Zhou, H. (2023). Can Short Selling Improve the Quality of Information Disclosure in Clarification Announcements by Firms Faced with Market Rumors?. Emerging Markets Finance and Trade, 1-29.
https://doi.org/10.1080/1540496X.2023.2186173
论文简介
Using a sample of clarification announcements by Chinese listed companies and a difference-in-differences approach, this paper discusses the impact of short selling on corporate clarifications. The results show that short selling pressure disciplines managers’ clarification behaviors. Pilot firms are more likely than non-pilot firms to release timely, detailed, and technical clarification announcements, indicating that the ex-ante pressure of short selling improves the quality of information disclosure in clarifications. The results are robust to the use of a propensity score matching sample, the exclusion of extraordinary sample periods, controlling for the category of rumors, and the adoption of the double selection approach. The disciplinary effect of short selling on the quality of information disclosure in clarifications is more significant for companies with higher CEO equity-based incentive ratios, higher stock liquidity, and higher media coverage than for other companies. More intensive short selling activities, implying an increased ex-post threat of short selling, also lead to improvement in the disclosure of clarifications. Additional research shows that the improved disclosure increases stock price informativeness, and short selling enhances this effect.
通过使用中国上市公司发布澄清公告的样本和差异分析方法，本文讨论了卖空对公司澄清公告的影响。结果显示，卖空压力能够规范管理层的澄清行为。试点公司比非试点公司更有可能发布及时、详细和技术性的澄清公告，这表明卖空的先前压力能够提高澄清公告中信息披露的质量。这些结果在使用倾向得分匹配样本、排除非正常样本期间、控制谣言类别和采用双重选择方法时都具有稳健性。卖空对澄清公告中信息披露质量的增强效应在CEO股权激励比率更高、股票流动性更高和媒体报道更广泛的公司中更为显著。更强烈的卖空活动，意味着卖空的后期威胁增加，也会促使公司提高澄清公告的披露质量。拓展研究显示，改善的信息披露增加了股价信息的有效性，并且卖空加强了这种效应。