Short Selling Constraints, Heterogeneous Beliefs And Stock Pricing Efficiency

Miller(1977)proposed that in the case of short-selling restrictions,the stock price only reflects the opinions of optimistic investors,resulting in heterogeneous beliefs and causing stock prices to deviate from their true value.The trial of margin financing and securities lending business on March 31,2010 marked the official liberalization of short-selling restrictions in China's securities market,and bid farewell to the era of"Unilateral Market" for more than 20 years.In the composition of Chinese investors,when retail investors occupy a high proportion,and individual stocks have short-selling constraints,heterogeneous beliefs may become an important factor affecting stock pricing efficiency.At the same time,due to the existence of many constraints on short selling transactions,the amount of financing and securities lending transactions is very large,and there is a problem of short selling imbalance,which forms a hidden short selling constraint,which will also become a factor that weakens the efficiency of stock pricing.Therefore,it is of great theoretical and practical significance to study the influence of short selling constraints on stock pricing efficiency and its mechanism.This paper mainly studies the effects of short-selling constraints on stock pricing efficiency from three levels.Firstly,the fifth expansion of the stocks under the margin financing and financing is the time point.Through the study of the double difference model,it is found that the stock pricing efficiency has only improved in some aspects after the expansion event,and then the non-balanced panel model is used to further confirm the short selling constraint to the stock pricing.The effect of efficiency,the results show that short-selling constraints significantly reduce the efficiency of stock pricing;Secondly,through the panel data regression to study the impact mechanism of short-selling constraints on stock pricing efficiency,it is found that short-selling constraints and heterogeneous beliefs lead to a decline in stock pricing efficiency And heterogeneous beliefs are intermediate variables;finally,the study of implicit short-selling constraints--the effect of short-selling imbalance on stock pricing efficiency,empirically finding that the more serious the short-selling imbalance is,the lower the stock pricing efficiency,and the heterogeneous belief still has a mediating effect.The impact mechanism on stock pricing efficiency is similar to explicit short-selling constraints,while short-selling trading volume has a positive relationship with stock pricing efficiency.Based on the above empirical results,this paper argues that:(1)Short-selling constraints have a negative impact on stock pricing efficiency.Although the policy effect of lifting short-selling constraints is limited,it is still conducive to the improvement of stock pricing efficiency.Regulators should continue to increase the number and scope of the underlying shares of margin trading in an orderly manner;(2)In the case of short-selling constraints,the rise of heterogeneous beliefs will decrease.Low stock pricing efficiency verifies Miller's point of view,and the implicit short-selling constraints caused by short-selling imbalance also have similar situations;(3)Short-selling imbalance leads to a significant decline in stock pricing efficiency,while short-selling can improve stock pricing efficiency.Regulators need to continue to improve the access mechanism and trading threshold of securities trading,and improve the convenience of securities trading in order to be effective.Improve the efficiency of stock pricing,so as to improve the efficiency of China's capital market.