Price Informativeness and Corporate Investment: A Model of Costly Manipulation and Share Repurchases
在卖空有成本、且交易会对企业获取资本产生反馈效应的环境中，我们刻画了管理者如何通过股票回购传递信息以遏制操纵。在没有回购的情况下，当卖空成本较低时，操纵与知情交易并存，从而降低价格信息含量和企业投资。随着卖空成本上升，操纵的盈利性下降；若投机者掌握的信息较少，这将使价格信息含量提高并促进投资。在中等卖空成本水平上，操纵的激励不复存在，但进一步提高卖空成本会降低价格信息含量和企业投资。我们的模型表明，预先承诺资金并将未来投资以股票价格为条件的合同，可以促使管理者通过股票回购消除操纵，从而实现最优投资政策。一个重要的政策含义是：当股票回购被允许且卖空成本较低时，禁止卖空通常会降低投资效率。
英文原文
We characterize how managers can curb manipulation by signaling information via stock repurchases in an environment with costly short selling and feedback effects from trading to firms’ access to capital. Without repurchases, manipulation coexists with informed trading at low shorting costs, reducing price informativeness and firm investment. Manipulation becomes less profitable as shorting costs increase, making prices more informative and boosting investment if speculators are less informed. Incentives to manipulate cease to exist at moderate short selling costs, but making shorting more costly reduces price informativeness and firm investment. Our model shows how contracts that precommit funding and condition future investment on stock prices can induce managers to eliminate manipulation through stock repurchases, facilitating optimal investment policies. An important policy implication is that when stock repurchases are allowed and shorting costs are low, short selling bans will typically reduce investment efficiency.