Journal of Financial and Quantitative Analysis · Volume 52, Issue 2 April 2017, pp. 645-675

为什么卖空型投资者喜欢定性新闻？

作者：Bastian von Beschwitz (Federal Reserve Board，International Finance Division), Oleg Chuprinin (University of New South Wales), Massimo Massa (INSEAD Finance Department)

摘要：卖空型投资者在存在定性新闻的日子里交易更多，定性新闻指包含数量信息较少的新闻。我们的研究表明，这种行为不是由信息所驱动，但可以用在这样的日子里卖空投资者利用的流动性更多来解释。我们验证了当存在定性消息时，流动性和噪声交易会增加，这使卖空投资者可以更好地伪装其知情交易。自然实验支持我们的研究结论。当股票从标准普尔500指数中删除，从而导致其流动性下降后，定性消息对卖空交易的影响更大，而当投资者注意力被奥运会分散时，定性消息的影响较小。

Why Do Short Sellers Like Qualitative News?

Bastian von Beschwitz (Federal Reserve Board，International Finance Division), Oleg Chuprinin (University of New South Wales), Massimo Massa (INSEAD Finance Department)

ABSTRACT

Short sellers trade more on days with qualitative news, that is, news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news, enabling short sellers to better disguise their informed trades. Natural experiments support our findings. Qualitative news has a bigger effect on short sellers’ trading after a decrease in liquidity following the stock’s deletion from the Standard & Poor’s 500 index and a smaller effect when investor attention is distracted by the Olympic Games.

原文链接：

https://doi.org/10.1017/S0022109017000151

翻译：陈然