The issue of whether relaxing short-selling regulation disciplines managers’ private benefits is of critical importance. This paper, with the aid of phase margin trading system launched in China which provides a quasi-natural experimental setting, uses the difference-in-difference method to study the influence of short-selling pressure on managers’ private benefits in a company. The study finds that short-selling pressure significantly disciplines managers’ private benefits, and the conclusion remains tenable after a number of robustness tests. In further researches, we also find that the discipline on managers’ private benefits from short-selling pressure is much more significant when the information transparency is higher, or the executive power is larger, or the competition of industry which companies belong to is fiercer. Conclusions of this paper indicate that as an external governance mechanism, short-selling pressure caused by margin trading relieves the principal/agent problem within the company.