Data-Spillover Effects of Short Selling on Corporate Bond Financing Costs: Evidence from Chinese Listed Firms
Description
This study examines the impact of short selling on corporate bond financing costs. Using a quasi-natural experiment and panel data from Chinese A-share listed companies from 2007 to 2022, we find that short selling significantly reduces corporate bond financing costs, primarily by mitigating information asymmetry. Further analysis reveals that this effect is particularly pronounced in regions with well-developed financial markets and strong legal environments. Our findings remain robust after controlling for potential confounders and addressing endogeneity through propensity score matched difference-in-differences (PSM-DID) analysis. This study provides a novel perspective on short selling in China, highlighting its cross-market spillover effects between equity and bond markets. Data description: The dataset compiles information from various sources, encompassing margin trading and short selling statistics, corporate bond issuance records, national bond yield to maturity (YTM), and financial data of publicly traded companies. Data on margin trading and short selling are retrieved from stock exchange official websites, while corporate bond issuance records originate from the Wind financial database. National bond YTM figures are sourced from ChinaBond. Firm-level financial and stock market data are obtained from the China Stock Market & Accounting (CSMAR) database, whereas analyst tracking information is drawn from the RESSET database. Industry classification adheres to the standards set by the Shenyin and Wanguo database.