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2018 年 1 月 5 日 WETA 研討會


2018 年 1 月 5 日 WETA 研討會


國立臺灣大學計量理論與應用研究中心 (CRETA)、國立臺灣大學財務金融學系及臺灣經濟計量學會 (TES) 將於 2018 年 1 月 5 日 WETA 研討會。相關資訊如下。

WETA 研討會】

日期:2018 年 1 月 5 日 (週五) 下午2:00~5:00

地點:國立臺灣大學管理學院二號館三樓 304 教室



(1) Stock Price Crashes and Equity Lending Market Conditions: Evidence from Lending Fees and Fee Risk

(2) Does Short-selling Threat Discipline Managers in Mergers and Acquisitions Decisions?



  We find that stock price crash risk is positively related to lagged equity lending fee and fee risk. This relation is stronger for stocks with larger prior returns, consistent with bubble-like crashes due to poor lending market conditions. We also find stronger results for the stocks with lower absolute earnings surprises, lower short interests, and higher information uncertainty. Our findings are robust to alternative measures of crash risk and lending market conditions. Last, the results hold when adopting a difference-in-differences methodology based on the Reg-SHO Pilot Program and a fuzzy regression-discontinuity design based on Russell Index reconstitution, mitigating endogeneity concerns.


  We explore the disciplining effect of short-selling threat, proxied by the value of shares available for short sellers to borrow, on merger and acquisition (M&A) decisions. Our results indicate that acquiring firms with more stock lending supply have higher announcement returns. We also find a stronger disciplining effect when managers’ personal wealth is more linked to the stock price and when the firm is more likely to be the target of a hostile takeover. To rule out alternative explanations and mitigate endogeneity concerns, we adopt two instrumental variable approaches and find similar results. Consistent with our argument, the difference-in-difference analysis shows that the disciplining effect is stronger for firms with fewer short-sale constraints. In addition, the disciplinary effect exists only for non-financial-constrained firms and non-all-cash M&A deals, and we find that the short-selling threat improves firm value and profitability in general.

About speaker:

馬笑蓉教授為香港大學財務金融博士,目前任職於國立臺灣大學財務金融學系。研究專長為Empirical asset pricing、Corporate governance以及Informed trading,詳細資訊請見馬教授介紹網頁:http://www.management.ntu.edu.tw/faculty/teacher/sn/312






報名期限:2018/1/4 (四) 13:30


為方便臺灣經濟計量學會 (TES) 會員繳納 106 年度會費,本次活動開放現場繳納會費,亦歡迎大家介紹非會員朋友加入 TES。更多研討會資訊請見 TES 網站:http://www.tesociety.org.tw/main.php


下午 1:30 ~ 2:00報到

下午 2:00 ~ 3:20 First session

下午 3:20 ~ 3:40 Tea Break 

下午 3:40 ~ 5:00 Second session