Journal of Empirical Finance 38 (2016.09)

知情賣空、交割失敗和異常收益

作者：Thomas Stratmann (Department of Economics-George Mason University), John W. Welborn (Department of Economics-George Mason University)

摘要：使用事件研究和Fama-French因子計算組合收益的方法，我們發現根據不同交割失敗的程度，存在交割失敗的股票會産生負向的異常收益。同時使用股票借入成本的私有數據，我們也發現了賣空低和高交割失敗程度的股票會産生正向的預估收益。我們的研究結果支持了交割失敗反映了無法限制知情賣空交易的非約束性賣空限制的假設。

關鍵詞：賣空，交割失敗，異常收益

Informed short selling, fails-to-deliver, and abnormal returns

Thomas Stratmann (Department of Economics-George Mason University), John W. Welborn (Department of Economics-George Mason University)

ABSTRACT

We find that stocks with fails-to-deliver (FTDs) experience negative abnormal returns that are proportional to their FTD levels. These findings come from both an event study and a portfolio returns analysis using Fama-French factors. Using proprietary data on stock borrow costs, we also show that short sellers of low and high FTD stocks obtain positive estimated profits. Our findings support the hypothesis that FTDs reflect nonbinding short sale constraints which do not restrict informed short selling.

KeyWords: Short Sale, Fails-to-deliver, Abnormal Return

原文鍊接：http://www.sciencedirect.com/science/article/pii/S092753981630055X

翻譯：殷曼琳