Abstract: Based on a quasi-natural experiment of margin financing and securities lending, this paper uses a sample of A-share listed companies on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2022, and empirically examines the impact of short selling via securities lending on firms’ ambidextrous innovation and its underlying mechanisms by applying a multi-period difference-in-differences approach. The findings reveal that short selling significantly promotes ambidextrous innovation. From a firm lifecycle perspective, short selling positively influences ambidextrous innovation in firms at the growth and maturity stages, but shows no significant effect on firms in the decline stage. Moreover, stock liquidity and stock volatility negatively moderate the innovation incentives induced by short selling. Mechanism tests indicate that short selling enhances market pricing efficiency through the information siphoning effect in capital markets. Further analysis finds that market pricing efficiency and analyst attention constitute the primary pathways through which short selling fosters exploratory innovation, while analyst attention serves as the key channel for promoting exploitative innovation.

Key words: short selling, exploratory innovation, exploitative innovation, stock fundamentals

摘要： 基于融资融券的准自然实验，以2007~2022年沪深A股上市公司为样本，运用多期双重差分法实证检验融券卖空对企业双元创新的影响及其作用机制。研究发现：融券卖空对双元创新的影响显著为正；从企业生命周期来看，融券卖空对成长期和成熟期企业的双元创新具有显著促进作用，但对衰退期企业无显著影响；股票流动性和股票波动性在融券卖空的创新激励作用过程中产生负向调节效应。机制检验表明，融券卖空通过资本市场的信息虹吸效应提高市场定价效率。进一步分析发现：市场定价效率与分析师关注是融券卖空促进探索式创新的主要路径；而分析师关注是融券卖空促进利用式创新的关键渠道。

关键词: 融券卖空, 探索式创新, 利用式创新, 股票基本面