金融專業(yè)外文翻譯---在交易型開放式基金中的賣空

1、<p><b>　　畢業(yè)論文外文翻譯</b></p><p>　　外文題目：SHORT INTEREST IN EXCHANGE-TRADED FUNDS</p><p>　　出 處 SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH

2、 </p><p>　　作 者：Jeff Madura · Thanh Ngo </p><p><b>　　原 文：</b></p><p>　　SHORT INTEREST IN EXCHANGE-TRADED FUNDS</p&

3、gt;<p><b>　　Abstract</b></p><p>　　Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific ma

4、rket or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. We determine that sector-based ETFs have an abnormally large short interest level, whereas international ETFs hav

5、e an unusually small short interest level. The level of short interest is larger for ETFs that have a higher trading volume an</p><p>　　Keywords :Exchange-traded funds · Short sales · Short selling

6、</p><p>　　I. INTRODUCTION</p><p>　　An ETF is a specialized investment trust that is created to mirror a specificed portfolio of securities. Most ETFs represent portfolios of stocks and can be cl

7、assified as broad-based, sector-based, or international, depending on the type of index they mimic.</p><p>　　They differ from open-end index mutual funds in that they are traded continuously on an exchange a

8、nd can be purchased or sold any time the market is open. These ETFs are created when an authorized participant (such as a specialist) obtains the portfolio of stocks and stores the stocks at a custodial bank. In return,

9、the custodial bank provides shares of ETFs to the authorized participant. This process is referred to as in-kind trading. Once the ETF shares are provided to the authorized participa</p><p>　　ETFs can be sho

10、rted, just like stocks and, therefore, provide a means by which market participants can speculate or hedge based on pessimistic expectations about a specific market or sector.However, EFTs must be borrowed from brokerage

11、 firms before they can be sold short. Institutional investors have easier access to borrowing ETFs, and also tend to be more common players in the short-selling process. Collateral must be posted with the brokerage firm,

12、 which can be in cash or Treasury bills. The </p><p>　　Closed-end funds can also be shorted, but they are subject to pricing discrepancies because their prices may contain pronounced discounts or premiums re

13、lative to their net asset value (see Pontiff 1995, 1997). The discounts or premiums can change over time and possibly offset any benefits from a change in the net asset value that occurs during the period during which th

14、e shares are shorted. In addition, the trading volume of many closed-end funds is limited, which could make it costly to offset </p><p>　　Shorting ETFs has recently become very popular, but there is a lack o

15、f research regarding why short positions vary substantially among ETFs or whether the short position can serve as a useful signal for investors. Our objective is to identify the characteristics of ETFs that attract short

16、 sellers, and to determine whether the level of short interest in ETFs serves as an effective signal of bearish sentiment. Results of our study offer implications regarding the behavior of short sellers, how sho</p>

17、;<p>　　indicator for investors.</p><p>　　We find first that short interest is largest for sector-based ETFs, and smallest for international ETFs. Second, short interest is larger for ETFs that have a

18、higher trading volume and a lower market capitalization. These results hold for the entire sample and for subsamples. Short interest is relatively low for ETFs representing indexes that have tradable derivatives, but rel

19、atively high for international ETFs representing indexes that have tradable derivatives. We also find that the level of s</p><p>　　II. Related literature on short interest</p><p>　　Studies have

20、attempted to explain why some stocks attract more short sales than others. Brent et al. (1990) show that individual stocks with high betas and tradable options tend to have higher levels of short interest, which they arg

21、ue, is consistent with arbitrage efforts. Dechow et al. (2001) find that short-sellers usually take their positions in overpriced stocks that have low fundamentals-to-price ratios, including cashflow-to-price, earnings-t

22、o-price, book-to-market, and value-to-market, s</p><p>　　Some studies on short selling have assessed the characteristics of stock that appeal to short sellers. Angel et al. (2003) find that short sellers usu

23、ally target the most volatile and actively traded stocks. Their subsequent study in 2004 on short selling prior to firms’ earnings announcements further shows that short sellers are mostly interested in growth stocks and

24、 stocks with better past performance. Stocks with poor earnings quality are also attractive to short sellers. Since firms with a h</p><p>　　Many of the studies on short selling test whether there is a relati

25、onship between the short interest level and subsequent stock price performance. Aitken et al. (1998) find that high levels of short interest precede weak performance for stocks in Australia. Desai et al. (2002) find that

26、 high levels of short interest precede negative abnormal returns for stocks traded on the NASDAQ market. Ackert and Athanassakos (2005) find that heavily shorted Canadian stocks perform poorly, which suggests that</p&

27、gt;<p>　　be in the US market， because of fewer short-selling restrictions in the Canadian market. Chang et al. (2007) assess short-selling conditions in Hong Kong and find that short-selling constraints cause a gr

28、eater degree of overreaction of individual stocks.</p><p>　　III.Test of relation between short interest and subsequen performance of the ETFs</p><p>　　To examine the relationship between short i

29、nterest and subsequent performance of the ETFs, we test whether the trading strategies based on the previous short interest level result in abnormal gains. The trading strategy involves two steps: (1) forming decile port

30、folios based on the previous short interest level, and (2) assessing how the decile portfolios perform in subsequent holding periods.</p><p>　　The beginning of each month of the sample period is labeled the

31、portfolio formation month T*. At the beginning of each portfolio formation month T*, we obtain the short interest ratio of the ETFs. We form 10 deciles of ETFs based on the short interest level of the ETFs.</p>&l

32、t;p>　　The decile portfolios are then assessed to determine their performance over a holding period. Since there is no single holding period that perfectly fits all investors, we obtain the abnormal holding period retu

33、rns on the ETFs in each decile for four different holding periods, starting in Quarter 1 (the quarter immediately following the portfolio formation process) and accumulating on a quarterly basis for three additional quar

34、ters. Thus, our methodology assesses portfolios in overlapping holdin</p><p>　　The abnormal holding period return is the difference between the ETF decile portfolio holding period return and a corresponding

35、benchmark holding period return. The holding period returns (HPRs) for the ETFs are calculated on a quarterly compounded basis. Dividends are accounted for in the calculation of quarterly returns. Market benchmark holdin

36、g period returns, MHPR1 to MHPR4, are calculated in the same manner. MHPRs for broad-based and sector-based ETFs are calculated using the CRSP-equally-w</p><p>　　The abnormal holding period return (AHPRi) fo

37、r each ETF is measured as the difference between HPRi and the corresponding MHPRi (where i = 1 to 4 quarters after T*). The average abnormal holding period return (AAHPRi) is calculated for each decile portfolio by the f

38、ollowing formula:</p><p>　　where i indicates the number of quarters after T* (i = 1 to 4) and k indicates the number of ETFs in each decile portfolio (k = 1 to N). The profit from the trading strategy equals

39、 the difference between the average abnormal holding period returns of the portfolio of ETFs representing the highest decile and those of the portfolio of ETFs representing the lowest decile.</p><p>　　IV.Res

40、ults of relationship between short interest and performance among ETFs</p><p>　　Results from creating ETF portfolios according to the size of the short position each month are shown in Table 6; Panel A cover

41、s the entire sample, Panels B, C, and D cover the subsamples. For the entire sample, the difference in average abnormal holding period returns of deciles representing ETFs with the largest versus smallest short positions

42、 is negative and significant when AAHPRi in three and four quarters after the portfolio formation month are considered. That is, the deciles with the lar</p><p>　　holding periods. For the sample of broad-bas

43、ed ETFs, the difference in average abnormal holding period returns between the deciles of the smallest and largest ETFs is insignificant, regardless of the length of the holding period, which is also true for the sector-

44、based and international ETF portfolios. Thus, the significant differences in performance of deciles found for the entire sample vanish when isolating a particular type of ETF. This implies that the signal from a short po

45、sition is more e</p><p>　　V.Conclusion</p><p>　　Short selling ETFs has increased in popularity in recent years and is now even more popular than short selling stocks when measured in proportion

46、to total shares outstanding. We attempt to determine (1) the characteristics that make some ETFs more attractive than others to short sellers, and (2) whether the short-sales level serves as a useful signal about future

47、performance of ETFs. Our analysis is focused on the entire sample of ETFs, but we also separately assess subsamples of ETFs classified</p><p>　　First, short interest is unusually large for sector ETFs, and u

48、nusually small for international ETFs. Second, short interest is larger for ETFs that have a higher trading volume. Third, short interest is large for ETFs with a lower market capitalization and a lower expense ratio (th

49、ough this specific relationship with expense ratio only holds for the entire sample). The results for trading volume and market capitalization hold for the entire sample and for all three subsamples. Fourth, short int<

50、;/p><p>　　we find that the level of short sales is a useful signal about the future performance of ETFs when assessing the entire sample; however, it is not a useful signal about the future performance when the

51、 analysis is partitioned by type of ETF.</p><p><b>　　畢業(yè)論文外文翻譯</b></p><p>　　外文題目：SHORT INTEREST IN EXCHANGE-TRADED FUNDS</p><p>　　出 處 SWISS SOCIETY FOR FINANCIAL MARKE

52、T RESEARCH </p><p>　　作 者：Jeff Madura · Thanh Ngo </p><p><b>　　譯 文：</b></p><p>　　在交易型開放式

53、基金中的賣空</p><p><b>　　摘要：</b></p><p>　　賣空交易型開放式基金（ETFs）已經(jīng)成為投機(jī)或針對(duì)某個(gè)特定市場(chǎng)或行業(yè)的悲觀預(yù)期進(jìn)行對(duì)沖的常用手段，因?yàn)镋TFs的賣空利息超過(guò)了個(gè)別股票平均水平的10倍。我們確定，以部門為基礎(chǔ)的ETFs有一個(gè)異常大的賣空利率水平，而國(guó)際ETF通常是一個(gè)非常小的利息水平。對(duì)具有更高交易量和市值較低的ETFs來(lái)說(shuō)

54、，賣空的利息水平是高的，也不需要顧及ETFs類型的評(píng)估。代表衍生品交易指數(shù)的ETFs的賣空利息水平是低的，但是，代表衍生品交易指數(shù)的國(guó)際ETFs的賣空利息水平是高的。我們判定，當(dāng)考慮了所有的ETFs時(shí)，它作為了一種悲觀情緒的信號(hào)；當(dāng)隔離了任何特定類型的ETFs時(shí)，賣空利息不再是一個(gè)有效的信號(hào)了。</p><p>　　關(guān)鍵詞：交易型開放式基金、買空、賣空</p><p><b>　

55、　一、引言：</b></p><p>　　ETF是由專門的投資信托公司建立的證券投資組合。大部分ETFs代表了股票投資組合，依據(jù)他們模擬的索引類型不同，可分為廣義的、以部門為基礎(chǔ)的和國(guó)際的。他們不同于開放式基金，因?yàn)樗鼈儾粩嘣诮灰姿I賣，并且可隨時(shí)購(gòu)買或出售。當(dāng)被授權(quán)的參與者（如一位專家）獲得了股票組合并在保管銀行儲(chǔ)存，ETF就被創(chuàng)建了。作為回報(bào)，保管銀行會(huì)提供一些ETFs股份給被授權(quán)的參與者。這個(gè)過(guò)

56、程被稱為實(shí)物交易。一旦ETF的股票提供給被授權(quán)的參與者，他們可以在證券交易所像股票一樣買賣。最近，一些ETFs被設(shè)計(jì)的目的是為了反映固定收益資產(chǎn)。套利阻止了ETFs價(jià)格偏離資產(chǎn)凈值的價(jià)值，因此，可以限制誤差。ETF的投資組合與管理的相關(guān)費(fèi)用都非常低。</p><p>　　ETF可以賣空，就像股票一樣，因此，它提供了一種手段，使市場(chǎng)參與者可以基于對(duì)一個(gè)特定的市場(chǎng)或行業(yè)的悲觀預(yù)期推測(cè)或?qū)_。然而，他們必須從經(jīng)紀(jì)公司借

57、入ETFs才可以做空。機(jī)構(gòu)投資者更容易借到ETFs,并在賣空過(guò)程中扮演了一個(gè)最普遍的角色。抵押品必須在經(jīng)紀(jì)公司公布，它可以是現(xiàn)金或國(guó)庫(kù)券。所要求的抵押物的最低金額為交易的50％，但一些經(jīng)紀(jì)公司要求更高的比例。不像股票，ETFs可以在價(jià)格上升中賣空。雖然賣空者通常不會(huì)被收取賣空ETFs的確定費(fèi)用，但當(dāng)拿出現(xiàn)金作為擔(dān)保時(shí)，也承擔(dān)了機(jī)會(huì)成本。</p><p>　　封閉式基金也可做空，但他們受到價(jià)格差異的影響，因?yàn)樗鼈兿?/p>

58、對(duì)其凈資產(chǎn)值的價(jià)格可能含有明顯的折價(jià)或溢價(jià)（見Pontiff 1995年、1997年）。這個(gè)折扣和溢價(jià)隨時(shí)間而變化，并可能抵消來(lái)自于股票賣空期間發(fā)生的凈資產(chǎn)價(jià)值變化的任何利益。此外，許多封閉式基金的交易量是有限的，這可能使抵消賣空頭寸的費(fèi)用是昂貴的。因此，ETFs可以有效地用于對(duì)抗特定市場(chǎng)和行業(yè)。ETF份額的出售代表了大約占已發(fā)行股份的19%高于被報(bào)道的個(gè)別股票水平。</p><p>　　做空的ETFs最近變得非

59、常流行，但是關(guān)于為什么賣空頭寸會(huì)變化和是否賣空頭寸作為投資者的有用信號(hào)缺乏研究。我們的目的是確定吸引空頭的ETFs的特征，并確定是否在ETFs中的賣空利息作為悲觀情緒的有效信號(hào)。我們研究的結(jié)果提供了關(guān)于做空行為、做空者如何確定他們的目標(biāo)以及ETFs的賣空利息水平是否作為投資者的指示等的有關(guān)影響。</p><p>　　我們發(fā)現(xiàn)：第一，對(duì)以部門為基礎(chǔ)的ETFs，賣空利息是最大的；對(duì)國(guó)際的ETFs賣空利息是最小的。第二

60、，對(duì)有高交易量和市值較低的ETFs的賣空利息是較高的。這些結(jié)論是基于所有的樣本的。代表衍生品交易指數(shù)的ETFs的賣空利息是相對(duì)低的，但是代表衍生品交易指數(shù)的國(guó)際ETFs的賣空利息相對(duì)較高.我們還發(fā)現(xiàn)，當(dāng)評(píng)估所有樣本時(shí)，買空水平是一個(gè)關(guān)于ETFs將來(lái)表現(xiàn)的有用的信號(hào)。然而，當(dāng)分析結(jié)果根據(jù)ETF的類型劃分時(shí)，情況并不是如此。</p><p>　　二、做空利息的相關(guān)文獻(xiàn)</p><p>　　這些

61、研究試圖解釋為什么一些股票比另一些股票更吸引做空者。Brent et al. (1990)顯示，高貝塔值和流通的個(gè)股偏向于高的賣空利息水平，他們認(rèn)為，這與套利是一致的。Dechow et al. (2001)發(fā)現(xiàn)，賣空者通常持有股票價(jià)格過(guò)高的頭寸，這些股票的基本價(jià)格比率低，包括現(xiàn)金流與價(jià)格的比率、收益價(jià)格比、賬面市值、市場(chǎng)價(jià)值。因?yàn)檫@些低比率可以預(yù)測(cè)未來(lái)股票價(jià)格的下降。</p><p>　　一些關(guān)于做空的研究評(píng)估

62、了吸引空頭的股票的特征。Angel et al. (2003)發(fā)現(xiàn)賣空者以最不穩(wěn)定和交易活躍的股票為目標(biāo)。他隨后在2004年關(guān)于公司將來(lái)的盈利公告的研究中顯示了賣空者最感興趣的是成長(zhǎng)型股票和過(guò)去表現(xiàn)良好的股票。收益較差的股票也吸引了做空者。由于使用高層次管理水平的公司往往持續(xù)收入較低，預(yù)提費(fèi)用可以用于識(shí)別收益差的被錯(cuò)誤定價(jià)的股票。Desai et al. (2004)發(fā)現(xiàn)賣空利息應(yīng)計(jì)項(xiàng)目的三種措施和它的變更之間存在強(qiáng)有力的和積極的關(guān)系。

63、</p><p>　　賣空的許多研究探討了賣空利息水平和股票價(jià)格表現(xiàn)之間是否存在關(guān)系。Aitken et al. (1998)發(fā)現(xiàn)，在澳大利亞，高賣空利息水平的股票優(yōu)于表現(xiàn)不佳的股票。Desai et al. (2002)發(fā)現(xiàn)在納斯達(dá)克市場(chǎng)上高賣空利息水平的股票優(yōu)于有負(fù)的異?；貓?bào)的股票。Ackert 和 Athanassakos (2005)發(fā)現(xiàn)被嚴(yán)重拋空的表現(xiàn)不佳加拿大股票表明，賣空利息水平可以提供一個(gè)有效的信

64、號(hào)。他們認(rèn)為，與在美國(guó)市場(chǎng)上的同樣的股票相比，在加拿大的賣空利息水平是一個(gè)更有效的指標(biāo)，因?yàn)榧幽么笫袌?chǎng)的限制較少。. Chang et al. (2007)評(píng)估了在香港的賣空條件，發(fā)現(xiàn)賣空限制引起了了個(gè)別股票的過(guò)度反應(yīng)。</p><p>　　三、賣空利息與ETFs實(shí)施之間關(guān)系的研究</p><p>　　為了探討賣空利息與ETFs實(shí)施之間的關(guān)系，我們研究了基于以前賣空水平的交易策略是否會(huì)帶來(lái)

65、異常回報(bào)。這個(gè)交易策略包括兩個(gè)方面：（1）基于先前的賣空利息水平形成的投資組合；（2）評(píng)估在隨后的持有期內(nèi)這個(gè)投資組合的表現(xiàn)如何。</p><p>　　持有樣本期間的每個(gè)月初，投資組合的形成會(huì)標(biāo)志T*。每個(gè)投資組合形成初期，我們會(huì)獲得ETFs賣空利率。我們組成10份基于賣空利息水平的ETF。 </p><p>　　這些等份組合通過(guò)評(píng)估去決定它們的持有期的表現(xiàn)。由于沒(méi)有一個(gè)適合所有投資者的

66、單一信號(hào)，我們得到了各等份四個(gè)不同持有期的ETFs異常報(bào)酬。從第一季度開始（緊接本季度的投資組合形成過(guò)程），在上一季度的基礎(chǔ)上增加三個(gè)季度的累積。因此，我們的方法評(píng)估了持有期內(nèi)重疊的投資組合。這與Jegadeesh 和Titman (1993),Chan et al. (1996)所使用的方法一致。Baytas、 Cakici (1999)和Lee 、 Swaminathan 、 Jegadeesh、 Titman (1993)認(rèn)為，重

67、疊期間的使用提高了統(tǒng)計(jì)的檢驗(yàn)功效。然而，我們也采用了一種方法，作為評(píng)估在不重疊時(shí)期穩(wěn)健性檢驗(yàn)的投資策略。具體來(lái)說(shuō)，在每年的一月和六月初，所有的ETFs根據(jù)它們先前的賣空水平被分為10等份組合。這些投資組合使用于未來(lái)的6個(gè)月，最高和最低的的等份的異常回報(bào)之間的區(qū)別由每個(gè)不重疊的6個(gè)月持有期和對(duì)重要性的檢驗(yàn)決定的。由于非重疊期間的結(jié)果與重疊期間的發(fā)現(xiàn)非常相似，它們就不再報(bào)告了。</p><p>　　持有期間的異常報(bào)酬

68、不同于ETF的等份組合利潤(rùn)和相應(yīng)的基準(zhǔn)投資組合的利潤(rùn)。ETF的持有期報(bào)酬（HPRs）是按復(fù)利每季度計(jì)算的，股息是一季度計(jì)算一次。持有期收益以市場(chǎng)為基準(zhǔn)，MHPR1到MHPR4以同樣的方法計(jì)算。廣義的和以部門為基礎(chǔ)的ETFs的MHPRs用平均加權(quán)指數(shù)計(jì)算。國(guó)際ETFs的MHPRs從數(shù)據(jù)庫(kù)提取數(shù)據(jù)流，使用摩根士丹利世界指數(shù)計(jì)算得到的。</p><p>　　每個(gè)ETF持有期異常報(bào)酬（AHPRi）是用HPRi和相應(yīng)的MH

69、PRi的差別衡量的（其中i= 1至4季度）。持有期的平均異常收益（AAHPRi）是按下列公式計(jì)算等分組合：</p><p>　　這里i代表T*后的季度數(shù)據(jù)（i=1到4），k代表ETFs投資組合的每等份數(shù)（k=1到N）。來(lái)自交易策略的利潤(rùn)等于代表最高等份的ETFs的投資組合的持有期異常報(bào)酬和代表最低等份ETFs投資組合持有期異常報(bào)酬的差異。</p><p>　　四、賣空利息與ETFs實(shí)施關(guān)系

70、的結(jié)果</p><p>　　根據(jù)每個(gè)月的賣空頭寸規(guī)模創(chuàng)建ETF投資組合的結(jié)果顯示在表6中，A組涵蓋了所有樣本，B,C,D組是子樣本。從整個(gè)樣本來(lái)看， 代表最大與最小的賣空頭寸比較，ETFs的平均持有期異常報(bào)酬的差異是負(fù)的和意義重大的，那時(shí)，投資組合形成后的三四個(gè)月內(nèi)的AAHPRi考慮在內(nèi)。也就是說(shuō)，投資組合形成時(shí)最大賣空頭寸的等份在持有期內(nèi)表現(xiàn)惡劣。對(duì)于廣義的ETFs樣本，最小的和最大的ETFs之間，持有期異常

71、報(bào)酬的差異是無(wú)關(guān)緊要的，而且忽視了持有期的長(zhǎng)短，在這期間以部門為基礎(chǔ)和國(guó)際ETFs投資組合是存在的。因此，當(dāng)一個(gè)ETF的特定類型孤立時(shí)，等份基金的顯著性差異消失了。這意味著，作為一個(gè)群體評(píng)估所有ETFs時(shí)比集中于ETF的一個(gè)特定類型時(shí)相比，來(lái)自賣空頭寸的信號(hào)是非常有效的。</p><p><b>　　五、總結(jié)：</b></p><p>　　賣空ETFs在近幾年逐漸流行

72、，現(xiàn)在甚至比賣空以發(fā)行股票流行，什么試圖確定：（1）比賣空股票更能吸引人的ETFs的特征；（2）賣空水平對(duì)ETFs將來(lái)的表現(xiàn)能否起到一個(gè)有用信號(hào)的作用。我們的分析集中在ETFs的所有樣本，但我們也評(píng)估了ETFs的附屬樣本，這些樣本分為廣義的、以部門為基礎(chǔ)的和國(guó)際的。</p><p>　　首先，對(duì)以部門為基礎(chǔ)ETFs賣空利息是大的，對(duì)國(guó)際ETFs來(lái)說(shuō)是小的。第二，有高交易量的ETFs的賣空利息的高的，第三，低市場(chǎng)資