安泽量化投资联盟

中国资产管理研究中心论文推送-667-卖空额与博彩型股票

中国资产管理研究中心 2019-11-30 12:50:47

卖空额与博彩型股票

FINANCIAL MANAGEMENT • March 2018


作者:Kelley Bergsma (Ohio University, Athens, OH), Jitendra Tayal (Ohio University, Athens,OH)

摘要:我们发现与卖空额相关的错误定价在博彩型股票中最严重。随着股票的博彩程度增加,套利风险增加,从而高(低)相对卖空额(RSI)股票的高估(低估)程度加重。高RSI博彩型股票组合的月度alpha是-1.61%,而博彩程度最低的高RSI股票组合的alpha则在统计上不显著。在卖空额较低的股票中,博彩型股票的月度alpha为1.80%。因此,即使博彩型股票作为一个整体表现较为不好,但投资者可以在具有较低卖空的博彩型股票中获得正的超额收益率。我们的结果表明,对于博彩型股票,更大的噪声交易者风险和更高的交易成本阻碍了对卖空额相关的错误定价的套利。

关键词:卖空额,博彩型偏好,异质性波动率,价格,偏度,套利风险,交易成本

Short Interest and Lottery Stocks

Kelley Bergsma (Ohio University, Athens, OH), Jitendra Tayal (Ohio University, Athens,OH)

ABSTRACT

We find short interest‐related mispricing is strongest in lottery stocks. As stocks become more lottery‐like, arbitrage risk increases, resulting in higher overpricing (underpricing) in high (low) relative short interest (RSI) stocks.Monthly portfolio alphas are –1.61% for high RSI lottery stocks, while high RSI stocks with the least lottery‐like attributes show statistically insignificant alphas. Among lightly shorted stocks, lottery securities exhibit monthly alphas of 1.80%. Thus, although lottery stocks as a group typically underperform, investors can earn positive abnormal returns in lightly shorted lottery stocks.Our results suggest that lottery stocks’ greater noise trader risk and higher transactions costs impedes arbitrage in short interest‐related mispricing.

Keywords:Short Interest; Lottery preference; Idiosyncratic volatility; Price; Skewness;Arbitrage risk; Transaction cost


翻译:施懿


中央财经大学中国资产管理研究中心
        中央财经大学中国资产管理研究中心依托于中央财经大学金融学院成立,中心致力于针对中国资产管理市场实践的独立学术研究,为中国资产市场发展提供基于学术研究的政策建议,为中国资产管理机构提供咨询服务。“以学术服务市场,以市场检验学术”,努力打造成在中国资产管理市场中具有一定影响力的智库。






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