Journal of Empirical Finance · VOLUME 42 · JUNE 2017

卖空交易者会使用行业信息吗？

作者：Zsuzsa R. Huszá, Ruth S.K. Tan (NUS Business School, at the National University of Singapore (NUS)), Weina Zhang (Risk Management Institute (RMI) and the Institute of Real Estate Studies (IRES) at NUS)

摘要：本文发现卖空交易者在他们的交易策略中会结合使用公司信息和行业信息。在交易后的6个月时段内，卖空总数最多的行业中被卖空最多的股票，比在其他卖空较少的行业中被卖空很多的股票少获得1.535%的异常收益。这个结果很有可能是由于卖空交易者对于具有高收益潜力的复杂行业的偏好所造成的。本文也说明了在行业层面的卖空总数可以预测重要的行业变动，比如销售业绩的下滑或者竞争的激化。总体来说，本文的结果表明卖空交易者有助于减轻行业中的信息复杂性并增强其经济效率。

关键词：行业信息、行业结构变化、定价效率、卖空

Do short sellers exploit industry information?

Zsuzsa R. Huszá (NUS Business School, at the National University of Singapore (NUS))

Ruth S.K. Tan (NUS Business School, at the National University of Singapore (NUS))

Weina Zhang (Risk Management Institute (RMI) and the Institute of Real Estate Studies (IRES) at NUS)

ABSTRACT

This study provides new evidence about short sellers' trading strategies by showing that short sellers exploit firm information in combination with industry information in their trades. In industries with the highest aggregate shorted values, the most-shorted stocks earn about 1.535% lower abnormal returns than other highly shorted stocks in less shorted industries over the next six months. These results are likely driven by short sellers’ preference for complex industries with the highest profit potential. We also show that the aggregate shorted value at the industry level is able to predict important industry shifts, such as declines in sales and increased competition. Overall, our results suggest that short sellers help to reduce information complexity and improve economic efficiency at the industry level.

Keywords: Industry information; Industry restructuring; Pricing efficiency; Short selling

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539816301165

翻译：殷曼琳