错误定价与异常现象：来自 JGTRRA 的卖空外生冲击

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-09-01 DOI:10.1016/j.jempfin.2024.101537

Yufeng Han , Yueliang (Jacques) Lu , Weike Xu , Guofu Zhou

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引用次数: 0

摘要

我们通过对 182 种异常现象的综合分析，研究了卖空限制对市场异常现象的因果影响。我们的研究方法利用了 2003 年《就业与增长税收减免协调法案》（JGTRRA）中的股息税法变化对卖空供应造成的持续、稳健且看似外生的冲击。我们的研究结果表明，JGTRRA 法案出台后，异常现象有所减少。然而，这一税法变化阻碍了套利者纠正错误定价的能力，导致在 JGTRRA 颁布后，与其他月份相比，股息记录月份之后的异常下降幅度较小。此外，这种影响主要集中在定价过高的股票上，而不是定价过低的股票上。有趣的是，虽然这种冲击对大多数类型的异常现象都有显著影响，但估值异常现象却不受影响。

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Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

We investigate the causal impact of short-sale constraints on market anomalies by analyzing a comprehensive set of 182 anomalies. Our approach leverages a persistent, robust, and plausibly exogenous shock to short-selling supply caused by the dividend tax law change in the Job and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003. Our findings reveal that anomalies decline after JGTRRA. However, this tax law change impedes arbitrageurs’ ability to correct mispricing, resulting in anomalies decaying less following dividend record months compared to other months post-JGTRRA. Furthermore, this effect is concentrated on overpriced stocks as opposed to underpriced stocks. Interestingly, while this shock significantly affects most types of anomalies, valuation anomalies remain unaffected.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.