′ role (He & Tian, 2013; Palmon & Yezegel 2012), investor protection (Xiao, 2013), merger and acquisition (Atanassov, 2013; Phillips & Zhdanov, 2013; Bena & Li, 2014) and incentive mechanism (Chen et all, 2015; Chang et al.，2015). There is a literature gap of the impact of short-sell mechanism, the important constituent of capital market, on the firm′s R&D policy. Hence, this paper aims at filling this gap by examining an emerging market such as Chinese capital markets in a context where the institutions undergo a profound transformation.Literature on the effect of short-sell mechanism on the firm′s R&D policy focuses on two competing views. First, short-sell mechanism could boost the firm′s R&D investment. Due to the separation of ownership and control, self-serving managers are inclined to pursue opportunisticbehaviours (Jensen & Meckling, 1976) such as empire building (Jensen, 1986; Stein, 2003) and increasing personal reputation (Narayanan, 1985; Bebchuk & Stole, 1993) etc. More, managers tend to abuse the firm′s free cash flow to over-invest as a result of incentives linked to the expansion of the firm′s operation scale (Jensen, 1986). He & Tian (2014) suggest that the over-investment problem is at the sacrifice of forgoing R&D investment opportunities. In addition, the moral hazard model argues that managers tend to shirk their responsibilities when the external monitoring is absent (Grossman & Hart, 1988; Harris & Raviv, 1988), investing funds in projects with cash flows that are relatively certain with a purpose to enjoy peaceful life (Bertrand & Mullainathan, 2003). Nevertheless, the issue of insufficient number of innovative projects could be countered by external monitoring (Karpoff & Lou, 2010; Massa et al., 2015a; 2015b). This is because a short seller will immediately short a firm′s shares when he/she spots a firm′s executives′ shirking behavior such as cutting the long-term orientated R&D projects. Based on this logic, short selling′s facilitates the underlying firm′s R&D investment through the overseeing mechanism on the firm′s executives.On the other hand, short selling could depress the firm′s R&D investment. There is evidence that the firm′s executives oppose short selling (De Angelis et al., 2015). Short sellers are often blamed for the large pressure placed on the firm′s share price (Mitchell et al., 2004). And as a result, the firm′s executives are more likely to be short term orientated, focusing on the short-term activities (He & Tian, 2013; 2014). Graham et al. (2005) survey 401 U.S. firms and show that the majority of chief financial officers (CFOs) would achieve short term profit target at the expense of the firm′s long-term value. And there is a wide collection of studies supporting the argument that if a firm could not reach the profit target, then the firm′s compensation will be reduce, and as a result, the firm′s turnover rate will climb (Matsunaga & Par, 2001; Mergenthaler et al., 2011).Masso (2011) suggests that the tolerance to failure is the critical factor that drives and cultivates a firm′s R&D policy. Because short sellers′ main task is to identify under-performing firms, making a profit by short selling which reflects the negative information, short sellers are averse to short-term failure tolerance (He & Tian, 2014). And this unrestricted short selling activities enhances the downward pressure on the firm′s share price (Goldstein & Guembel, 2008), which in turn will decrease the incentives for the executives to take more risks (De Angelis et al., 2015). Consequently, the firm′s executives who focuses on the short-term share price, which is linked to the firm′s performance, tend to cut investments at the sacrifice of the firm′s long-term value order to stabilize the firm′s share price under the short selling pressure.This study attempts to investigate the impact of short selling mechanism, on the firm′s R&D policy using a dataset from Chinese capital markets. More specifically, we try to answer the following questions: first, how does the short selling mechanism in Chinese capital markets affect a firm′s R&D policy? Second, what is the effect of short selling on corporate R&D investment in the listed companies with different governance mechanism? Third, what is the underlying mechanism of the impact of short selling mechanism on R&D investment? Based on the natural experiment environment of margin trading in China, using the panel data of Chinese listed companies from 2007 to 2014, this paper tests the effect of short selling mechanism on corporate R&D investment with difference-in-differences model. The results show that: (1) short selling mechanism restrains corporate R&D investment in China. (2) The inhibitory effect of short selling stocks on corporate R&D investment is much more remarkable in the listed companies with ineffective governance mechanism. (3) Short selling mechanism inhibits the corporate R&D investment by the way of increasing the threat of a takeover, encouraging companies to implement the real earning management. (4) Insufficient R&D investment efficiency was more likely to come up in the listed companies which stocks are allowed to be shorted.This study contributes to the current literature in the follow way: it is among the first study that examines the effect of short selling mechanism on the efficiency of R&D investment based on a natural experiment framework of the margin short selling pilot program in China —an emerging market country. More, this study enriches and develops the firm R&D investment literature by filling a literature gap regarding the effect of short selling mechanism on firm policy.