Journal of Financial Markets, Available online 11 March 2016, In Press, Corrected Proof — Note to users

52周高位和曆史高位附近的賣空行為

作者：Eunju Leea (Manning School of Business, University of Massachusetts Lowell ), Natalia Piqueirab (C.T. Bauer College of Business, University of Houston )

摘要：盡管股價和過去價格高位的距離并不能反映基本面信息，但它在錨定投資者對股票表現的期望時發揮重要作用。通過使用股票52周和曆史高位數據，我們檢驗在1988年至2012年間的美國股票市場，靠近價格高位對賣空者交易行為的影響。結果顯示，賣空行為與價格靠近52周高位負相關，而與價格靠近曆史高位正相關。表明賣空者利用其他投資者的行為偏差進行交易。

關鍵詞：賣空；錨定偏差；價格高位

Short selling around the 52-week and historical highs

Eunju Leea (Manning School of Business, University of Massachusetts Lowell ), Natalia Piqueirab (C.T. Bauer College of Business, University of Houston )

ABSTRACT

Although the distance of a stock price to its past price high does not provide fundamental-related information, it plays an important role of anchoring investors? expectations about the performance of stocks. Using a stock’s 52-week and historical highs, we examine the impact of the nearness to these price highs on short sellers’ trading behavior in the U.S. equity market from 1988 to 2012. We find that short selling is negatively associated with the nearness of the price to the 52-week high, while it is positively associated with the nearness to the historical high. This suggests that short sellers exploit other investors’ behavioral biases.

Keywords：Short selling; Anchoring bias; Price highs

原文鍊接： http://www.sciencedirect.com/science/article/pii/S138641811530029X

翻譯：黃怡文