REVIEW OF FINANCIAL STUDIES·(2016)29(12):3211-3244.doi:10.1093/rfs/hhw058First published online: July 20, 2016

所有权结构、有限套利和股票收益：来自股票借贷市场的证据

作者：Melissa Porras Prado (Nova School of Business and Economics), Pedro A. C. Saffi (Judge Business School, University of Cambridge), Jason Sturgess (Driehaus College of Business, DePaul University)

摘要：我们研究机构所有权结构如何通过其在卖空限制上的影响而引起套利限制。机构所有权程度较低、较集中、短期和较不被动的股票表现出较低的贷款供应、较高的卖空成本和较高的套利风险。这些约束限制了套利者卖空套利的能力，并推迟了错误定价的校正。所有权较集中的股票表现出较小的公告日反应、较大的盈余公告效应，并且在积极的卖空需求冲击后的一周内存在额外的-0.47%的负异常收益。

Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets

Melissa Porras Prado (Nova School of Business and Economics), Pedro A. C. Saffi (Judge Business School, University of Cambridge), Jason Sturgess (Driehaus College of Business, DePaul University)

ABSTRACT

We examine how institutional ownership structure gives rise to limits to arbitrage through its impact on short-sale constraints. Stocks with lower, more concentrated, short-term, and less passive ownership exhibit lower lending supply, higher costs of shorting, and higher arbitrage risk. These constraints limit the ability of arbitrageurs to take short positions and delay the correction of mispricing. Stocks with more concentrated ownership exhibit smaller announcement day reactions, larger post-earnings announcement drift, and an additional negative abnormal return of?0.47% in the week following a positive shorting demand shock.

原文链接：http://rfs.oxfordjournals.org/content/29/12/3211.abstract

翻译：何杉