Journal of Financial & Quantitative Analysis. Volume 53, Issue 2 April 2018 , pp. 723-748

空头回补交易

作者：Ekkehart Boehmer (ingapore Management University Lee Kong Chian School of Business), Truong X. Duong (Iowa State University Ivy College of Business), Zsuzsa R. Huszár(National University of Singapore (NUS) Business School)

摘要：做空交易者通常拥有股票价格的非公开信息。然而实证检验的结果表明，做空交易只是基于做空者一半的交易活动尤其是开仓活动进行的。利用日本股票市场的公开大额空头数据，我们首次提出了回补交易的详细证据，同时发现了对部分反转的空头回补的积极反应。尽管这些结果与平仓的大额交易成本相符合，但它们也揭示出一些做空交易者得到了部分未公布的利好消息，并且他们在空头回补上具有择时能力。

Short Covering Trades

Ekkehart Boehmer (ingapore Management University Lee Kong Chian School of Business)

Truong X. Duong (Iowa State University Ivy College of Business)

Zsuzsa R. Huszár（National University of Singapore (NUS) Business School）

ABSTRACT

Short sellers are known to have private information about security prices. Empirical evidence of short selling, however, is based on only half of short sellers’ trading activity; specifically, the opening of the position. Using disclosed large-short-position data from the Japanese stock market, we provide the first detailed evidence of covering trades and find a positive reaction to short covering that only partially reverses. Although these results are consistent with substantial transaction costs for closing large short positions, they also reveal that some short sellers are privately informed about positive future events and have timing ability in covering positions.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/short-covering-trades/987D17EC45D70D989C4FF6F3758E1EEB

翻译：汪国颂