股票交易相關(guān)外文翻譯--納斯達(dá)克市場(chǎng)上的股權(quán)結(jié)構(gòu)、期望值和賣(mài)空交易

1、<p><b>　　畢業(yè)論文外文翻譯</b></p><p>　　外文題目：OWNERSHIP STRUCTURE, EXPECTATIONS, AND SHORT SALES ON THE NASDAQ</p><p>　　出 處：JOURNAL OF ECONOMICSAND FINANCE

2、 </p><p>　　作 者：J. Edward Graham and J. Christopher Hughen </p><p><b>　　原 文：</b></p><p><b>　　Abstract&l

3、t;/b></p><p>　　We estimate expected short interest for Nasdaq stocks. Extending prior work, our research is among the first to investigate the impact of ownership structure on short-selling activity. We f

4、ind that short interest is negatively related to institutional ownership and positively related to inside ownership; stocks with greater liquidity and smaller relative spreads are more heavily shorted.We also develop a m

5、easure of the unanticipated level of short selling; relative to the reported amount of shor</p><p>　　I. INTRODUCTION</p><p>　　Thomas (2006) affirms the struggle of financial researchers as they

6、consider short sales.Confronting institutional and statistical issues, a new short sales literature has evolved in the past few years; we seek to temper the struggle with a set of related examinations that extend this re

7、search. First, we examine the impact of ownership structure on the level of short interest and find it significantly related to short-selling activity. Second, we extend our ownership measures and discover that w</p&g

8、t;<p>　　related to inside ownership; this latter relationship is not an artifact of the non-monotonic relationship between ownership concentration and firm value documented by Morck et al. (1988). Third, we find t

9、hat short sellers are more active in stocks with greater liquidity and smaller relative bid-ask spreads. Finally, we measure expected short interest and demonstrate that our measure of the unanticipated level of short in

10、terest seems to provide greater explanatory power for future returns than d</p><p>　　In advancing our understanding of short selling, we connect two lines of research. First, the literature provides evidence

11、 of negative long-run underperformance for stocks experiencing high short interest. These authors suggest that high short-interest levels often reflect the negative opinions of informed investors. Another group examines

12、factors that influence the amount of short-sales activity. They reach several conclusions: the level of institutional ownership can constrain the ability to b</p><p>　　We measure expected short interest in a

13、 manner that frames the influence of ownership structure and other factors simultaneously. We incorporate new measures that are among the first to consider the effect of inside ownership on short interest. Given that man

14、y factors likely influence the level of short selling, it is difficult to interpret the signal provided by the informed investors that frequently engage in this activity. Towards examining this signal, we also measure wh

15、ether the unexpected </p><p>　　We provide several insights into the factors influencing the amount of short-selling activity. First, we document a negative relation between short interest and institutional o

16、wnership. On the surface, this finding seems to contradict recent research showing that institutional investors are the dominant participants in the market for lending shares for short selling. However, stocks that are u

17、navailable for borrowing tend to have small market capitalizations, and for stocks with large market val</p><p>　　Second, we discover a positive relation between inside ownership and short interest. By takin

18、g larger positions in firms with higher agency costs from entrenchment, short sellers may act to profit from a depreciative effect on corporate performance of excessive inside ownership. This new finding implies that sho

19、rt sellers may be using inside ownership data in their short-selling decisions, or that the factors upon which short sales choices are made are themselves tied into inside ownership level</p><p>　　relationsh

20、ips between ownership concentration levels and firm value as portrayed by Morck et al.(1988). The average inside ownership levels of our sample imply such a relationship, but such is not the case.</p><p>　　T

21、hird, short-selling activity is lower in stocks with higher bid-ask spreads and other proxies for transaction costs. Short sellers exhibit a preference for firms with multiple market makers; these informed investors may

22、find it more profitable to conduct their activities across several dealers. We affirm that stock liquidity is significantly associated with short selling; the less liquid</p><p>　　stocks, with fewer market m

23、akers and lower trading volume and larger bid-ask spreads, are typically less heavily shorted. Stocks with higher transaction costs are less likely to be sold short.</p><p>　　Fourth, we complete our examinat

24、ions with an estimation of expected short interest and use the difference between observed short interests and our estimates to represent the level of unanticipated short selling. Regression analyses initially suggest th

25、at this unexpected short interest has greater predictive power for short-run returns than the unadjusted level of short sales. However, upon further study and with the inclusion of controls for size, value versus growth

26、and momentum, the significan</p><p><b>　　ratios.</b></p><p>　　II.RESULTS</p><p>　　Cross-Sectional Analysis of Short Interest</p><p>　　To better understand t

27、he determinants of short interest, we investigate the relationships between sample firm characteristics and those firms' short-interest ratios. Logs of selected variables are provided to normalize the error terms. Tr

28、aditional regression analysis is used to estimate the short-interest ratio. This function generates the expected level of short interest that is used later in the study.</p><p>　　The coefficient estimates an

29、d p-values for the cross-sectional analysis of the short-interest ratio are shown in Table 3. The equations are estimated for each of the 90 months in our sample, and the mean coefficient estimates are reported. This app

30、roach is used because the bid-ask spreads are narrowing and short-interest levels are increasing over virtually the entire study period. Without this control for time, our examination would find misleading relationships

31、between the explanatory factors </p><p>　　from I/B/E/S. This restriction reduces the sample size by 8.2% in the average month, but it allows us to incorporate the standard deviation of analysts' forecast

32、s in our analysis. Equation 2 is estimated for the entire sample. in As shown in both equations in Table 3, tests of our first hypothesis, inside ownership is positively associated with the short-interest ratio. Short s

33、ellers may become more active as managers are entrenched through greater ownership. Another plausible explanation sugge</p><p>　　Our second hypothesis states that short interest is unrelated to institutional

34、 ownership, and it is also rejected by the data in our study. Both equations in Table 3 show that higher institutional ownership results in lower short interest. On the surface, these results seem to contradict D'Avo

35、lio(2002) where he shows that institutional ownership explains a significant portion of the variability in loan supply. However, the apparent inconsistency is likely a result of the characteristics of our s</p>&l

36、t;p>　　in the bottom size decile and 57% are priced under $5. The mean price of the stocks in our sample is $33.48 and the average institutional ownership is 51.63%. Thus, the stocks that are most difficult to borrow f

37、rom institutions are typically not among the largest 200 firms on the Nasdaq.</p><p>　　Recent research on mutual funds finds that managers purchase stocks that have subsequent positive abnormal returns. Werm

38、ers (2000) estimates these abnormal returns are 1.3% per year before accounting for transactions costs. Pinnuck (2003) provides support for this conclusion. As at least some institutional investors have superior ability

39、to pick stocks, short sellers may be less active in stocks with increasing institutional ownership and few constraints on borrowing. As well,</p><p>　　institutional buyers may be less inclined to margin thei

40、r stock, and this could reduce stock supplies for lending to short sellers as institutional ownership increases.</p><p>　　Our third hypothesis states that transaction costs and short interest are unrelated.

41、For both equations, the mean coefficient for the bid-ask spread is negative and significant, and the estimated coefficients for the number of market makers and share volume are positive and significant. These results rej

42、ect H3 and are consistent with the idea that transaction costs are important impediments to short selling. This study is among the first to provide evidence that short sellers have a preference f</p><p>　　Li

43、ke transaction costs, dividends are an impediment to short selling. Table 3 shows that stocks paying dividends have lower short interest. When dividends are issued, stock prices typically fall by less than the dividend a

44、nd this represents a cost to short selling, absent any allowance for the dividend payment itself. Available options are also associated with increased short interest ratios. Consistent with Figlewski and Webb (1993) and

45、Danielson and Sorescu (2001), our analysis indicates that </p><p>　　Extending Dechow et al. (2001), we include the price-to-earnings ratio and the price-to-book ratio in our expressions. The mean coefficient

46、s for these variables are positive in both equations, and this result affirms the earlier research. As the coefficient for the prior return is negative, the data also suggest that short sellers take into account momentum

47、, which is a pattern documented by</p><p>　　Jegadeesh and Titman (1993).</p><p>　　The last variables in this portion of our examinations relate to analyst forecasts. Short interest has a positiv

48、e relation with analysts' forecasts of long-term growth rates. Studies show earnings estimates are upwardly biased, and sophisticated short sellers may be attempting to profit from more naive investors who accept the

49、m as credible. Also, short interest increases with the standard deviation of analysts' forecasts. This supports the theoretical research of Hong and Stein (2003) and the em</p><p>　　III. CONCLUSION </

50、p><p>　　We augment recent research on short selling. We examine the 200 largest Nasdaq stocks and find that the shorting activity in these stocks is negatively associated with institutional ownership and positi

51、vely related with inside ownership; we discover that the unexpected level of short selling, as we measure it, is less meaningful in describing later returns than are simple measures of changing short selling activity. We

52、 confirm that the most costly stocks to short are the least likely to be short</p><p>　　We interpret our analysis of ownership structure as evidence that short sellers exploit several relations between retur

53、ns and inside and institutional ownership. The relation between inside ownership and short interest may reflect short sellers attempting to profit from the lower stock returns associated with management entrenchment. Ano

54、ther plausible explanation is that higher levels of short selling may result from insiders hedging their stock holdings.</p><p>　　Our findings are not an artifact of the non-monotonic relationships between f

55、irm values and ownership concentration described in earlier research; rather, we find average increases in short selling as inside ownership increases, independent of the relative concentration of ownership. As well, we

56、find declinations in short selling as institutional ownership rises. This runs counter to some recent research, as institutions are arguably the largest source of stock for selling short. However, our se</p><p

57、>　　Finally, we develop a new measure of expected short interest and find that unanticipated changes in short-interest levels provide less predictive ability for subsequent stock returns than do the raw measures of sho

58、rt-selling activity. While the unanticipated measure seems at first to be more significant in a set of unreported tests, it is displaced by the absolute measure of short selling activity when we make allowances for tradi

59、tional market, firm-size and momentum variables. These findings su</p><p><b>　　畢業(yè)論文外文翻譯</b></p><p>　　外文題目：OWNERSHIP STRUCTURE, EXPECTATIONS, AND SHORT SALES ON THE NASDAQ</p>

60、<p>　　出 處：JOURNAL OF ECONOMICSAND FINANCE </p><p>　　作 者：J. Edward Graham and J. Christopher Hughen </p>&

61、lt;p><b>　　譯 文：</b></p><p>　　納斯達(dá)克市場(chǎng)上的股權(quán)結(jié)構(gòu)、期望值和賣(mài)空交易</p><p><b>　　摘要：</b></p><p>　　我們來(lái)估計(jì)預(yù)測(cè)的納斯達(dá)克股票的賣(mài)空利率。在擴(kuò)展以前的工作的基礎(chǔ)上，我們的研究是首次調(diào)查的股權(quán)結(jié)構(gòu)對(duì)賣(mài)空活動(dòng)的影響。我們發(fā)現(xiàn)賣(mài)空利息和機(jī)構(gòu)的所有權(quán)成

62、負(fù)相關(guān)，與投資者的內(nèi)部所有權(quán)成正相關(guān)；流動(dòng)性較高和價(jià)差較小的股票賣(mài)空比較困難。我們提出了一種針對(duì)意料之外的賣(mài)空水平的措施，針對(duì)這種賣(mài)空利息的報(bào)道，無(wú)法預(yù)測(cè)到的賣(mài)空水平首先更好地代表了獲取信息從事賣(mài)空活動(dòng)的投資者的觀點(diǎn)。然而，當(dāng)我們考慮到傳統(tǒng)市場(chǎng)、公司大小和動(dòng)量參數(shù)時(shí)，影響賣(mài)空的未預(yù)期水平的因素會(huì)被取代。</p><p><b>　　一、前言:</b></p><p>

63、　　Thomas (2006)肯定了金融研究人員對(duì)賣(mài)空的爭(zhēng)論。面對(duì)制度和統(tǒng)計(jì)的問(wèn)題，在過(guò)去幾年已經(jīng)涉及過(guò)賣(mài)空的研究；我們?cè)噲D用一套拓展這個(gè)研究的方法去調(diào)節(jié)這些爭(zhēng)論。首先，我們將探討股權(quán)結(jié)構(gòu)對(duì)賣(mài)空利息水平的影響,發(fā)現(xiàn)它顯著地影響了賣(mài)空行為活動(dòng)。其次，我們拓寬我們的所有權(quán)，并發(fā)現(xiàn)賣(mài)空與機(jī)構(gòu)所有權(quán)負(fù)相關(guān)，而與內(nèi)部所有權(quán)正相關(guān)；Morck et al. (1988)證明了后者的關(guān)系并不是所有權(quán)集中和公司價(jià)值的一種非單調(diào)關(guān)系。第三，我們發(fā)現(xiàn)賣(mài)空在

64、具有較大流動(dòng)性和相對(duì)較小的買(mǎi)賣(mài)差價(jià)的股票中非?；钴S。最后，我們測(cè)算了可以預(yù)測(cè)到的賣(mài)空利息，證明未預(yù)料到的短期利息水平的測(cè)算對(duì)遠(yuǎn)期利潤(rùn)比賣(mài)空的原始測(cè)算似乎更有說(shuō)服力。然而，當(dāng)我們采取選定的公司規(guī)模和動(dòng)量變量作為額外的解釋的因素時(shí)，更大的動(dòng)因會(huì)被代替。</p><p>　　我們要事先理解賣(mài)空。我們進(jìn)行了兩個(gè)研究方向，首先，有一種解釋是對(duì)長(zhǎng)期表現(xiàn)不佳的股票的高賣(mài)空利息產(chǎn)生消極的影響，那些學(xué)者認(rèn)為，高賣(mài)空利息對(duì)投資者經(jīng)常

65、反映消極的觀點(diǎn)。還有一些人研究了影響賣(mài)空活動(dòng)的因素。他們得出一些結(jié)論：機(jī)構(gòu)所有權(quán)可以約束借入股票賣(mài)空而，但更愿意借入具有高市場(chǎng)利率的流動(dòng)性股票。</p><p>　　我們以股權(quán)結(jié)構(gòu)和其它因素同時(shí)影響賣(mài)空的方式來(lái)測(cè)算賣(mài)空利息，我們結(jié)合了一種新方法就是首先考慮賣(mài)空利息的內(nèi)部所有權(quán)。假設(shè)有很多因素影響賣(mài)空水平，想要解釋投資者參與的活動(dòng)中的信息是困難的。對(duì)這個(gè)信息的研究，我們也衡量了是否未預(yù)測(cè)到的賣(mài)空利息水平比賣(mài)空的絕對(duì)

66、措施對(duì)以后的股票利潤(rùn)有更大的預(yù)測(cè)能力。</p><p>　　我們對(duì)賣(mài)空活動(dòng)的影響因素提出了見(jiàn)解。首先，我們證明賣(mài)空利息與機(jī)構(gòu)所有權(quán)之間的負(fù)相關(guān)。表面上，這個(gè)發(fā)現(xiàn)似乎否定了最近研究表明的機(jī)構(gòu)投資者在參與賣(mài)空股票中處于支配地位。然而，市值小的股票是很難借到的，有較大市值的股票可以從機(jī)構(gòu)投資者那里借到，而且不會(huì)有很大的約束，這與Asquith et al. (2005)的發(fā)現(xiàn)有產(chǎn)生了共鳴。我們對(duì)大型納斯達(dá)克股票的分析是

67、與熟練的賣(mài)空者的活動(dòng)是一致的，這些買(mǎi)空者是在股票市場(chǎng)上不均衡地購(gòu)買(mǎi)購(gòu)買(mǎi)的機(jī)構(gòu)投資者，Wermers (2000) 和 Pinnuck (2003)在選擇股票上證明了他們杰出的能力。</p><p>　　第二，內(nèi)部所有權(quán)和賣(mài)空利息成正相關(guān)。賣(mài)空者通過(guò)持有高代理成本公司的大量的頭寸，從該公司過(guò)剩所有權(quán)貶值中獲利。這項(xiàng)新發(fā)現(xiàn)意味著賣(mài)空者可以利用賣(mài)空行為決定的內(nèi)部所有權(quán)資料或在允許賣(mài)空的條件下綁定內(nèi)部所有權(quán)水平。Morc

68、k et al.(1988)認(rèn)為內(nèi)部所有權(quán)并不是一種在所有權(quán)集中水平和公司價(jià)值之間的簡(jiǎn)單關(guān)系。在我們的例子中平均的所有權(quán)水平就是這種關(guān)系，但實(shí)際情況并非如此。</p><p>　　第三，由于較高的買(mǎi)賣(mài)差價(jià)和另外一些代理交易成本，賣(mài)空活動(dòng)在股票市場(chǎng)上有所減弱，買(mǎi)空者表現(xiàn)出對(duì)許多企業(yè)決策者的偏好，對(duì)這些消息靈通的投資者覺(jué)得與幾個(gè)經(jīng)營(yíng)商同時(shí)交易更有利可圖。我們證實(shí)股票流動(dòng)性與賣(mài)空有很大的關(guān)聯(lián)性；流動(dòng)性較差的股票有較多的

69、市場(chǎng)決策者和較低的成交量、較大的買(mǎi)賣(mài)差價(jià)，這些股票很難賣(mài)空。交易成本高的股票也極小有可能賣(mài)空。</p><p>　　第四，我們完成了預(yù)期的賣(mài)空利息估計(jì)的檢驗(yàn)以及使用觀察到的賣(mài)空利息和估計(jì)不可預(yù)測(cè)的賣(mài)空水平的差異。最初的回歸分析表明，不可預(yù)測(cè)的賣(mài)空利息比未經(jīng)調(diào)整的賣(mài)空水平有更大的利潤(rùn)預(yù)測(cè)能力。然而，經(jīng)過(guò)進(jìn)一步的研究和對(duì)規(guī)模、價(jià)值、經(jīng)濟(jì)增長(zhǎng)和勢(shì)頭的控制，我們代理的未預(yù)測(cè)到的賣(mài)空的意義相對(duì)于原始的賣(mài)空利息水平有很大的減

70、弱。Figlewski (1981)的調(diào)查結(jié)果與其相呼應(yīng)，大多數(shù)表現(xiàn)不佳的賣(mài)空利息賣(mài)空利率較低。</p><p><b>　　二、結(jié)論</b></p><p>　　賣(mài)空利息的橫截面分析</p><p>　　為了更好地了解短期利息的決定因素，我們調(diào)查了樣本公司的特點(diǎn)和公司賣(mài)空利率之間的關(guān)系，所選變量的日志提供了正?；恼`差項(xiàng)。傳統(tǒng)的原始回歸分析被

71、用于估算賣(mài)空利率。這個(gè)功能可以預(yù)測(cè)在以后研究中的賣(mài)空利息水平。</p><p>　　該系數(shù)的估計(jì)和對(duì)賣(mài)空利率橫截面分析得出的P-值顯示在表三3中。這個(gè)方程是用我們的樣本中的90個(gè)月來(lái)估算的，它是一種平均系數(shù)報(bào)告。這種方法被使用是因?yàn)樵谘芯科趦?nèi)買(mǎi)賣(mài)差價(jià)在縮小和賣(mài)空水平在增加。如果沒(méi)有時(shí)間的限制，我們會(huì)發(fā)現(xiàn)在因變量和自變量之間的誤導(dǎo)性關(guān)系。表三提出了兩個(gè)函數(shù)。在方程1中，這個(gè)觀察受限于來(lái)自I/B/E/S盈利預(yù)測(cè)的多個(gè)

72、分析師的數(shù)據(jù)，這項(xiàng)限制降低了平均每月8.2%的樣本大小，但它允許在我們的分析中納入分析師的預(yù)測(cè)標(biāo)準(zhǔn)差。</p><p>　　就如表三顯示的兩個(gè)方程。我們的第一個(gè)假設(shè)是內(nèi)部所有權(quán)和賣(mài)空利息成正相關(guān)。賣(mài)空者可能會(huì)更加活躍因?yàn)榻?jīng)營(yíng)者會(huì)更加鞏固他們的所有權(quán)。另一種可能的解釋是內(nèi)部所有權(quán)的持有人可能會(huì)對(duì)沖其持有的股票。由于集團(tuán)內(nèi)部有時(shí)會(huì)抵消頭寸或進(jìn)行掉期交易和利用衍生工具，來(lái)減少他們賣(mài)空的交易風(fēng)險(xiǎn)。內(nèi)部所有權(quán)和賣(mài)空利息的正

73、相關(guān)關(guān)系就會(huì)出現(xiàn)。我們的研究并不表明，當(dāng)股票持有者在保證金賬戶(hù)上表現(xiàn)出借股賣(mài)空壓力大時(shí)，控股企業(yè)的政策可以阻止所有者持有股份。我們的研究拒是謹(jǐn)慎的，它代表了賣(mài)空影響內(nèi)部所有權(quán)的第一次研究。</p><p>　　我們的第二個(gè)假說(shuō)認(rèn)為賣(mài)空利息與機(jī)構(gòu)的所有權(quán)無(wú)關(guān)，它在我們的研究數(shù)據(jù)中是被排除的。表3中的兩個(gè)方程表明了較高的機(jī)構(gòu)所有權(quán)導(dǎo)致了較低的賣(mài)空利息。表面上，這些結(jié)果似乎反駁了D'Avolio(2002)的觀

74、點(diǎn)，他認(rèn)為在貸款供應(yīng)的可變性方面機(jī)構(gòu)所有權(quán)解釋了大部分。然而，這種明顯的不一致可能是我們樣本的特點(diǎn)導(dǎo)致的，其中包括最大的納斯達(dá)克股票。D'Avolio發(fā)現(xiàn)1267只股票是無(wú)法從大的貸款中介機(jī)構(gòu)借取的。這些股票中的86%在底部，57%的價(jià)格在5美元以下。這意味著在我們的樣本中股票的平均價(jià)格在33.48美元。平均的機(jī)構(gòu)所有權(quán)達(dá)到51.63%。因此，從機(jī)構(gòu)中最難借到的股票通常不屬于納斯達(dá)克市場(chǎng)上最大的200家公司。</p>

75、<p>　　對(duì)互助基金的最近研究表明基金經(jīng)理通常購(gòu)買(mǎi)有正回報(bào)的股票。Wermers (2000)估計(jì)，在計(jì)算交易成本前，這些異常報(bào)酬每年占到1.3%。Pinnuck (2003)支持這一結(jié)論，因?yàn)橹辽儆幸恍C(jī)構(gòu)投資者具有較高的能力去挑選股票。賣(mài)空者可能會(huì)隨著機(jī)構(gòu)所有權(quán)的增加和貸款限制減少，在股票市場(chǎng)上表現(xiàn)得不活躍。同時(shí)，機(jī)構(gòu)投資者可能不太愿意去擔(dān)保他們的股票，這會(huì)導(dǎo)致在機(jī)構(gòu)所有權(quán)增加時(shí)，減少貸給賣(mài)空者的股票供給。</

76、p><p>　　我們的第三個(gè)假設(shè)是交易成本和短期利息無(wú)關(guān)，對(duì)于這兩個(gè)方程，平均方程的買(mǎi)賣(mài)差價(jià)是負(fù)的，而且意義重大；對(duì)做市商數(shù)量和股票數(shù)量估計(jì)的系數(shù)是正的，意義也很大。這些結(jié)果否定了H3，并且與對(duì)賣(mài)空者來(lái)說(shuō)，與交易成本是最大的障礙這一理念一致。這個(gè)研究表明，賣(mài)空者偏愛(ài)于有更多做市商的股票 。</p><p>　　像交易成本一樣，分紅派息是個(gè)障礙。表3顯示了進(jìn)行分紅的股票賣(mài)空利息較低。當(dāng)分紅時(shí)，股

77、票的價(jià)格通常會(huì)下降，但也不會(huì)少于股息，這代表了賣(mài)空的成本，分紅本身沒(méi)有任何津貼。期權(quán)與賣(mài)空利息的增加也有聯(lián)系。我的分析和Figlewski 、Webb (1993) 、Danielson 、Sorescu (2001)一致，都表明有選擇權(quán)的股票有較高的賣(mài)空利息。擴(kuò)展Dechow et al. (2001)的研究，在我們的表達(dá)式中包括了價(jià)格與收益的比率和價(jià)格與賬面價(jià)值的比率。在這兩個(gè)方程中，這些變量的平均系數(shù)是正的，此結(jié)果肯定了前期結(jié)果。

78、如果利潤(rùn)的系數(shù)是負(fù)的，這個(gè)數(shù)據(jù)也表明了買(mǎi)空者考慮了Jegadeesh 和Titman (1993).提出的模式。</p><p>　　在我們考察的頭寸中最后的變量與分析師的預(yù)測(cè)有關(guān)。賣(mài)空利息與分析師預(yù)測(cè)的長(zhǎng)期增長(zhǎng)率呈正相關(guān)。研究表明，盈利的估計(jì)是有偏見(jiàn)的，經(jīng)驗(yàn)豐富的賣(mài)空者試圖從認(rèn)同他們的投資者中獲利。同時(shí)，賣(mài)空利息會(huì)隨著分析師的標(biāo)準(zhǔn)誤差增加。這支持了Hong and Stein (2003)的理論研究和Dieth

79、er et al. (2002)對(duì)股票收益的實(shí)證分析。</p><p><b>　　三、總結(jié)</b></p><p>　　我們?cè)黾恿藢?duì)賣(mài)空的最近研究。我們研究了200家最大的納斯達(dá)克股票，認(rèn)為在這些股票的賣(mài)空活動(dòng)中與機(jī)構(gòu)所有者是負(fù)相關(guān)，與內(nèi)部所有者是正相關(guān)。我們發(fā)現(xiàn)，意料之外的賣(mài)空水平由于我們估量了它，在描述后來(lái)的利潤(rùn)時(shí)就比改變賣(mài)空活動(dòng)的簡(jiǎn)單措施意義要小。我們證實(shí)了最

80、昂貴的股票最難被賣(mài)空。</p><p>　　我們以賣(mài)空者利用了利潤(rùn)與內(nèi)部和機(jī)構(gòu)所有權(quán)之間的關(guān)系，解釋對(duì)所有權(quán)結(jié)構(gòu)的分析。內(nèi)部所有權(quán)與短期利息之間的關(guān)系反映了賣(mài)空者試圖從與管理優(yōu)勢(shì)有關(guān)的、較低的股票回報(bào)中獲利。另一種可能的解釋是，較高的賣(mài)空水平是有內(nèi)部持有人對(duì)沖股票引起的。</p><p>　　我們發(fā)現(xiàn)公司價(jià)值和在早期研究中發(fā)現(xiàn)的所有權(quán)集中化并不是一個(gè)單調(diào)關(guān)系。相反，我們發(fā)現(xiàn)當(dāng)所有權(quán)增加時(shí)賣(mài)

81、空的平均增幅與所有權(quán)的相對(duì)集中度無(wú)關(guān)。同時(shí)，我們發(fā)現(xiàn)了當(dāng)機(jī)構(gòu)所有權(quán)上升時(shí)在賣(mài)空中存在偏差。這違背了最近的一些研究，因?yàn)闄C(jī)構(gòu)可以說(shuō)是最大的股票賣(mài)空來(lái)源。我們選擇了在納斯達(dá)克最大的公司為樣本，對(duì)他們來(lái)說(shuō)，機(jī)構(gòu)所有權(quán)有可能對(duì)股票的賣(mài)空沒(méi)有約束性，也許這可以解釋上面的結(jié)果。賣(mài)空者對(duì)具有較高的機(jī)構(gòu)所有權(quán)的股票表現(xiàn)得不活躍，因?yàn)檫@些機(jī)構(gòu)投資者有卓越的股票選舉能力。這有可能不是在研究中的200家最大的納斯達(dá)克市場(chǎng)上的公司的情況，但這與我們報(bào)告和未報(bào)告