Journal of Accounting and Economics, Volume 60, Issues 2–3, November–December 2015, Pages 33–57
供給不足：賣空與股票收益率
作者：M.D. Beneish (Indiana University, Kelley School of Business), C.M.C. Lee (Stanford University, Stanford Graduate School of Business), D.C. Nichols (Syracuse University, Whitman School of Management)
摘要：在本文中，我們檢驗了影響賣空供給的經濟因素以及其對未來股票收益率的影響。可融證券供給會随着融券方成本期望值的增大而增加，會随着财務報表顯示的估值過高而降低。盡管提高融券費用能緩解供給約束，但是那些對賣空者很有吸引力的股票還是“一票”難求。使用了一系列公司特征，我們推導了融資融券市場實時的借貸需求和供給狀況的有用工具。更進一步地，我們發現：1、當可融證券供給被限制（未被限制）時，賣空供給（需求）量是預測未來股票收益率的主要指标；2、在九大著名的市場異象中，賣空方的超額收益都隻是由一些特殊的股票導緻；3、融券費用明顯的降低了賣空方的盈餘能力，甚至會出現不再盈利的特殊情形。總而言之，我們證明了可融證券供給在股票價格形成和預測過程中的重要作用。
關鍵詞：賣空，證券出借，套利成本，估值過高，市場效率
In short supply: Short-sellers and stock returns
M.D. Beneish (Indiana University, Kelley School of Business), C.M.C. Lee (Stanford University, Stanford Graduate School of Business), D.C. Nichols (Syracuse University, Whitman School of Management)
ABSTRACT
We examine the economic determinants of short-sale supply, and its consequences for future stock returns. Lendable supply increases with expected borrowing costs and decreases with financial statement constructs that indicate overvaluation. Although rising loan fees help ease supply constraints, we find shares are still least available when they are most attractive to short sellers. Using a number of firm characteristics, we derive useful instruments for real-time loan supply and demand conditions in the lending market. Further, we show that (1) when lendable supply is binding (non-binding), short-sale supply (demand) is the main predictor of future stock returns, (2) abnormal returns to the short-side of nine well-known market anomalies are attributable solely to “special” stocks, and (3) loan fees significantly reduce the profitability of the short side and several of these anomalies cease to be profitable. Overall our evidence highlights the central role played by the supply of lendable shares in equity price formation and returns prediction.
Keywords: Short selling; Security lending; Arbitrage costs; Overvaluation; Market efficiency
原文鍊接：http://www.sciencedirect.com/science/article/pii/S0165410115000580
翻譯：汪國頌
