本文通过测量我国股票价格在实行融券前后的显著变化,并比较回报率横截面分布特征的变化来检验两种理论假说:1)融券使股价降低;2)投资者意见分歧加大会导致股价更大程度下跌。研究结果支持这些假说,并表明我国股市投资者预期到了融券对股价的负面影响,股价在融券宣告日前后就开始向下调整。对融券余量数据的分析显示,融券活动在起初并不活跃,导致股价在此期间下跌的主要原因是市场对融券预期的负面信息效应。 This paper examines two theoretical hypotheses by measuring the significant changes in Chinese stock prices before and after the implementation of margin lending and comparing the cross-sectional distribution of returns. 1) Securities lending reduces stock prices; 2) Increasing investor disagreement leads to stock price Fall to a greater extent The results support these hypotheses and show that investors in China’s stock market anticipate the negative impact of securities lending on stock prices, and the stock price has been adjusted downward before and after the announcement of lending. An analysis of the margin data shows that the weakening activity of the securities lending market at the initial stage caused the stock price to decline during this period mainly due to the negative informational effect of the market on margin lending expectation.