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复旦财务金融系系列讲座

2017年12月15日09:47     智库商学院     阅读量:

日期: 2017年12月19日 (星期二) 13:30

地址:

状态:已结束

  时间:2017年12月19日(周二)13:30

  地点:史带楼603室

  主持人:Prof. Qi ZHU  Department of Finance, School of Management, Fudan University

  主题:Short Selling and Stock Price Crash Risk

  演讲者:Prof. (Steven) Shuye Wang Business School, Renmin University of China

  摘要:This paper examines the impact of short selling on stock price crash risk after the introduction of short selling and margin trading mechanism in China. Using a large sample of Chinese listed firms during 2010-2016, we find that firms with high short-selling ratios tend to have smaller crash risks. This result is robust to a series of sensitivity tests and is more prominent for firms with lower information transparency, for firms with weak internal and external monitoring, and for non-state owned enterprises. Moreover, we find that the negative relation between short selling and crash risk is asymmetric for up and down markets: short-selling significantly reduces future stock price crash risks for up markets but not for down markets. Our study suggests that short selling reduces stock price crash risk by improving information transparency and corporate governance, and promoting stock price discovery process.

  简介:Prof. Wang completed his PhD (Double majors) in Finance and Management Science at Queen’s University, Canada, and bachelor and master degrees in Statistics at Renmin University of China. Before joining the Remin Business School, he taught at School of Statistics, Renmin University; Department of Economics, Concordia University; School of Business, Queen’s University; and School of Accounting and Finance, the Hong Kong Polytechnic University. His research focuses on empirical assets pricing, behavioral finance, and international finance. His research has been published in leading international journals and Chinese academic journals. He also serves as the Deputy Editor-in-Chief, Frontiers of Business Research in China.

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