纳斯达克市场上的股权结构、期望值和卖空交易【外文翻译】.doc

1、毕业论文外文翻译外文题目OWNERSHIPSTRUCTURE,EXPECTATIONS,ANDSHORTSALESONTHENASDAQ出处JOURNALOFECONOMICSANDFINANCE作者JEDWARDGRAHAMANDJCHRISTOPHERHUGHEN原文ABSTRACTWEESTIMATEEXPECTEDSHORTINTERESTFORNASDAQSTOCKSEXTENDINGPRIORWORK,OURRESEARCHISAMONGTHEFIRSTTOINVESTIGATETHEIMPACTOFOWNERSHIPSTRUCTUREONSHORTSELLINGACTIVITYW

2、EFINDTHATSHORTINTERESTISNEGATIVELYRELATEDTOINSTITUTIONALOWNERSHIPANDPOSITIVELYRELATEDTOINSIDEOWNERSHIPSTOCKSWITHGREATERLIQUIDITYANDSMALLERRELATIVESPREADSAREMOREHEAVILYSHORTEDWEALSODEVELOPAMEASUREOFTHEUNANTICIPATEDLEVELOFSHORTSELLINGRELATIVETOTHEREPORTEDAMOUNTOFSHORTINTEREST,THISUNEXPECTEDLEVELOFSHOR

3、TSELLINGSEEMSATFIRSTTOBETTERREPRESENTTHEOPINIONSOFINFORMEDINVESTORSENGAGINGINCOSTLYSHORTSELLINGACTIVITIESHOWEVER,THEPOWEROFTHEUNANTICIPATEDLEVELOFSHORTSELLINGFACTORISDISPLACEDWHENWEMAKEALLOWANCESFORTRADITIONALMARKET,FIRMSIZE,ANDMOMENTUMVARIABLESIINTRODUCTIONTHOMAS2006AFFIRMSTHESTRUGGLEOFFINANCIALRES

4、EARCHERSASTHEYCONSIDERSHORTSALESCONFRONTINGINSTITUTIONALANDSTATISTICALISSUES,ANEWSHORTSALESLITERATUREHASEVOLVEDINTHEPASTFEWYEARSWESEEKTOTEMPERTHESTRUGGLEWITHASETOFRELATEDEXAMINATIONSTHATEXTENDTHISRESEARCHFIRST,WEEXAMINETHEIMPACTOFOWNERSHIPSTRUCTUREONTHELEVELOFSHORTINTERESTANDFINDITSIGNIFICANTLYRELAT

5、EDTOSHORTSELLINGACTIVITYSECOND,WEEXTENDOUROWNERSHIPMEASURESANDDISCOVERTHATWHILESHORTSELLINGISNEGATIVELYRELATEDTOINSTITUTIONALOWNERSHIP,ITISPOSITIVELYRELATEDTOINSIDEOWNERSHIPTHISLATTERRELATIONSHIPISNOTANARTIFACTOFTHENONMONOTONICRELATIONSHIPBETWEENOWNERSHIPCONCENTRATIONANDFIRMVALUEDOCUMENTEDBYMORCKETA

6、L1988THIRD,WEFINDTHATSHORTSELLERSAREMOREACTIVEINSTOCKSWITHGREATERLIQUIDITYANDSMALLERRELATIVEBIDASKSPREADSFINALLY,WEMEASUREEXPECTEDSHORTINTERESTANDDEMONSTRATETHATOURMEASUREOFTHEUNANTICIPATEDLEVELOFSHORTINTERESTSEEMSTOPROVIDEGREATEREXPLANATORYPOWERFORFUTURERETURNSTHANDOTHERAWMEASURESOFSHORTSALESHOWEVE

7、R,THISGREATERPOWERISDISPLACEDWHENWEADOPTSELECTEDFIRMSIZEANDMOMENTUMVARIABLESASADDITIONALEXPLANATORYFACTORSINADVANCINGOURUNDERSTANDINGOFSHORTSELLING,WECONNECTTWOLINESOFRESEARCHFIRST,THELITERATUREPROVIDESEVIDENCEOFNEGATIVELONGRUNUNDERPERFORMANCEFORSTOCKSEXPERIENCINGHIGHSHORTINTERESTTHESEAUTHORSSUGGEST

8、THATHIGHSHORTINTERESTLEVELSOFTENREFLECTTHENEGATIVEOPINIONSOFINFORMEDINVESTORSANOTHERGROUPEXAMINESFACTORSTHATINFLUENCETHEAMOUNTOFSHORTSALESACTIVITYTHEYREACHSEVERALCONCLUSIONSTHELEVELOFINSTITUTIONALOWNERSHIPCANCONSTRAINTHEABILITYTOBORROWSHARESSHORTSELLERSPREFERLIQUIDSTOCKWITHHIGHRATIOSOFMARKETTOFUNDAM

9、ENTALVALUESWEMEASUREEXPECTEDSHORTINTERESTINAMANNERTHATFRAMESTHEINFLUENCEOFOWNERSHIPSTRUCTUREANDOTHERFACTORSSIMULTANEOUSLYWEINCORPORATENEWMEASURESTHATAREAMONGTHEFIRSTTOCONSIDERTHEEFFECTOFINSIDEOWNERSHIPONSHORTINTERESTGIVENTHATMANYFACTORSLIKELYINFLUENCETHELEVELOFSHORTSELLING,ITISDIFFICULTTOINTERPRETTH

10、ESIGNALPROVIDEDBYTHEINFORMEDINVESTORSTHATFREQUENTLYENGAGEINTHISACTIVITYTOWARDSEXAMININGTHISSIGNAL,WEALSOMEASUREWHETHERTHEUNEXPECTEDLEVELOFSHORTINTERESTPROVIDESGREATERPREDICTIVEABILITYFORSUBSEQUENTSTOCKRETURNSTHANTHEABSOLUTEMEASURESOFSHORTSALESWEPROVIDESEVERALINSIGHTSINTOTHEFACTORSINFLUENCINGTHEAMOUN

11、TOFSHORTSELLINGACTIVITYFIRST,WEDOCUMENTANEGATIVERELATIONBETWEENSHORTINTERESTANDINSTITUTIONALOWNERSHIPONTHESURFACE,THISFINDINGSEEMSTOCONTRADICTRECENTRESEARCHSHOWINGTHATINSTITUTIONALINVESTORSARETHEDOMINANTPARTICIPANTSINTHEMARKETFORLENDINGSHARESFORSHORTSELLINGHOWEVER,STOCKSTHATAREUNAVAILABLEFORBORROWIN

12、GTENDTOHAVESMALLMARKETCAPITALIZATIONS,ANDFORSTOCKSWITHLARGEMARKETVALUES,THEABILITYTOBORROWSHARESFROMINSTITUTIONSDOESNOTAPPEARTOBEASIGNIFICANTCONSTRAINTTHISECHOESRECENTFINDINGSBYASQUITHETAL2005OURANALYSISOFLARGENASDAQSTOCKSISCONSISTENTWITHSOPHISTICATEDSHORTSELLERSBEINGLESSACTIVEINSTOCKSDISPROPORTIONA

13、TELYPURCHASEDBYINSTITUTIONALINVESTORS,SHOWNBYWERMERS2000ANDPINNUCK2003TODEMONSTRATESUPERIORSTOCKSELECTIONABILITYSECOND,WEDISCOVERAPOSITIVERELATIONBETWEENINSIDEOWNERSHIPANDSHORTINTERESTBYTAKINGLARGERPOSITIONSINFIRMSWITHHIGHERAGENCYCOSTSFROMENTRENCHMENT,SHORTSELLERSMAYACTTOPROFITFROMADEPRECIATIVEEFFEC

14、TONCORPORATEPERFORMANCEOFEXCESSIVEINSIDEOWNERSHIPTHISNEWFINDINGIMPLIESTHATSHORTSELLERSMAYBEUSINGINSIDEOWNERSHIPDATAINTHEIRSHORTSELLINGDECISIONS,ORTHATTHEFACTORSUPONWHICHSHORTSALESCHOICESAREMADEARETHEMSELVESTIEDINTOINSIDEOWNERSHIPLEVELSTHEINSIDEOWNERSHIPFINDINGSARENOTANARTIFACTOFTHENONMONOTONICRELATI

15、ONSHIPSBETWEENOWNERSHIPCONCENTRATIONLEVELSANDFIRMVALUEASPORTRAYEDBYMORCKETAL1988THEAVERAGEINSIDEOWNERSHIPLEVELSOFOURSAMPLEIMPLYSUCHARELATIONSHIP,BUTSUCHISNOTTHECASETHIRD,SHORTSELLINGACTIVITYISLOWERINSTOCKSWITHHIGHERBIDASKSPREADSANDOTHERPROXIESFORTRANSACTIONCOSTSSHORTSELLERSEXHIBITAPREFERENCEFORFIRMS

16、WITHMULTIPLEMARKETMAKERSTHESEINFORMEDINVESTORSMAYFINDITMOREPROFITABLETOCONDUCTTHEIRACTIVITIESACROSSSEVERALDEALERSWEAFFIRMTHATSTOCKLIQUIDITYISSIGNIFICANTLYASSOCIATEDWITHSHORTSELLINGTHELESSLIQUIDSTOCKS,WITHFEWERMARKETMAKERSANDLOWERTRADINGVOLUMEANDLARGERBIDASKSPREADS,ARETYPICALLYLESSHEAVILYSHORTEDSTOCK

17、SWITHHIGHERTRANSACTIONCOSTSARELESSLIKELYTOBESOLDSHORTFOURTH,WECOMPLETEOUREXAMINATIONSWITHANESTIMATIONOFEXPECTEDSHORTINTERESTANDUSETHEDIFFERENCEBETWEENOBSERVEDSHORTINTERESTSANDOURESTIMATESTOREPRESENTTHELEVELOFUNANTICIPATEDSHORTSELLINGREGRESSIONANALYSESINITIALLYSUGGESTTHATTHISUNEXPECTEDSHORTINTERESTHA

18、SGREATERPREDICTIVEPOWERFORSHORTRUNRETURNSTHANTHEUNADJUSTEDLEVELOFSHORTSALESHOWEVER,UPONFURTHERSTUDYANDWITHTHEINCLUSIONOFCONTROLSFORSIZE,VALUEVERSUSGROWTHANDMOMENTUM,THESIGNIFICANCEOFOURPROXYFORUNANTICIPATEDSHORTSELLINGISLARGELYDIMINISHED,RELATIVETOTHERAWMEASUREOFTHESHORTINTERESTRATIOITSELFECHOINGTHE

19、SEMINALFINDINGSOFFIGLEWSKI1981,MOSTFIRMSWITHHIGHERSHORTINTERESTRATIOSUNDERPERFORMTHOSEWITHLOWERRATIOSIIRESULTSCROSSSECTIONALANALYSISOFSHORTINTERESTTOBETTERUNDERSTANDTHEDETERMINANTSOFSHORTINTEREST,WEINVESTIGATETHERELATIONSHIPSBETWEENSAMPLEFIRMCHARACTERISTICSANDTHOSEFIRMSSHORTINTERESTRATIOSLOGSOFSELEC

20、TEDVARIABLESAREPROVIDEDTONORMALIZETHEERRORTERMSTRADITIONALREGRESSIONANALYSISISUSEDTOESTIMATETHESHORTINTERESTRATIOTHISFUNCTIONGENERATESTHEEXPECTEDLEVELOFSHORTINTERESTTHATISUSEDLATERINTHESTUDYTHECOEFFICIENTESTIMATESANDPVALUESFORTHECROSSSECTIONALANALYSISOFTHESHORTINTERESTRATIOARESHOWNINTABLE3THEEQUATIO

21、NSAREESTIMATEDFOREACHOFTHE90MONTHSINOURSAMPLE,ANDTHEMEANCOEFFICIENTESTIMATESAREREPORTEDTHISAPPROACHISUSEDBECAUSETHEBIDASKSPREADSARENARROWINGANDSHORTINTERESTLEVELSAREINCREASINGOVERVIRTUALLYTHEENTIRESTUDYPERIODWITHOUTTHISCONTROLFORTIME,OUREXAMINATIONWOULDFINDMISLEADINGRELATIONSHIPSBETWEENTHEEXPLANATOR

22、YFACTORSANDTHEDEPENDENTVARIABLETABLE3PROVIDESESTIMATESFORTWOFUNCTIONSINEQUATION1,THEOBSERVATIONSARELIMITEDTOFIRMSWITHDATAONMULTIPLEANALYSTEARNINGSESTIMATESFROMI/B/E/STHISRESTRICTIONREDUCESTHESAMPLESIZEBY82INTHEAVERAGEMONTH,BUTITALLOWSUSTOINCORPORATETHESTANDARDDEVIATIONOFANALYSTSFORECASTSINOURANALYSI

23、SEQUATION2ISESTIMATEDFORTHEENTIRESAMPLEINASSHOWNINBOTHEQUATIONSINTABLE3,TESTSOFOURFIRSTHYPOTHESIS,INSIDEOWNERSHIPISPOSITIVELYASSOCIATEDWITHTHESHORTINTERESTRATIOSHORTSELLERSMAYBECOMEMOREACTIVEASMANAGERSAREENTRENCHEDTHROUGHGREATEROWNERSHIPANOTHERPLAUSIBLEEXPLANATIONSUGGESTSINSIDERSMAYHEDGETHEIRSTOCKHO

24、LDINGSASINSIDEHOLDINGSARESOMETIMESOFFSETBYPOSITIONSINCOLLARS,SWAPS,ANDOTHERDERIVATIVES,WITHFINANCIALINSTITUTIONSTHATFACILITATETHESETRANSACTIONSREDUCINGTHEIROWNRISKBYSHORTSELLINGSTOCK,APOSITIVERELATIONBETWEENINSIDEOWNERSHIPANDTHESHORTINTERESTRATIOMAYARISEOURRESULTSDONOTINDICATETHATCORPORATEPOLICIESPR

25、EVENTINGINSIDERSFROMHOLDINGSHARESINMARGINACCOUNTSEXHIBITSIGNIFICANTPRESSUREONTHEABILITYTOBORROWSHARESFORSHORTSELLINGOURANALYSISREJECTSHI,ANDITREPRESENTSTHEFIRSTRESEARCHTODOCUMENTTHEEFFECTOFINSIDEOWNERSHIPONSHORTINTERESTOURSECONDHYPOTHESISSTATESTHATSHORTINTERESTISUNRELATEDTOINSTITUTIONALOWNERSHIP,AND

26、ITISALSOREJECTEDBYTHEDATAINOURSTUDYBOTHEQUATIONSINTABLE3SHOWTHATHIGHERINSTITUTIONALOWNERSHIPRESULTSINLOWERSHORTINTERESTONTHESURFACE,THESERESULTSSEEMTOCONTRADICTDAVOLIO2002WHEREHESHOWSTHATINSTITUTIONALOWNERSHIPEXPLAINSASIGNIFICANTPORTIONOFTHEVARIABILITYINLOANSUPPLYHOWEVER,THEAPPARENTINCONSISTENCYISLI

27、KELYARESULTOFTHECHARACTERISTICSOFOURSAMPLE,WHICHCONSISTSOFTHELARGESTNASDAQSTOCKSDAVOLIOFINDS1,267STOCKSTHATAREUNAVAILABLEFORBORROWINGFROMALARGEINSTITUTIONALLENDINGINTERMEDIARY86OFTHESESTOCKSAREINTHEBOTTOMSIZEDECILEAND57AREPRICEDUNDER5THEMEANPRICEOFTHESTOCKSINOURSAMPLEIS3348ANDTHEAVERAGEINSTITUTIONAL

28、OWNERSHIPIS5163THUS,THESTOCKSTHATAREMOSTDIFFICULTTOBORROWFROMINSTITUTIONSARETYPICALLYNOTAMONGTHELARGEST200FIRMSONTHENASDAQRECENTRESEARCHONMUTUALFUNDSFINDSTHATMANAGERSPURCHASESTOCKSTHATHAVESUBSEQUENTPOSITIVEABNORMALRETURNSWERMERS2000ESTIMATESTHESEABNORMALRETURNSARE13PERYEARBEFOREACCOUNTINGFORTRANSACT

29、IONSCOSTSPINNUCK2003PROVIDESSUPPORTFORTHISCONCLUSIONASATLEASTSOMEINSTITUTIONALINVESTORSHAVESUPERIORABILITYTOPICKSTOCKS,SHORTSELLERSMAYBELESSACTIVEINSTOCKSWITHINCREASINGINSTITUTIONALOWNERSHIPANDFEWCONSTRAINTSONBORROWINGASWELL,INSTITUTIONALBUYERSMAYBELESSINCLINEDTOMARGINTHEIRSTOCK,ANDTHISCOULDREDUCEST

30、OCKSUPPLIESFORLENDINGTOSHORTSELLERSASINSTITUTIONALOWNERSHIPINCREASESOURTHIRDHYPOTHESISSTATESTHATTRANSACTIONCOSTSANDSHORTINTERESTAREUNRELATEDFORBOTHEQUATIONS,THEMEANCOEFFICIENTFORTHEBIDASKSPREADISNEGATIVEANDSIGNIFICANT,ANDTHEESTIMATEDCOEFFICIENTSFORTHENUMBEROFMARKETMAKERSANDSHAREVOLUMEAREPOSITIVEANDS

31、IGNIFICANTTHESERESULTSREJECTH3ANDARECONSISTENTWITHTHEIDEATHATTRANSACTIONCOSTSAREIMPORTANTIMPEDIMENTSTOSHORTSELLINGTHISSTUDYISAMONGTHEFIRSTTOPROVIDEEVIDENCETHATSHORTSELLERSHAVEAPREFERENCEFORSTOCKSWITHMOREMARKETMAKERSLIKETRANSACTIONCOSTS,DIVIDENDSAREANIMPEDIMENTTOSHORTSELLINGTABLE3SHOWSTHATSTOCKSPAYIN

32、GDIVIDENDSHAVELOWERSHORTINTERESTWHENDIVIDENDSAREISSUED,STOCKPRICESTYPICALLYFALLBYLESSTHANTHEDIVIDENDANDTHISREPRESENTSACOSTTOSHORTSELLING,ABSENTANYALLOWANCEFORTHEDIVIDENDPAYMENTITSELFAVAILABLEOPTIONSAREALSOASSOCIATEDWITHINCREASEDSHORTINTERESTRATIOSCONSISTENTWITHFIGLEWSKIANDWEBB1993ANDDANIELSONANDSORE

33、SCU2001,OURANALYSISINDICATESTHATSTOCKSWITHEXCHANGETRADEDOPTIONSHAVEHIGHERSHORTINTERESTEXTENDINGDECHOWETAL2001,WEINCLUDETHEPRICETOEARNINGSRATIOANDTHEPRICETOBOOKRATIOINOUREXPRESSIONSTHEMEANCOEFFICIENTSFORTHESEVARIABLESAREPOSITIVEINBOTHEQUATIONS,ANDTHISRESULTAFFIRMSTHEEARLIERRESEARCHASTHECOEFFICIENTFOR

34、THEPRIORRETURNISNEGATIVE,THEDATAALSOSUGGESTTHATSHORTSELLERSTAKEINTOACCOUNTMOMENTUM,WHICHISAPATTERNDOCUMENTEDBYJEGADEESHANDTITMAN1993THELASTVARIABLESINTHISPORTIONOFOUREXAMINATIONSRELATETOANALYSTFORECASTSSHORTINTERESTHASAPOSITIVERELATIONWITHANALYSTSFORECASTSOFLONGTERMGROWTHRATESSTUDIESSHOWEARNINGSESTI

35、MATESAREUPWARDLYBIASED,ANDSOPHISTICATEDSHORTSELLERSMAYBEATTEMPTINGTOPROFITFROMMORENAIVEINVESTORSWHOACCEPTTHEMASCREDIBLEALSO,SHORTINTERESTINCREASESWITHTHESTANDARDDEVIATIONOFANALYSTSFORECASTSTHISSUPPORTSTHETHEORETICALRESEARCHOFHONGANDSTEIN2003ANDTHEEMPIRICALANALYSISOFSTOCKRETURNSPERFORMEDBYDIETHERETAL

36、2002IIICONCLUSIONWEAUGMENTRECENTRESEARCHONSHORTSELLINGWEEXAMINETHE200LARGESTNASDAQSTOCKSANDFINDTHATTHESHORTINGACTIVITYINTHESESTOCKSISNEGATIVELYASSOCIATEDWITHINSTITUTIONALOWNERSHIPANDPOSITIVELYRELATEDWITHINSIDEOWNERSHIPWEDISCOVERTHATTHEUNEXPECTEDLEVELOFSHORTSELLING,ASWEMEASUREIT,ISLESSMEANINGFULINDES

37、CRIBINGLATERRETURNSTHANARESIMPLEMEASURESOFCHANGINGSHORTSELLINGACTIVITYWECONFIRMTHATTHEMOSTCOSTLYSTOCKSTOSHORTARETHELEASTLIKELYTOBESHORTEDWEINTERPRETOURANALYSISOFOWNERSHIPSTRUCTUREASEVIDENCETHATSHORTSELLERSEXPLOITSEVERALRELATIONSBETWEENRETURNSANDINSIDEANDINSTITUTIONALOWNERSHIPTHERELATIONBETWEENINSIDE

38、OWNERSHIPANDSHORTINTERESTMAYREFLECTSHORTSELLERSATTEMPTINGTOPROFITFROMTHELOWERSTOCKRETURNSASSOCIATEDWITHMANAGEMENTENTRENCHMENTANOTHERPLAUSIBLEEXPLANATIONISTHATHIGHERLEVELSOFSHORTSELLINGMAYRESULTFROMINSIDERSHEDGINGTHEIRSTOCKHOLDINGSOURFINDINGSARENOTANARTIFACTOFTHENONMONOTONICRELATIONSHIPSBETWEENFIRMVA

39、LUESANDOWNERSHIPCONCENTRATIONDESCRIBEDINEARLIERRESEARCHRATHER,WEFINDAVERAGEINCREASESINSHORTSELLINGASINSIDEOWNERSHIPINCREASES,INDEPENDENTOFTHERELATIVECONCENTRATIONOFOWNERSHIPASWELL,WEFINDDECLINATIONSINSHORTSELLINGASINSTITUTIONALOWNERSHIPRISESTHISRUNSCOUNTERTOSOMERECENTRESEARCH,ASINSTITUTIONSAREARGUAB

40、LYTHELARGESTSOURCEOFSTOCKFORSELLINGSHORTHOWEVER,OURSELECTIONOFASAMPLEOFTHELARGESTFIRMSONTHENASDAQ,FORWHOMINSTITUTIONALOWNERSHIPISLIKELYNOTABINDINGCONSTRAINTONSTOCKAVAILABILITYFORSELLINGSHORT,MAYEXPLAINTHISRESULTASWELL,SHORTSELLERSMAYBELESSACTIVEINSTOCKSWITHHIGHERINSTITUTIONALOWNERSHIP,ASTHOSEINSTITU

41、TIONALINVESTORSHAVEEXHIBITEDSUPERIORSELECTIVEABILITYWITHSTOCKINVESTMENTSTHISMAYNOTBETHECASEINSTUDIESOFSTOCKSOUTSIDETHELARGEST200FIRMSONTHENASDAQ,BUTISTHECASEWITHOURREPORTEDANDUNREPORTEDTESTSFINALLY,WEDEVELOPANEWMEASUREOFEXPECTEDSHORTINTERESTANDFINDTHATUNANTICIPATEDCHANGESINSHORTINTERESTLEVELSPROVIDE

42、LESSPREDICTIVEABILITYFORSUBSEQUENTSTOCKRETURNSTHANDOTHERAWMEASURESOFSHORTSELLINGACTIVITYWHILETHEUNANTICIPATEDMEASURESEEMSATFIRSTTOBEMORESIGNIFICANTINASETOFUNREPORTEDTESTS,ITISDISPLACEDBYTHEABSOLUTEMEASUREOFSHORTSELLINGACTIVITYWHENWEMAKEALLOWANCESFORTRADITIONALMARKET,FIRMSIZEANDMOMENTUMVARIABLESTHESE

43、FINDINGSSUGGESTTHATFIRMCHARACTERISTICSANDSHORTSELLINGCOSTSOBFUSCATETHEINTERPRETATIONOFSHORTINTERESTLEVELSBYDOCUMENTINGHOWTHESEFACTORSAFFECTTHEACTIONSOFSHORTSELLERS,OURSTUDYHELPSUSINTERPRETTHESIGNALOFFEREDBYTHESERELATIVELYSOPHISTICATEDINVESTORS毕业论文外文翻译外文题目OWNERSHIPSTRUCTURE,EXPECTATIONS,ANDSHORTSALES

44、ONTHENASDAQ出处JOURNALOFECONOMICSANDFINANCE作者JEDWARDGRAHAMANDJCHRISTOPHERHUGHEN译文纳斯达克市场上的股权结构、期望值和卖空交易摘要我们来估计预测的纳斯达克股票的卖空利率。在扩展以前的工作的基础上，我们的研究是首次调查的股权结构对卖空活动的影响。我们发现卖空利息和机构的所有权成负相关，与投资者的内部所有权成正相关；流动性较高和价差较小的股票卖空比较困难。我们提出了一种针对意料之外的卖空水平的措施，针对这种卖空利息的报道，无法预测到的卖空水平首先更好地代表了获取信息从事卖空活动的投资者的观点。然而，当我们考虑到传统市场、公司

45、大小和动量参数时，影响卖空的未预期水平的因素会被取代。一、前言THOMAS2006肯定了金融研究人员对卖空的争论。面对制度和统计的问题，在过去几年已经涉及过卖空的研究；我们试图用一套拓展这个研究的方法去调节这些争论。首先，我们将探讨股权结构对卖空利息水平的影响,发现它显著地影响了卖空行为活动。其次，我们拓宽我们的所有权，并发现卖空与机构所有权负相关，而与内部所有权正相关；MORCKETAL1988证明了后者的关系并不是所有权集中和公司价值的一种非单调关系。第三，我们发现卖空在具有较大流动性和相对较小的买卖差价的股票中非常活跃。最后，我们测算了可以预测到的卖空利息，证明未预料到的短期利息水平的测

46、算对远期利润比卖空的原始测算似乎更有说服力。然而，当我们采取选定的公司规模和动量变量作为额外的解释的因素时，更大的动因会被代替。我们要事先理解卖空。我们进行了两个研究方向，首先，有一种解释是对长期表现不佳的股票的高卖空利息产生消极的影响，那些学者认为，高卖空利息对投资者经常反映消极的观点。还有一些人研究了影响卖空活动的因素。他们得出一些结论机构所有权可以约束借入股票卖空而，但更愿意借入具有高市场利率的流动性股票。我们以股权结构和其它因素同时影响卖空的方式来测算卖空利息，我们结合了一种新方法就是首先考虑卖空利息的内部所有权。假设有很多因素影响卖空水平，想要解释投资者参与的活动中的信息是困难的。对

47、这个信息的研究，我们也衡量了是否未预测到的卖空利息水平比卖空的绝对措施对以后的股票利润有更大的预测能力。我们对卖空活动的影响因素提出了见解。首先，我们证明卖空利息与机构所有权之间的负相关。表面上，这个发现似乎否定了最近研究表明的机构投资者在参与卖空股票中处于支配地位。然而，市值小的股票是很难借到的，有较大市值的股票可以从机构投资者那里借到，而且不会有很大的约束，这与ASQUITHETAL2005的发现有产生了共鸣。我们对大型纳斯达克股票的分析是与熟练的卖空者的活动是一致的，这些买空者是在股票市场上不均衡地购买购买的机构投资者，WERMERS2000和PINNUCK2003在选择股票上证明了他们

48、杰出的能力。第二，内部所有权和卖空利息成正相关。卖空者通过持有高代理成本公司的大量的头寸，从该公司过剩所有权贬值中获利。这项新发现意味着卖空者可以利用卖空行为决定的内部所有权资料或在允许卖空的条件下绑定内部所有权水平。MORCKETAL1988认为内部所有权并不是一种在所有权集中水平和公司价值之间的简单关系。在我们的例子中平均的所有权水平就是这种关系，但实际情况并非如此。第三，由于较高的买卖差价和另外一些代理交易成本，卖空活动在股票市场上有所减弱，买空者表现出对许多企业决策者的偏好，对这些消息灵通的投资者觉得与几个经营商同时交易更有利可图。我们证实股票流动性与卖空有很大的关联性；流动性较差的股

49、票有较多的市场决策者和较低的成交量、较大的买卖差价，这些股票很难卖空。交易成本高的股票也极小有可能卖空。第四，我们完成了预期的卖空利息估计的检验以及使用观察到的卖空利息和估计不可预测的卖空水平的差异。最初的回归分析表明，不可预测的卖空利息比未经调整的卖空水平有更大的利润预测能力。然而，经过进一步的研究和对规模、价值、经济增长和势头的控制，我们代理的未预测到的卖空的意义相对于原始的卖空利息水平有很大的减弱。FIGLEWSKI1981的调查结果与其相呼应，大多数表现不佳的卖空利息卖空利率较低。二、结论卖空利息的横截面分析为了更好地了解短期利息的决定因素，我们调查了样本公司的特点和公司卖空利率之间的关系，所选变量的日志提供了正常化的误差项。传统的原始回归分析被用于估算卖空利率。这个功能可以预测在以后研究中的卖空利息水平。该系数的估计和对卖空利率横截面分析得出的P值显示在表三3中。这个方程是用我们的样本中的90个月来估算的，它是一种平均系数报告。这种方法被使用是因为在研究期内买卖差价在缩小和卖空水平在增加。如果没有时间的限制，我们会发现在因变量和自变量之间的误导性关系。表三提出了两个函数。在方程1中，这个观察受限于来自I/B/E/S盈利预测的多个分析师的数据，这项限制降低了平均每月82的样本大小，但它允许在我们的分析中纳入分析师的预测标准差。就如表三显示的两个方程。我们的第一个