纳斯达克市场上的股权结构期望值和卖空交易外文翻译.docx
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纳斯达克市场上的股权结构期望值和卖空交易外文翻译.docx
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纳斯达克市场上的股权结构期望值和卖空交易外文翻译
外文翻译
外文题目:
OWNERSHIPSTRUCTURE,EXPECTATIONS,ANDSHORTSALESONTHENASDAQ
出处:
JOURNALOFECONOMICSANDFINANCE
作者:
J.EdwardGrahamandJ.ChristopherHughen
原文:
Abstract
WeestimateexpectedshortinterestforNasdaqstocks.Extendingpriorwork,ourresearchisamongthefirsttoinvestigatetheimpactofownershipstructureonshort-sellingactivity.Wefindthatshortinterestisnegativelyrelatedtoinstitutionalownershipandpositivelyrelatedtoinsideownership;stockswithgreaterliquidityandsmallerrelativespreadsaremoreheavilyshorted.Wealsodevelopameasureoftheunanticipatedlevelofshortselling;relativetothereportedamountofshortinterest,thisunexpectedlevelofshortsellingseemsatfirsttobetterrepresenttheopinionsofinformedinvestorsengagingincostlyshort-sellingactivities.However,thepoweroftheunanticipatedlevelofshort-sellingfactorisdisplacedwhenwemakeallowancesfortraditionalmarket,firmsize,andmomentumvariables.
I.INTRODUCTION
Thomas(2006)affirmsthestruggleoffinancialresearchersastheyconsidershortsales.Confrontinginstitutionalandstatisticalissues,anewshortsalesliteraturehasevolvedinthepastfewyears;weseektotemperthestrugglewithasetofrelatedexaminationsthatextendthisresearch.First,weexaminetheimpactofownershipstructureonthelevelofshortinterestandfinditsignificantlyrelatedtoshort-sellingactivity.Second,weextendourownershipmeasuresanddiscoverthatwhileshortsellingisnegativelyrelatedtoinstitutionalownership,itispositively
relatedtoinsideownership;thislatterrelationshipisnotanartifactofthenon-monotonicrelationshipbetweenownershipconcentrationandfirmvaluedocumentedbyMorcketal.(1988).Third,wefindthatshortsellersaremoreactiveinstockswithgreaterliquidityandsmallerrelativebid-askspreads.Finally,wemeasureexpectedshortinterestanddemonstratethatourmeasureoftheunanticipatedlevelofshortinterestseemstoprovidegreaterexplanatorypowerforfuturereturnsthandotherawmeasuresofshortsales;however,thisgreaterpowerisdisplacedwhenweadoptselectedfirmsizeandmomentumvariablesasadditionalexplanatoryfactors.
Inadvancingourunderstandingofshortselling,weconnecttwolinesofresearch.First,theliteratureprovidesevidenceofnegativelong-rununderperformanceforstocksexperiencinghighshortinterest.Theseauthorssuggestthathighshort-interestlevelsoftenreflectthenegativeopinionsofinformedinvestors.Anothergroupexaminesfactorsthatinfluencetheamountofshort-salesactivity.Theyreachseveralconclusions:
thelevelofinstitutionalownershipcanconstraintheabilitytoborrowsharesshortsellerspreferliquidstockwithhighratiosofmarkettofundamentalvalues.
Wemeasureexpectedshortinterestinamannerthatframestheinfluenceofownershipstructureandotherfactorssimultaneously.Weincorporatenewmeasuresthatareamongthefirsttoconsidertheeffectofinsideownershiponshortinterest.Giventhatmanyfactorslikelyinfluencethelevelofshortselling,itisdifficulttointerpretthesignalprovidedbytheinformedinvestorsthatfrequentlyengageinthisactivity.Towardsexaminingthissignal,wealsomeasurewhethertheunexpectedlevelofshortinterestprovidesgreaterpredictiveabilityforsubsequentstockreturnsthantheabsolutemeasuresofshortsales.
Weprovideseveralinsightsintothefactorsinfluencingtheamountofshort-sellingactivity.First,wedocumentanegativerelationbetweenshortinterestandinstitutionalownership.Onthesurface,thisfindingseemstocontradictrecentresearchshowingthatinstitutionalinvestorsarethedominantparticipantsinthemarketforlendingsharesforshortselling.However,stocksthatareunavailableforborrowingtendtohavesmallmarketcapitalizations,andforstockswithlargemarketvalues,theabilitytoborrowsharesfrominstitutionsdoesnotappeartobeasignificantconstraint;thisechoesrecentfindingsbyAsquithetal.(2005).OuranalysisoflargeNasdaqstocksisconsistentwithsophisticatedshortsellersbeinglessactiveinstocksdisproportionatelypurchasedbyinstitutionalinvestors,shownbyWermers(2000)andPinnuck(2003)todemonstratesuperiorstock-selectionability.
Second,wediscoverapositiverelationbetweeninsideownershipandshortinterest.Bytakinglargerpositionsinfirmswithhigheragencycostsfromentrenchment,shortsellersmayacttoprofitfromadepreciativeeffectoncorporateperformanceofexcessiveinsideownership.Thisnewfindingimpliesthatshortsellersmaybeusinginsideownershipdataintheirshort-sellingdecisions,orthatthefactorsuponwhichshortsaleschoicesaremadearethemselvestiedintoinsideownershiplevels.Theinsideownershipfindingsarenotanartifactofthenon-monotonic
relationshipsbetweenownershipconcentrationlevelsandfirmvalueasportrayedbyMorcketal.(1988).Theaverageinsideownershiplevelsofoursampleimplysucharelationship,butsuchisnotthecase.
Third,short-sellingactivityislowerinstockswithhigherbid-askspreadsandotherproxiesfortransactioncosts.Shortsellersexhibitapreferenceforfirmswithmultiplemarketmakers;theseinformedinvestorsmayfinditmoreprofitabletoconducttheiractivitiesacrossseveraldealers.Weaffirmthatstockliquidityissignificantlyassociatedwithshortselling;thelessliquid
stocks,withfewermarketmakersandlowertradingvolumeandlargerbid-askspreads,aretypicallylessheavilyshorted.Stockswithhighertransactioncostsarelesslikelytobesoldshort.
Fourth,wecompleteourexaminationswithanestimationofexpectedshortinterestandusethedifferencebetweenobservedshortinterestsandourestimatestorepresentthelevelofunanticipatedshortselling.Regressionanalysesinitiallysuggestthatthisunexpectedshortinteresthasgreaterpredictivepowerforshort-runreturnsthantheunadjustedlevelofshortsales.However,uponfurtherstudyandwiththeinclusionofcontrolsforsize,valueversusgrowthandmomentum,thesignificanceofourproxyforunanticipatedshortsellingislargelydiminished,relativetotherawmeasureoftheshort-interestratioitself.EchoingtheseminalfindingsofFiglewski(1981),mostfirmswithhighershort-interestratiosunderperformthosewithlower
ratios.
II.RESULTS
Cross-SectionalAnalysisofShortInterest
Tobetterunderstandthedeterminantsofshortinterest,weinvestigatetherelationshipsbetweensamplefirmcharacteristicsandthosefirms'short-interestratios.Logsofselectedvariablesareprovidedtonormalizetheerrorterms.Traditionalregressionanalysisisusedtoestimatetheshort-interestratio.Thisfunctiongeneratestheexpectedlevelofshortinterestthatisusedlaterinthestudy.
Thecoefficientestimatesandp-valuesforthecross-sectionalanalysisoftheshort-interestratioareshowninTable3.Theequationsareestimatedforeachofthe90monthsinoursample,andthemeancoefficientestimatesarereported.Thisapproachisusedbecausethebid-askspreadsarenarrowingandshort-interestlevelsareincreasingovervirtuallytheentirestudyperiod.Withoutthiscontrolfortime,ourexaminationwouldfindmisleadingrelationshipsbetweentheexplanatoryfactorsandthedependentvariable.Table3providesestimatesfortwofunctions.InEquation1,theobservationsarelimitedtofirmswithdataonmultipleanalystearningsestimates
fromI/B/E/S.Thisrestrictionreducesthesamplesizeby8.2%intheaveragemonth,butitallowsustoincorporatethestandarddeviationofanalysts'forecastsinouranalysis.Equation2isestimatedfortheentiresample.inAsshowninbothequationsinTable3,testsofourfirsthypothesis,insideownershipispositivelyassociatedwiththeshort-interestratio.Shortsellersmaybecomemoreactiveasmanagersareentrenchedthroughgreaterownership.Anotherplausibleexplanationsuggestsinsidersmayhedgetheirstockholdings.Asinsideholdingsaresometimesoffsetbypositionsincollars,swaps,andotherderivatives,withfinancialinstitutionsthatfacilitatethesetransactionsreducingtheirownriskbyshortsellingstock,apositiverelationbetweeninsideownershipandtheshort-interestratiomayarise.Ourresultsdonotindicatethatcorporatepoliciespreventinginsidersfromholdingsharesinmarginaccountsexhibitsignificantpressureontheabilitytoborrowsharesforshortselling.OuranalysisrejectsHI,anditrepresentsthefirstresearchtodocumenttheeffectofinsideownershiponshortinterest.
Oursecondhypothesisstatesthatshortinterestisunrelatedtoinstitutionalownership,anditisalsorejectedbythedatainourstudy.BothequationsinTable3showthathigherinstitutionalownershipresultsinlowershortinterest.Onthesurface,theseresultsseemtocontradictD'Avolio(2002)whereheshowsthatinstitutionalownershipexplainsasignificantportionofthevariabilityinloansupply.However,theapparentinconsistencyislikelyaresultofthecharacteristicsofoursample,whichconsistsofthelargestNasdaqstocks.D'Avoliofinds1,267stocksthatareunavailableforborrowingfromalargeinstitutionallendingintermediary;86%ofthesestocksare
inthebottomsizedecileand57%arepricedunder$5.Themeanpriceofthestocksinoursampleis$33.48andtheaverageinstitutionalownershipis51.63%.Thus,thestocksthataremostdifficulttoborrowfrominstitutionsaretypicallynotamongthelargest200firmsontheNasdaq.
Recentresearchonmutualfundsfindsthatmanagerspurchasestocksthathavesubsequentpositiveabnormalreturns.Wermers(200
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- 关 键 词:
- 纳斯达克 市场 股权结构 期望值 卖空 交易 外文 翻译