Journal of Empirical Finance 38, 2016, Pages 81–102

知情賣空、無法交付與異常收益

作者：Thomas Stratmann, John W. Welborn

摘要：我們發現有無法交付（Fail-to-deliver, FTDs）曆史的股票具有負的異常收益率，且異常收益率與無法交付水平相關。我們使用事件法和Fama-French因子法進行組合收益率分析。通過使用股票借入成本的專有數據，我們還發現在低FTDs與高FTDs的股票之間進行賣空可獲得正的盈利。論文的結論支持：無法交付反映了無約束賣空（nonbinding short sale）的限制不能限制知情賣空（informed short selling），即在股票借入成本較高的情況下或者可借入股票有限的情況下知情賣空者也不會被限制。

關鍵詞：異常收益率，無法交付，Fama-French， 事件法，賣空

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

Thomas Stratmann, John W. Welborn

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.

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

翻譯：羅丹