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研究生:蔡佩珊
研究生(外文):Pei-Shan Tsai
論文名稱:台灣股票市場融券交易行為與股票報酬關係之研究
論文名稱(外文):An Empirical Study on the Relationship between Short Selling and Stock Returns in Taiwan Stock Market
指導教授:何加政何加政引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:93
語文別:英文
論文頁數:28
中文關鍵詞:賣空交易融券比率
外文關鍵詞:Short SellingShort Interest
相關次數:
  • 被引用被引用:1
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  • 下載下載:176
  • 收藏至我的研究室書目清單書目收藏:1
This study investigates the lead-lag relationship between stock returns and short interest. In addition, we also examine whether changes in short interest ratios can move stock prices, along with the Fama-French three factors. We find that a high short interest ratio does not indicate a bullish effect, but the short interest ratio reliably has predictive power over negative stock returns. Hence, this study provides some support for the use of short sales for speculation. Finally, the empirical results show that heavily shorted firms experience significant negative abnormal returns after controlling for the market, size, book-to-market, and changes in short interest ratios factors. These negative returns increase with the level of short interest, indicating that a higher level of short interest is a stronger bearish signal. In addition, changes in short interest ratios can move abnormal stock returns.
Table of Contents
Chapter
I. Introduction 1
II. Related Literature and Regulations of Short Selling 3
A. Related Literature 3
1. Short Interest and Market Movement 3
2. Short Interest and Individual Stock Returns 4
3. Short Interest and Tax Motivation 6
4. Short Interest and Speculation 7
B. Regulations of Short Selling 8
III. Methodology 11
A. Data 11
B. Research Design 11
IV. Empirical Results 15
V. Conclusions 24
References 27
List of Tables
Table 1 Distribution of Short Interest over the Sample Period 17
Table 2 Regression Results of Returns on Lags and Leads of Short Interest for the Listed Firms 18
Table 3 Regression Results of Short Interest on Lags and Leads of Returns for the Listed Firms 20
Table 4 Calendar-Time Abnormal Returns for the Shorted Firms(sorted by short interest ratios ) 21
Table 5 Calendar-Time Abnormal Returns for the Shorted Firms
(sorted by changes in short interest ratios ) 24
List of Figures
Figure 1 Yearly Outstanding Short Sale Shares 2
References
1.Asquith, Paul, and Lisa Meulbroek, 1995, An Empirical Investigation of Short Interest, Working Paper, Harvard Business School, Harvard University.
2.Bhattacharya, Anand K., and George W. Gallinger, 1991, Causality Tests of Short Sales on the New York Stock Exchange. Journal of Financial Research 14, 277-286.
3.Bowlin, L. and M. S. Rozeff, 1987, Do Specialists’ Short Sales Predict Returns? Journal of Portfolio Management 13, 59-63.
4.Brent, Averil, Dale Morse, and E. Kay Stice, 1990, Short Interest: Explanations and Tests. Journal of Financial and Quantitative Analysis 25, 273-289.
5.Conrad, Jennifer, 1986, The Price Effect of Short Sales Restrictions: Some Empirical Evidence, Ph.D. Dissertation, University of Chicago.
6.Desai, Hemang, K. Ramesh, S. R. Thiagarajan, and B. V. Balachandran, 2002, An Investigation of the Informational Role of Short Interest in the Nasdaq Market. Journal of Finance 57, 2263-2287.
7.Diamond, D.W., and R.E. Verrecchia, 1987, Constraints on Short-Selling and Asset Price Adjustment to Private Information. Journal of Financial Economics 18, 277-311.
8.Dyl, E., 1978, Short Selling and the Capital Gains Tax. Financial Analysts Journal 34, 61-64.
9.Fama, Eugene F., and Kenneth R. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33, 3-56.
10.Figlewski, Stephen, 1981, The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence. Journal of Financial and Quantitative Analysis 16, 463-476.
11.Hanna, M., 1976, A Stock Price Predictive Model Based on Changes in Ratios of Short Interest to Trading Volume. Journal of Financial and Quantitative Analysis 11, 857-872.
12.Reilly, F. K. and D. T. Whitford, 1982, A Test of the Specialists’ Short Sale Ratio, Journal of Portfolio Management 8, 12-18.
13.Seneca, J., 1967, Short Interest: Bearish or Bullish? Journal of Finance 22, 67-70.
14.Vu, Joseph D., and Paul Caster, 1987, Why All the Interest in Short Interest? Financial Analysts Journal 43, 76-79.
15.Woolridge, J. Randall, and Amy Dickinson, 1994, Short Selling and Common Stock Prices, Financial Analysts Journal 50, 30-38.
16.Zweig, M. E., 1981, The ABC’s of Market Forecasting: How to Use Barron’s Market Laboratory Pages (Dow Jones & Company, Inc., New York).
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