Pacific-Basin Finance Journal Available online 5 January 2017
卖空限制对知情动量交易的影响：来自澳大利亚的证据
作者：YangGao (the University of Sydney), HenryLeung (The University of Sydney Business School)
摘要：我们研究了在全球金融危机（GFC）期间澳洲股票市场中卖空限制对动量策略收益的影响。动量策略是由表现最好前10%股票的赢家组合多头和表现最差前10%股票的输家组合空头组成。我们发现在全球金融危机期间的动量策略比金融危机之前的盈利较少。动量收益与卖空限制是负相关的，并且是输家组合导致了这个结果，而不是赢家组合。这些动量收益在存在交易成本和流动性影响时仍然稳健。一个解释：由澳大利亚证券和投资委员会在2008年9月到2009年5月强制的卖空限制可能减弱了动量交易者从输家组合卖空交易中盈利的能力。然而，知情动量利润是归因于输家组合3-12个月的持有期，这说明知情机构交易者利用他们的私有信息去克服逆向选择成本。这使他们能够卖空输家组合并且执行他们的动量交易策略。
Impact of short selling restrictions on informed momentum trading: Australian evidence
YangGao (the University of Sydney), HenryLeung (The University of Sydney Business School)
ABSTRACT
We examine the impact of short selling restrictions on the momentum strategy returns of Australian equities during the Global Financial Crisis (GFC). Momentum strategy is based on a long position in a winner portfolio comprising of the previous 10% best-performing stocks and a short position in a loser portfolio comprising of the previous 10% worst-performing stocks. We find that momentum strategy during the GFC are less profitable compared to the pre-GFC period. Momentum returns are negatively correlated to the short sales restrictions, and that loser portfolios rather than winner portfolios drive this result. These momentum returns are robust to transaction costs and liquidity effects. An explanation is that the imposition of the short selling restrictions by the Australian Securities and Investments Commission from September 2008 to May 2009 may have moderated the ability for momentum traders to profit from the short sale of loser portfolios. However, informed momentum profits are attributable to the loser portfolio across the holding periods of 3 to 12 months, which implies that informed institutional traders take advantage of their private information to overcome adverse selection costs. This enables them to short sell their loser portfolios and carry out their momentum trading strategies.
原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16303304
翻译：阙江静
