常见的卖空和过度波动:来自伦敦证交所股票样本的证据

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-09-01 DOI:10.1016/j.finmar.2023.100833

Marco Valerio Geraci , Jean-Yves Gnabo , David Veredas

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引用次数: 0

摘要

对于2013-2019年期间伦敦证交所356只股票的样本，我们发现普通卖空资本与未来一个月的四因素剩余收益相关性呈正相关且显著相关，控制了许多配对特征，包括规模、账面市值比和动量的相似性。当股票流动性不足时，这种关系减弱，而当空头头寸来自知情的代理人(如对冲基金、积极投资者和过去业绩良好的卖空者)时，这种关系增强。这支持了我们的假设，即这种关系是由信息驱动的，而不是价格压力。我们证明这些结果可以用来获得多元化效益。

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Common short selling and excess comovement: Evidence from a sample of LSE stocks

For a sample of 356 LSE stocks from the period 2013–2019, we find that common short sold capital is positively and significantly associated with one-month ahead four-factor residual return correlation, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. The relation weakens with stock illiquidity, whereas it strengthens when short positions originate from informed agents, such as hedge funds, active investors, and short sellers with high past performance. This supports our hypothesis that the relation is driven by information, not price pressure. We show that these results can be used to obtain diversification benefits.

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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.