Journal of Financial Markets, Available online 11 March 2016, In Press, Corrected Proof — Note to users

52周高位和历史高位附近的卖空行为

作者：Eunju Leea (Manning School of Business, University of Massachusetts Lowell ), Natalia Piqueirab (C.T. Bauer College of Business, University of Houston )

摘要：尽管股价和过去价格高位的距离并不能反映基本面信息，但它在锚定投资者对股票表现的期望时发挥重要作用。通过使用股票52周和历史高位数据，我们检验在1988年至2012年间的美国股票市场，靠近价格高位对卖空者交易行为的影响。结果显示，卖空行为与价格靠近52周高位负相关，而与价格靠近历史高位正相关。表明卖空者利用其他投资者的行为偏差进行交易。

关键词：卖空；锚定偏差；价格高位

Short selling around the 52-week and historical highs

Eunju Leea (Manning School of Business, University of Massachusetts Lowell ), Natalia Piqueirab (C.T. Bauer College of Business, University of Houston )

ABSTRACT

Although the distance of a stock price to its past price high does not provide fundamental-related information, it plays an important role of anchoring investors? expectations about the performance of stocks. Using a stock’s 52-week and historical highs, we examine the impact of the nearness to these price highs on short sellers’ trading behavior in the U.S. equity market from 1988 to 2012. We find that short selling is negatively associated with the nearness of the price to the 52-week high, while it is positively associated with the nearness to the historical high. This suggests that short sellers exploit other investors’ behavioral biases.

Keywords：Short selling; Anchoring bias; Price highs

原文链接： http://www.sciencedirect.com/science/article/pii/S138641811530029X

翻译：黄怡文