Journal of Empirical Finance 38, 2016, Pages 81–102

知情卖空、无法交付与异常收益

作者：Thomas Stratmann, John W. Welborn

摘要：我们发现有无法交付（Fail-to-deliver, FTDs）历史的股票具有负的异常收益率，且异常收益率与无法交付水平相关。我们使用事件法和Fama-French因子法进行组合收益率分析。通过使用股票借入成本的专有数据，我们还发现在低FTDs与高FTDs的股票之间进行卖空可获得正的盈利。论文的结论支持：无法交付反映了无约束卖空（nonbinding short sale）的限制不能限制知情卖空（informed short selling），即在股票借入成本较高的情况下或者可借入股票有限的情况下知情卖空者也不会被限制。

关键词：异常收益率，无法交付，Fama-French， 事件法，卖空

Informed short selling, fails-to-deliver, and abnormal returns

Thomas Stratmann, John W. Welborn

ABSTRACT

We find that stocks with fails-to-deliver (FTDs) experience negative abnormal returns that are

proportional to their FTD levels. These findings come from both an event study and a portfolio

returns analysis using Fama-French factors. Using proprietary data on stock borrow costs, we

also show that short sellers of low and high FTD stocks obtain positive estimated profits. Our

findings support the hypothesis that FTDs reflect nonbinding short sale constraints which do

not restrict informed short selling.

原文链接：http://www.sciencedirect.com/science/article/pii/S092753981630055X

翻译：罗丹