金融專業(yè)外文翻譯---在交易型開放式基金中的賣空-金融財(cái)政(編輯修改稿)
2025-02-24 01:32 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 ons in the Canadian market. Chang et al. (2021) assess shortselling conditions in Hong Kong and find that shortselling constraints cause a greater degree of overreaction of individual stocks. of relation between short interest and subsequen performance of the ETFs To examine the relationship between short interest and subsequent performance of the ETFs, we test whether the trading strategies based on the previous short interest level result in abnormal gains. The trading strategy involves two steps: (1) forming decile portfolios based on the previous short interest level, and (2) assessing how the decile portfolios perform in subsequent holding periods. The beginning of each month of the sample period is labeled the portfolio formation month T*. At the beginning of each portfolio formation month T*, we obtain the short interest ratio of the ETFs. We form 10 deciles of ETFs based on the short interest level of the ETFs. The decile portfolios are then assessed to determine their performance over a holding period. Since there is no single holding period that perfectly fits all investors, we obtain the abnormal holding period returns on the ETFs in each decile for four different holding periods, starting in Quarter 1 (the quarter immediately following the portfolio formation process) and accumulating on a quarterly basis for three additional quarters. Thus, our methodology assesses portfolios in overlapping holding periods, which is consistent with the method used by Jegadeesh and Titman (1993),Chan et al. (1996), Baytas and Cakici (1999), and Lee and Swaminathan (2021). Jegadeesh and Titman (1993) suggest that the use of overlapping periods increases the power of the statistical tests. However, we also employ a methodology that assesses the investment strategies in nonoverlapping periods as a robustness test. Specifically,at the beginning of each January and June, all ETFs are categorized into decile portfolios based on their previous shortselling level. These portfolios are then held for the next 6 months, after which the difference between the abnormal return of the lowest and highest deciles is determined for each nonoverlapping 6month holding period and tested for significance. Since the results for nonoverlapping periods are very similar to those found for overlapping periods, they are not reported here. The abnormal holding period return is the difference between the ETF decile portfolio holding period return and a corresponding benchmark holding period return. The holding period returns (HPRs) for the ETFs are calculated on a quarterly pounded basis. Dividends are accounted for in the calculation of quarterly returns. Market benchmark holding period returns, MHPR1 to MHPR4, are calculated in the same manner. MHPRs for broadbased and sectorbased ETFs are calculated using the CRSPequallyweighted index。 MHPRs for international ETFs are calculated using the MSCI World index extracted from the Datastream database. The abnormal holding period return (AHPRi) for each ETF is measured as the difference between HPRi and the corresponding MHPRi (where i = 1 to 4 quarters after T*). The average abnormal holding period return (AAHPRi) is calculated for each decile portfolio by the following formula: where i indicates the number of quarters after T* (i = 1 to 4) and k indicates the number of ETFs in each decile portfolio (k = 1 to N). The profit from the trading strategy equals the difference between the average abnormal holding period returns of the portfolio of ETFs representing the highest decile and those of the portfolio of ETFs representing the lowest decile. of relationship between short interest and performance
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