唐松¹²;吴秋君¹;温德尔¹;杨斯琦³

• 1:上海财经大学 会计学院，上海 200433
• 2:上海财经大学 会计与财务研究院，上海 200433
• 3:深圳前海兴旺投资管理有限公司，广东 深圳 518040

摘要(Abstract)：

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。

关键词(KeyWords)： 卖空机制;融资融券;股价信息含量;股价暴跌风险

Abstract:

Keywords:

基金项目(Foundation): 国家自然科学基金项目（71372042，71302076）；教育部人文社会科学重点研究基地重大项目（15JJD630007）

作者(Author): 唐松¹²;吴秋君¹;温德尔¹;杨斯琦³

Email:

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