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題名 放空限制對於崩潰風險的影響探討
The Effect of Short Sale Restrictions on Crash Risk: Evidence from Taiwan
作者 蔡孟諴
TSAI, MENG HSIEN
貢獻者 湛可南
Chan, Ko-Nan
蔡孟諴
TSAI, MENG HSIEN
關鍵詞 限制放空
崩潰風險
股權質押
公司治理
Short sale constraint
Crash risk
Share Pledging
Corporate Governance
日期 2023
上傳時間 1-Sep-2023 16:02:21 (UTC+8)
摘要 雖然最近的研究發現賣空限制可能會對不同市場的公司崩潰風險產生影響，但關於賣空限制對崩潰風險的影響，文獻中尚無定論。因此，我們基於臺灣的資料對賣空限制對崩盤風險的影響進行了研究。我們的研究覆蓋了2007年至2021年期間三次賣空限制的情況。研究結果顯示，在賣空限制期間，受到限制的公司面臨更高的崩潰風險。特別是對於沒有進行股權質押的公司以及公司治理較差的公司而言，禁止賣空對崩盤風險產生的積極影響尤為顯著。
While recent research finds that short-selling restrictions may affect corporate crash risk in various markets, the literature is inconclusive regarding the effects of short selling restrictions on crash risk. I investigate the impact of short-selling restrictions on collapse risk based on Taiwanese data. I examine three instances of short-selling restrictions during 2007 to 2021. I find that treatment firms where short-sale can be constrained have higher crash risk during the short-selling restrictions. The positive effect of short-sale ban on crash risk is particularly strong for companies without equity pledges and companies with poor corporate governance.
參考文獻 Anderson, R., & Puleo, M. (2020). Insider share-pledging and equity risk. Journal of Financial Services Research, 58, 1-25.
Andreou, P. C., Antoniou, C., Horton, J., & Louca, C. (2016). Corporate governance and firm‐specific stock price crashes. European Financial Management, 22(5), 916-956.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.
Barber, B. M., & Odean, T. (2013). The behavior of individual investors. Handbook of the Economics of Finance (Vol. 2, pp. 1533-1570).
Beber, A., & Pagano, M. (2013). Short‐selling bans around the world: Evidence from the 2007–09 crisis. The Journal of Finance, 68(1), 343-381.
Callen, J. L., & Fang, X. (2011). Institutional investors and crash risk: Monitoring or expropriation. Rotman School of Management Working Paper (1804697).
Callen, J. L., & Fang, X. (2015). Short interest and stock price crash risk. Journal of Banking & Finance, 60, 181-194.
Chang, E. C., Cheng, J. W., & Yu, Y. (2007). Short‐sales constraints and price discovery: Evidence from the Hong Kong market. The Journal of Finance, 62(5), 2097-2121.
Chen, A., & Kao, L. (2011). Effect of collateral characteristics on bank performance: Evidence from collateralized stocks in Taiwan. Journal of Banking & Finance, 35(2), 300-309.
Chen, H. K., & Hu, S. Y. (2018, January). Insider pledging: Its information content and forced sale. In 2018 Financial Management Association Annual Meeting.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381.
Chen, Y., & Hu, S. Y. (2007). The controlling shareholder`s personal leverage and firm performance. Applied Economics, 39(8), 1059-1075.
Crane, A. D., Crotty, K., Michenaud, S., & Naranjo, P. (2019). The causal effects of short-selling bans: Evidence from eligibility thresholds. The Review of Asset Pricing Studies, 9(1), 137-170.
Deng, X., & Gao, L. (2018). The monitoring of short selling: Evidence from China. Research in International Business and Finance, 43, 68-78.
Deng, X., Gao, L., & Kim, J. B. (2020). Short-sale constraints and stock price crash risk: Causal evidence from a natural experiment. Journal of Corporate Finance, 60, 101498.
Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
Dou, Y., Masulis, R. W., & Zein, J. (2019). Shareholder wealth consequences of insider pledging of company stock as collateral for personal loans. The Review of Financial Studies, 32(12), 4810-4854.
Duong, T. X., Huszár, Z. R., & Yamada, T. (2015). The costs and benefits of short sale disclosure. Journal of Banking & Finance, 53, 124-139.
El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
Habib, A., Hasan, M. M., & Jiang, H. (2018). Stock price crash risk: review of the empirical literature. Accounting & Finance, 58, 211-251.
Hong, H. A., Kim, J. B., & Welker, M. (2017). Divergence of cash flow and voting rights, opacity, and stock price crash risk: International evidence. Journal of Accounting Research, 55(5), 1167-1212.
Hong, H., & Stein, J. C. (2003). Differences of opinion, short-sales constraints, and market crashes. The Review of Financial Studies, 16(2), 487-525.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94(1), 67-86.
Kao, L., Chiou, J. R., & Chen, A. (2004). The agency problems, firm performance and monitoring mechanisms: the evidence from collateral listed shares in Taiwan. Corporate Governance: An International Review, 12(3), 389-402.
Kim, J. B., & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐level evidence. Contemporary Accounting Research, 33(1), 412-441.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news? Journal of Accounting Research, 47(1), 241-276.
Li, M., Liu, C., & Scott, T. (2019). Share pledges and firm value. Pacific-Basin Finance Journal , 55, 192-205.
Li, P., Shu, W., Tang, Q., & Zheng, Y. (2019). Internal control and corporate innovation: evidence from China. Asia-Pacific Journal of Accounting & Economics, 26(5), 622-642.
Liu, B., Luo, H., Zhou, W., & Yang, H. (2016). Social trust and stock crash risk. Finance Trade Econ, 37, 53-66.
Margrabe, W. (1978). The value of an option to exchange one asset for another. The Journal of Finance, 33(1), 177-186.
Masulis, R. W., Wang, C., & Xie, F. (2007). Corporate governance and acquirer returns. The Journal of Finance, 62(4), 1851-1889.
Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. The Journal of Finance, 32(4), 1151-1168.
Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A meta-analysis. Organization Studies, 24(3), 403-441.
Peloza, J. (2009). The challenge of measuring financial impacts from investments in corporate social performance. Journal of Management, 35(6), 1518-1541.
Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435-480.
Singh, P. P. (2018). The inside job: Share pledges by insiders and earnings management. Available at SSRN 3294165.
Staley, K. F. (1996). The art of short selling (Vol. 4). John Wiley & Sons.
Xie, B., Davidson III, W. N., & DaDalt, P. J. (2003). Earnings management and corporate governance: the role of the board and the audit committee. Journal of Corporate Finance, 9(3), 295-316.
Xu, J. (2007). Price convexity and skewness. The Journal of Finance, 62(5), 2521-2552.
Ying, Q., Kong, D., & Luo, D. (2015). Investor attention, institutional ownership, and stock return: Empirical evidence from China. Emerging Markets Finance and Trade, 51(3), 672-685.
Zhao, W., Zhang, W., Xiong, X., & Zou, G. (2019). Share pledges, tone of earnings communication conferences, and market reaction: evidence from China. Accounting & Finance, 59(5), 2817-2853.
Zhou, J., Li, W., Yan, Z., & Lyu, H. (2021). Controlling shareholder share pledging and stock price crash risk: Evidence from China. International Review of Financial Analysis, 77, 101839.
描述 碩士
國立政治大學
財務管理學系
110357029
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357029
資料類型 thesis
dc.contributor.advisor 湛可南zh_TW
dc.contributor.advisor Chan, Ko-Nanen_US
dc.contributor.author (Authors) 蔡孟諴zh_TW
dc.contributor.author (Authors) TSAI, MENG HSIENen_US
dc.creator (作者) 蔡孟諴zh_TW
dc.creator (作者) TSAI, MENG HSIENen_US
dc.date (日期) 2023en_US
dc.date.accessioned 1-Sep-2023 16:02:21 (UTC+8)-
dc.date.available 1-Sep-2023 16:02:21 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2023 16:02:21 (UTC+8)-
dc.identifier (Other Identifiers) G0110357029en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/147194-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 110357029zh_TW
dc.description.abstract (摘要) 雖然最近的研究發現賣空限制可能會對不同市場的公司崩潰風險產生影響，但關於賣空限制對崩潰風險的影響，文獻中尚無定論。因此，我們基於臺灣的資料對賣空限制對崩盤風險的影響進行了研究。我們的研究覆蓋了2007年至2021年期間三次賣空限制的情況。研究結果顯示，在賣空限制期間，受到限制的公司面臨更高的崩潰風險。特別是對於沒有進行股權質押的公司以及公司治理較差的公司而言，禁止賣空對崩盤風險產生的積極影響尤為顯著。zh_TW
dc.description.abstract (摘要) While recent research finds that short-selling restrictions may affect corporate crash risk in various markets, the literature is inconclusive regarding the effects of short selling restrictions on crash risk. I investigate the impact of short-selling restrictions on collapse risk based on Taiwanese data. I examine three instances of short-selling restrictions during 2007 to 2021. I find that treatment firms where short-sale can be constrained have higher crash risk during the short-selling restrictions. The positive effect of short-sale ban on crash risk is particularly strong for companies without equity pledges and companies with poor corporate governance.en_US
dc.description.tableofcontents 致謝辭 I
摘要 II
Abstract III
1.Introduction 1
2.Literature Review and Hypotheses 6
3.Data and Methodology 9
4.Empirical Results 13
5.Conclusion 20
Reference 22		zh_TW
dc.format.extent 1041575 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357029en_US
dc.subject (關鍵詞) 限制放空zh_TW
dc.subject (關鍵詞) 崩潰風險zh_TW
dc.subject (關鍵詞) 股權質押zh_TW
dc.subject (關鍵詞) 公司治理zh_TW
dc.subject (關鍵詞) Short sale constrainten_US
dc.subject (關鍵詞) Crash risken_US
dc.subject (關鍵詞) Share Pledgingen_US
dc.subject (關鍵詞) Corporate Governanceen_US
dc.title (題名) 放空限制對於崩潰風險的影響探討zh_TW
dc.title (題名) The Effect of Short Sale Restrictions on Crash Risk: Evidence from Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Anderson, R., & Puleo, M. (2020). Insider share-pledging and equity risk. Journal of Financial Services Research, 58, 1-25.
Andreou, P. C., Antoniou, C., Horton, J., & Louca, C. (2016). Corporate governance and firm‐specific stock price crashes. European Financial Management, 22(5), 916-956.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.
Barber, B. M., & Odean, T. (2013). The behavior of individual investors. Handbook of the Economics of Finance (Vol. 2, pp. 1533-1570).
Beber, A., & Pagano, M. (2013). Short‐selling bans around the world: Evidence from the 2007–09 crisis. The Journal of Finance, 68(1), 343-381.
Callen, J. L., & Fang, X. (2011). Institutional investors and crash risk: Monitoring or expropriation. Rotman School of Management Working Paper (1804697).
Callen, J. L., & Fang, X. (2015). Short interest and stock price crash risk. Journal of Banking & Finance, 60, 181-194.
Chang, E. C., Cheng, J. W., & Yu, Y. (2007). Short‐sales constraints and price discovery: Evidence from the Hong Kong market. The Journal of Finance, 62(5), 2097-2121.
Chen, A., & Kao, L. (2011). Effect of collateral characteristics on bank performance: Evidence from collateralized stocks in Taiwan. Journal of Banking & Finance, 35(2), 300-309.
Chen, H. K., & Hu, S. Y. (2018, January). Insider pledging: Its information content and forced sale. In 2018 Financial Management Association Annual Meeting.
Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381.
Chen, Y., & Hu, S. Y. (2007). The controlling shareholder`s personal leverage and firm performance. Applied Economics, 39(8), 1059-1075.
Crane, A. D., Crotty, K., Michenaud, S., & Naranjo, P. (2019). The causal effects of short-selling bans: Evidence from eligibility thresholds. The Review of Asset Pricing Studies, 9(1), 137-170.
Deng, X., & Gao, L. (2018). The monitoring of short selling: Evidence from China. Research in International Business and Finance, 43, 68-78.
Deng, X., Gao, L., & Kim, J. B. (2020). Short-sale constraints and stock price crash risk: Causal evidence from a natural experiment. Journal of Corporate Finance, 60, 101498.
Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
Dou, Y., Masulis, R. W., & Zein, J. (2019). Shareholder wealth consequences of insider pledging of company stock as collateral for personal loans. The Review of Financial Studies, 32(12), 4810-4854.
Duong, T. X., Huszár, Z. R., & Yamada, T. (2015). The costs and benefits of short sale disclosure. Journal of Banking & Finance, 53, 124-139.
El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital? Journal of Banking & Finance, 35(9), 2388-2406.
Habib, A., Hasan, M. M., & Jiang, H. (2018). Stock price crash risk: review of the empirical literature. Accounting & Finance, 58, 211-251.
Hong, H. A., Kim, J. B., & Welker, M. (2017). Divergence of cash flow and voting rights, opacity, and stock price crash risk: International evidence. Journal of Accounting Research, 55(5), 1167-1212.
Hong, H., & Stein, J. C. (2003). Differences of opinion, short-sales constraints, and market crashes. The Review of Financial Studies, 16(2), 487-525.
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and crash risk. Journal of Financial Economics, 94(1), 67-86.
Kao, L., Chiou, J. R., & Chen, A. (2004). The agency problems, firm performance and monitoring mechanisms: the evidence from collateral listed shares in Taiwan. Corporate Governance: An International Review, 12(3), 389-402.
Kim, J. B., & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐level evidence. Contemporary Accounting Research, 33(1), 412-441.
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.
Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news? Journal of Accounting Research, 47(1), 241-276.
Li, M., Liu, C., & Scott, T. (2019). Share pledges and firm value. Pacific-Basin Finance Journal , 55, 192-205.
Li, P., Shu, W., Tang, Q., & Zheng, Y. (2019). Internal control and corporate innovation: evidence from China. Asia-Pacific Journal of Accounting & Economics, 26(5), 622-642.
Liu, B., Luo, H., Zhou, W., & Yang, H. (2016). Social trust and stock crash risk. Finance Trade Econ, 37, 53-66.
Margrabe, W. (1978). The value of an option to exchange one asset for another. The Journal of Finance, 33(1), 177-186.
Masulis, R. W., Wang, C., & Xie, F. (2007). Corporate governance and acquirer returns. The Journal of Finance, 62(4), 1851-1889.
Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. The Journal of Finance, 32(4), 1151-1168.
Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A meta-analysis. Organization Studies, 24(3), 403-441.
Peloza, J. (2009). The challenge of measuring financial impacts from investments in corporate social performance. Journal of Management, 35(6), 1518-1541.
Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435-480.
Singh, P. P. (2018). The inside job: Share pledges by insiders and earnings management. Available at SSRN 3294165.
Staley, K. F. (1996). The art of short selling (Vol. 4). John Wiley & Sons.
Xie, B., Davidson III, W. N., & DaDalt, P. J. (2003). Earnings management and corporate governance: the role of the board and the audit committee. Journal of Corporate Finance, 9(3), 295-316.
Xu, J. (2007). Price convexity and skewness. The Journal of Finance, 62(5), 2521-2552.
Ying, Q., Kong, D., & Luo, D. (2015). Investor attention, institutional ownership, and stock return: Empirical evidence from China. Emerging Markets Finance and Trade, 51(3), 672-685.
Zhao, W., Zhang, W., Xiong, X., & Zou, G. (2019). Share pledges, tone of earnings communication conferences, and market reaction: evidence from China. Accounting & Finance, 59(5), 2817-2853.
Zhou, J., Li, W., Yan, Z., & Lyu, H. (2021). Controlling shareholder share pledging and stock price crash risk: Evidence from China. International Review of Financial Analysis, 77, 101839.		zh_TW