Do short sellers amplify extreme market declines?

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-08-16 DOI:10.1016/j.pacfin.2024.102498

Sandun Fernando , Olena Onishchenko , Duminda Kuruppuarachchi

引用次数: 0

Abstract

When the market falls sharply, short sellers are criticized for intensifying price declines by manipulative trading that pushes prices below fundamental values. Contrary to this view, we find that increases in institutional and retail short seller's trading on the days of marketwide declines are associated with overpriced stocks. Their trading is economically profitable: a portfolio that buys the least shorted and sells short the most shorted stocks by institutional (retail) investors earns 0.90% (0.79%) risk-adjusted weekly returns. Overall, institutional and retail short sellers adopt valuation-based trading during market-wide declines.

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卖空者会放大市场的极端跌幅吗？

当市场大幅下跌时，卖空者被批评为通过操纵交易将价格推低至基本价值以下，从而加剧了价格下跌。与这种观点相反，我们发现机构和散户卖空者在全市场下跌当天的交易量增加与股票价格过高有关。他们的交易在经济上是有利可图的：机构（散户）投资者买入做空最少的股票并卖空做空最多的股票的投资组合每周可获得 0.90% （0.79%）的风险调整回报。总体而言，机构和散户卖空者在整个市场下跌时都会采用基于估值的交易方式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.