Miller的股价高估假说在中国成立吗？

We use the event method to study the influence of short selling constraints lifted on the pricing efficiency of underlying stock, find that only little effect on the pricing efficiency of underlying stock when short selling system were introduced early, because the short selling system is just introduced on the surface instead of increasing the actual selling level. Using the fixed effects regression model to further study of inter-relationship between short-sale constraints, heterogeneous expectations and both of them with the cumulative yield of underlying stock, we find that only both of them has a negative correlation with the cumulative yield, the short-sale constraints or heterogeneous expectations is positive correlation with the cumulative yield and it is contrary to the original hypothesis, so the result further confirmed Miller's overvaluation hypothesis is established in Chinese stock market.