Journal of Financial & Quantitative Analysis. Volume 53, Issue 3 June 2018

做空者是基于内幕消息还是错误的消息进行交易的？

作者Amiyatosh Purnanandam (McGill University, Desautels Faculty of Management)

H. Nejat Seyhun (University of Winnipeg, Faculty of Business Administration and Economics)

摘要：我们研究了做空者能否促进市场价格信息的有效性或通过基于谣言和错误信息破坏市场价格的稳定性。我们发现当股票内幕消息出现的可能性更高（利用内幕交易活动来衡量）的时候做空交易的信息量相当大。当市场还没有对内部知情人士的内幕交易作出充分反应的时候，做空者也给市场带来了大量的额外的信息。总之，以上的结果表明，总体而言，做空者提升了市场价格信息的有效性而不是破坏了市场价格信息的有效性。

Do Short Sellers Trade on Private Information or False Information?

Amiyatosh Purnanandam (McGill University, Desautels Faculty of Management)

H. Nejat Seyhun (University of Winnipeg, Faculty of Business Administration and Economics)

ABSTRACT

We investigate whether short sellers contribute toward the informational efficiency of market prices by trading on their private information or destabilize market prices by trading on rumors and false information. We find that short-selling activities are considerably informative about future stock returns when there is a higher likelihood of private information in stocks, as measured by insider-trading activities. Short sellers also bring considerable additional information to the market that is not fully captured by contemporaneous insider trading. Overall, these results suggest that on average, short sellers bring informational efficiency to market prices rather than destabilize them.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/do-short-sellers-trade-on-private-information-or-false-information/0861CC5B8F2C817A17333AB03FE9923D

翻译：汪国颂