REVIEW OF FINANCIAL STUDIES·(2016)29(12):3211-3244.doi:10.1093/rfs/hhw058First published online: July 20, 2016

所有權結構、有限套利和股票收益：來自股票借貸市場的證據

作者：Melissa Porras Prado (Nova School of Business and Economics), Pedro A. C. Saffi (Judge Business School, University of Cambridge), Jason Sturgess (Driehaus College of Business, DePaul University)

摘要：我們研究機構所有權結構如何通過其在賣空限制上的影響而引起套利限制。機構所有權程度較低、較集中、短期和較不被動的股票表現出較低的貸款供應、較高的賣空成本和較高的套利風險。這些約束限制了套利者賣空套利的能力，并推遲了錯誤定價的校正。所有權較集中的股票表現出較小的公告日反應、較大的盈餘公告效應，并且在積極的賣空需求沖擊後的一周内存在額外的-0.47%的負異常收益。

Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets

Melissa Porras Prado (Nova School of Business and Economics), Pedro A. C. Saffi (Judge Business School, University of Cambridge), Jason Sturgess (Driehaus College of Business, DePaul University)

ABSTRACT

We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive ownership exhibit lower lending supply, higher costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions and delay the correction of mispricing. Stocks with more concentrated ownership exhibit smaller announcement day reactions, larger post-earnings announcement drift, and an additional negative abnormal return of?0.47% in the week following a positive shorting demand shock.

原文鍊接：http://rfs.oxfordjournals.org/content/29/12/3211.abstract

翻譯：何杉