摘要
本文利用2010年"融资融券"试点这一准自然实验的机会,以2009-2016年A股主板上市公司为研究样本,实证检验机构投资者异质性对股价崩盘风险的影响,以及卖空机制在其中发挥的作用。研究发现,机构投资者持股整体加大了上市公司未来股价崩盘风险,但这种正向关系主要是由交易型机构投资者导致的,稳定型机构投资者与股价崩盘风险负相关。卖空机制的引入会加剧稳定型机构投资者和股价崩盘风险之间的负向关系,弱化交易型机构投资者和股价崩盘风险之间的正向关系。
In the context of margin transaction,we use China’s 2009-2016 main board listed companies as research samples,empirically tests the impact of institutional investor heterogeneity on the stock crash risk,and the influence on the relationship between the improvement in short-selling mechanism in this paper.The results show that:(1)Institutional investors have a significant positive impact on the risk of the future stock price crash,the positive relationship is mainly caused by transactional institutional investors,while stable institutional investors are negatively related to the stock price crash risk.(2)The introduction of short-selling mechanism will intensify the negative relationship between stable institutional investors and the risk of stock price crash,weaken the positive relationship between transactional institutional investors and the risk of stock price crash.
出处
《会计研究》
CSSCI
北大核心
2020年第7期167-180,共14页
Accounting Research
基金
国家自然科学基金(71472002)
国家社会科学基金(19BJY018)的资助
关键词
股价崩盘风险
机构投资者异质性
稳定型机构投资者
交易型机构投资者
卖空机制
Stock Price Crash
Institutional Investor Heterogeneity
Stable Institutional Investors
Transactional Institutional Investors
Short-Selling Mechanism
