Journal of Empirical Finance · VOLUME 42 · JUNE 2017

賣空交易者會使用行業信息嗎？

作者：Zsuzsa R. Huszá, Ruth S.K. Tan (NUS Business School, at the National University of Singapore (NUS)), Weina Zhang (Risk Management Institute (RMI) and the Institute of Real Estate Studies (IRES) at NUS)

摘要：本文發現賣空交易者在他們的交易策略中會結合使用公司信息和行業信息。在交易後的6個月時段内，賣空總數最多的行業中被賣空最多的股票，比在其他賣空較少的行業中被賣空很多的股票少獲得1.535%的異常收益。這個結果很有可能是由于賣空交易者對于具有高收益潛力的複雜行業的偏好所造成的。本文也說明了在行業層面的賣空總數可以預測重要的行業變動，比如銷售業績的下滑或者競争的激化。總體來說，本文的結果表明賣空交易者有助于減輕行業中的信息複雜性并增強其經濟效率。

關鍵詞：行業信息、行業結構變化、定價效率、賣空

Do short sellers exploit industry information?

Zsuzsa R. Huszá (NUS Business School, at the National University of Singapore (NUS))

Ruth S.K. Tan (NUS Business School, at the National University of Singapore (NUS))

Weina Zhang (Risk Management Institute (RMI) and the Institute of Real Estate Studies (IRES) at NUS)

ABSTRACT

This study provides new evidence about short sellers' trading strategies by showing that short sellers exploit firm information in combination with industry information in their trades. In industries with the highest aggregate shorted values, the most-shorted stocks earn about 1.535% lower abnormal returns than other highly shorted stocks in less shorted industries over the next six months. These results are likely driven by short sellers’ preference for complex industries with the highest profit potential. We also show that the aggregate shorted value at the industry level is able to predict important industry shifts, such as declines in sales and increased competition. Overall, our results suggest that short sellers help to reduce information complexity and improve economic efficiency at the industry level.

Keywords: Industry information; Industry restructuring; Pricing efficiency; Short selling

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539816301165

翻譯：殷曼琳