杠杆交易与股票回报：国际股票市场的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-03-28 DOI:10.1016/j.finmar.2024.100907

Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang

{"title":"杠杆交易与股票回报：国际股票市场的证据","authors":"Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang","doi":"10.1016/j.finmar.2024.100907","DOIUrl":null,"url":null,"abstract":"<div><p>Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.1000,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Leveraged trading and stock returns: Evidence from international stock markets\",\"authors\":\"Zhuo Chen , Pengfei Li , Zhengwei Wang , Bohui Zhang\",\"doi\":\"10.1016/j.finmar.2024.100907\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.</p></div>\",\"PeriodicalId\":47899,\"journal\":{\"name\":\"Journal of Financial Markets\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2024-03-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1386418124000259\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418124000259","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

在杠杆投资方面，保证金交易者是否与卖空者一样消息灵通？我们的论文利用三个国际股票市场的股票级卖空和孖展交易的独特数据集，揭示了卖空具有横截面回报预测能力，而孖展交易却没有。与卖空相比，孖展交易活动在不同股票之间表现出更强的相关性，对公司基本面的预测能力较弱。这表明，孖展交易者不太可能拥有公司特有的信息优势。我们在投资者账户层面的研究结果也表明，孖展交易者不如卖空者那么老练。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Leveraged trading and stock returns: Evidence from international stock markets

Are margin traders as well-informed as short sellers when it comes to leveraged investing? Our paper, utilizing a unique dataset on stock-level short selling and margin trading from three international stock markets, reveals that while short selling has cross-sectional return predictability, margin trading does not. In comparison to short selling, margin-trading activities demonstrate a stronger correlation across stocks and weakly predict firm fundamentals. This suggests that margin traders are less likely to possess a firm-specific information advantage. Our findings at the investor account level also indicate that margin traders are less sophisticated than short sellers.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.