股票交易相關(guān)外文翻譯--納斯達(dá)克市場(chǎng)上的股權(quán)結(jié)構(gòu)、期望值和賣(mài)空交易-其他專(zhuān)業(yè)-文庫(kù)吧資料
2025-01-27 02:44本頁(yè)面
【正文】 shortinterest ratio may arise. Our results do not indicate that corporate policies preventing insiders from holding shares in margin accounts exhibit significant pressure on the ability to borrow shares for short selling. Our analysis rejects HI, and it represents the first research to document the effect of inside ownership on short interest. Our second hypothesis states that short interest is unrelated to institutional ownership, and it is also rejected by the data in our study. Both equations in Table 3 show that higher institutional ownership results in lower short interest. On the surface, these results seem to contradict D39。 the less liquid stocks, with fewer market makers and lower trading volume and larger bidask spreads, are typically less heavily shorted. Stocks with higher transaction costs are less likely to be sold short. Fourth, we plete our examinations with an estimation of expected short interest and use the difference between observed short interests and our estimates to represent the level of unanticipated short selling. Regression analyses initially suggest that this unexpected short interest has greater predictive power for shortrun returns than the unadjusted level of short sales. However, upon further study and with the inclusion of controls for size, value versus growth and momentum, the significance of our proxy for unanticipated short selling is largely diminished, relative to the raw measure of the shortinterest ratio itself. Echoing the seminal findings of Figlewski (1981), most firms with higher shortinterest ratios underperform those with lower ratios. CrossSectional Analysis of Short Interest To better understand the determinants of short interest, we investigate the relationships between sample firm characteristics and those firms39。 this echoes recent findings by Asquith et al. (2021). Our analysis of large Nasdaq stocks is consistent with sophisticated short sellers being less active in stocks disproportionately purchased by institutional investors, shown by Wermers (2021) and Pinnuck (2021) to demonstrate superior stockselection ability. Second, we discover a positive relation between inside ownership and short interest. By taking larger positions in firms with higher agency costs from entrenchment, short sellers may act to profit from a depreciative effect on corporate performance of excessive inside ownership. This new finding implies that short sellers may be using inside ownership data in their shortselling decisions, or that the factors upon which short sales choices are made are themselves tied into inside ownership levels. The inside ownership findings are not an artifact of the nonmonotonic relationships between ownership concentration levels and firm value as portrayed by Morck et al.(1988). The average inside ownership levels of our sample imply such a relationship, but such is not the case. Third, shortselling activity is lower in stocks with higher bidask spreads and other proxies for transaction costs. Short sellers exhibit a preference for firms with multiple market makers。 this latter relationship is not an artifact of the nonmonotonic relationship between ownership concentration and firm value documented by Morck et al. (1988). Third, we find that short sellers are more active in stocks with greater liquidity and smaller relative bidask spreads. Finally, we measure expected short interest and demonstrate that our measure of the unanticipated level of short interest seems to provide greater explanatory power for future returns than do the raw measures of short sales。 relative to the reported amount of short interest, this unexpected level of short selling seems at first to better represent the opinions of informed investors engaging in costly shortselling activities. However, the power of the unanticipated level of shortselling factor is displaced when we make allowances for traditional market, firm size, and momentum variables. I. INTRODUCTION Thomas (2021) affirms the struggle
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