兴趣不足的惊喜

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.2023.100841

Matthias X. Hanauer , Pavel Lesnevski , Esad Smajlbegovic

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引用次数: 0

摘要

我们通过考虑卖空数据中重要的横截面分布差异来提取卖空活动的新闻成分。由此产生的短期利息意外指标对美国和国际股票回报的横截面都有负面预测。我们的研究结果还表明，这种可预测性源于卖空者对错误定价的知情交易，以及投资者因锚定过去的空头兴趣而反应不足。最后，与高成本套利的概念一致，非流动性、波动性股票和信息不确定性高的股票的回报可预测性更强，但重要的是，与卖空摩擦无关。

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Surprise in short interest

We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest data. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our results also indicate that this predictability originates from short sellers’ informed trading on mispricing and investors’ underreaction due to their anchoring on past short interest. Finally, consistent with the notion of costly arbitrage, the return predictability is stronger among illiquid, volatile stocks and stocks with high information uncertainty, but importantly, unrelated to short-selling frictions.

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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.