Journal of Empirical Finance 38 (2016.09)

知情卖空、交割失败和异常收益

作者：Thomas Stratmann (Department of Economics-George Mason University), John W. Welborn (Department of Economics-George Mason University)

摘要：使用事件研究和Fama-French因子计算组合收益的方法，我们发现根据不同交割失败的程度，存在交割失败的股票会产生负向的异常收益。同时使用股票借入成本的私有数据，我们也发现了卖空低和高交割失败程度的股票会产生正向的预估收益。我们的研究结果支持了交割失败反映了无法限制知情卖空交易的非约束性卖空限制的假设。

关键词：卖空，交割失败，异常收益

Informed short selling, fails-to-deliver, and abnormal returns

Thomas Stratmann (Department of Economics-George Mason University), John W. Welborn (Department of Economics-George Mason University)

ABSTRACT

We find that stocks with fails-to-deliver (FTDs) experience negative abnormal returns that are proportional to their FTD levels. These findings come from both an event study and a portfolio returns analysis using Fama-French factors. Using proprietary data on stock borrow costs, we also show that short sellers of low and high FTD stocks obtain positive estimated profits. Our findings support the hypothesis that FTDs reflect nonbinding short sale constraints which do not restrict informed short selling.

KeyWords: Short Sale, Fails-to-deliver, Abnormal Return

原文链接：http://www.sciencedirect.com/science/article/pii/S092753981630055X

翻译：殷曼琳