Journal of Accounting and Economics, Volume 60, Issues 2–3, November–December 2015, Pages 33–57

供给不足：卖空与股票收益率

作者：M.D. Beneish (Indiana University, Kelley School of Business), C.M.C. Lee (Stanford University, Stanford Graduate School of Business), D.C. Nichols (Syracuse University, Whitman School of Management)

摘要：在本文中，我们检验了影响卖空供给的经济因素以及其对未来股票收益率的影响。可融证券供给会随着融券方成本期望值的增大而增加，会随着财务报表显示的估值过高而降低。尽管提高融券费用能缓解供给约束，但是那些对卖空者很有吸引力的股票还是“一票”难求。使用了一系列公司特征，我们推导了融资融券市场实时的借贷需求和供给状况的有用工具。更进一步地，我们发现：1、当可融证券供给被限制（未被限制）时，卖空供给（需求）量是预测未来股票收益率的主要指标；2、在九大著名的市场异象中，卖空方的超额收益都只是由一些特殊的股票导致；3、融券费用明显的降低了卖空方的盈余能力，甚至会出现不再盈利的特殊情形。总而言之，我们证明了可融证券供给在股票价格形成和预测过程中的重要作用。

关键词：卖空，证券出借，套利成本，估值过高，市场效率

In short supply: Short-sellers and stock returns

M.D. Beneish (Indiana University, Kelley School of Business), C.M.C. Lee (Stanford University, Stanford Graduate School of Business), D.C. Nichols (Syracuse University, Whitman School of Management)

ABSTRACT

We examine the economic determinants of short-sale supply, and its consequences for future stock returns. Lendable supply increases with expected borrowing costs and decreases with financial statement constructs that indicate overvaluation. Although rising loan fees help ease supply constraints, we find shares are still least available when they are most attractive to short sellers. Using a number of firm characteristics, we derive useful instruments for real-time loan supply and demand conditions in the lending market. Further, we show that (1) when lendable supply is binding (non-binding), short-sale supply (demand) is the main predictor of future stock returns, (2) abnormal returns to the short-side of nine well-known market anomalies are attributable solely to “special” stocks, and (3) loan fees significantly reduce the profitability of the short side and several of these anomalies cease to be profitable. Overall our evidence highlights the central role played by the supply of lendable shares in equity price formation and returns prediction.

Keywords: Short selling; Security lending; Arbitrage costs; Overvaluation; Market efficiency

原文链接：http://www.sciencedirect.com/science/article/pii/S0165410115000580

翻译：汪国颂