资源描述
毕业论文外文翻译外文题目：OWNERSHIP STRUCTURE, EXPECTATIONS, AND SHORT SALES ON THE NASDAQ出 处：JOURNAL OF ECONOMICSAND FINANCE 作 者：J. Edward Graham and J. Christopher Hughen 原 文：AbstractWe 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 find 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 measure of the unanticipated level of short selling; relative to the reported amount of short interest, this unexpected level of short selling seems at first to better represent the opinions of informed investors engaging in costly short-selling activities. However, the power of the unanticipated level of short-selling factor is displaced when we make allowances for traditional market, firm size, and momentum variables. I. INTRODUCTIONThomas (2006) affirms the struggle of financial researchers as they 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 research. 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 while short selling is negatively related to institutional ownership, it is positivelyrelated 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 that 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 interest seems to provide greater explanatory power for future returns than do the raw measures of short sales; however, this greater power is displaced when we adopt selected firm size and momentum variables as additional explanatory factors.In advancing our understanding of short selling, we connect two lines of research. First, the literature provides evidence 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 factors that influence the amount of short-sales activity. They reach several conclusions: the level of institutional ownership can constrain the ability to borrow shares short sellers prefer liquid stock with high ratios of market to fundamental values .We measure expected short interest in a 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 many 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 whether the unexpected level of short interest provides greater predictive ability for subsequent stock returns than the absolute measures of short sales.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 ownership. 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 unavailable for borrowing tend to have small market capitalizations, and for stocks with large market values, the ability to borrow shares from institutions does not appear to be a significant constraint; this echoes recent findings by Asquith et al. (2005). Our analysis of large Nasdaq stocks is consistent with sophisticated short sellers being less active in stocks disproportionately purchased by institutional investors, shown by Wermers (2000) and Pinnuck (2003) to demonstrate superior stock-selection ability.Second, we discover a positive relation between inside ownership and short interest. By taking 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 short 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 levels. The inside ownership findings are not an artifact of the non-monotonicrelationships 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.Third, 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 find it more profitable to conduct their activities across several dealers. We affirm that stock liquidity is significantly associated with short selling; the less liquidstocks, with fewer market makers 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.Fourth, we complete our examinations 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 that 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 and momentum, the significance of our proxy for unanticipated short selling is largely diminished, relative to the raw measure of the short-interest ratio itself. Echoing the seminal findings of Figlewski (1981), most firms with higher short-interest ratios underperform those with lowerratios.II.RESULTSCross-Sectional Analysis of Short InterestTo better understand the 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. Traditional 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.The coefficient estimates and 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 approach 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 between the explanatory factors and the dependent variable. Table 3 provides estimates for two functions. In Equation 1, the observations are limited to firms with data on multiple analyst earnings estimatesfrom 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 forecasts 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 sellers may become more active as managers are entrenched through greater ownership. Another plausible explanation suggests insiders may hedge their stock holdings. As inside holdings are sometimes offset by positions in collars, swaps, and other derivatives, with financial institutions that facilitate these transactions reducing their own risk by short selling stock, a positive relation between inside ownership and the short-interest ratio may arise. Our results do not indicate that corporate policies preventing insiders from holding shares in margin accounts exhibit significant pressure on the ability to borrow shares for short selling. Our analysis rejects HI, and it represents the first research to document the effect of inside ownership on short interest.Our second hypothesis states that short interest is unrelated to institutional 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 DAvolio(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 sample, which consists of the largest Nasdaq stocks. DAvolio finds 1,267 stocks that are unavailable for borrowing from a large institutional lending intermediary; 86% of these stocks arein 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 from institutions are typically not among the largest 200 firms on the Nasdaq.Recent research on mutual funds finds that managers purchase stocks that have subsequent positive abnormal returns. Wermers (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 to pick stocks, short sellers may be less active in stocks with increasing institutional ownership and few constraints on borrowing. As well,institutional buyers may be less inclined to margin their stock, and this could reduce stock supplies for lending to short sellers as institutional ownership increases.Our third hypothesis states that transaction costs and short interest are unrelated. 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 reject 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 for stocks with more market makers. Like 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 and 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 Danielson and Sorescu (2001), our analysis indicates that stocks with exchange-traded options have higher short interest.Extending Dechow et al. (2001), we include the price-to-earnings ratio and the price-to-book ratio in our expressions. The mean coefficients 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, which is a pattern documented byJegadeesh and Titman (1993).The last variables in this portion of our examinations relate to analyst forecasts. Short interest has a positive 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 them 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 empirical analysis of stock returns performed by Diether et al. (2002).III. CONCLUSION 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 positively 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 confirm that the most costly stocks to short are the least likely to be shorted. We interpret our analysis of ownership structure as evidence that short sellers exploit several relations between returns 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. Another plausible explanation is that higher levels of short selling may result from insiders hedging their stock holdings.Our findings are not an artifact of the non-monotonic relationships between firm 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 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 selection of a sample of the largest firms on the Nasdaq, for whom institutional ownership is likely not a binding constraint on stock availability for selling short, may explain this result. As well, short sellers may be less active in stocks with higher institutional ownership, as those institutional investors have exhibited superior selective ability with stock investments. This may not be the case in studies of stocks outside the largest 200 firms on the Nasdaq, but is the case with our reported and unreported tests.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 short-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 traditional market, firm-size and momentum variables. These findings suggest that firm characteristics and short selling costs obfuscate the interpretation of short interest levels. By documenting how these factors affect the actions of short sellers, our study helps us interpret the signal offered by these relatively sophisticated investors.毕业论文外文翻译外文题目：OWNERSHIP STRUCTURE, EXPECTATIONS, AND SHORT SALES ON THE NASDAQ出 处：JOURNAL OF ECONOMICSAND FINANCE 作 者：J. Edward Graham and J. Christopher Hughen 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根底上，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拟困难。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:Thomas (2006)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；Morck et al. (1988)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泼。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。外表上，这个发现似乎否认了最近研究说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Asquith et al. (2005)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置购置的机构投资者，Wermers (2000) 和 Pinnuck (2003)在选择股票上证明了他们杰出的能力。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本钱公司的大量的头寸，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。Morck et al.(1988)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本钱，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。交易本钱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。最初的回归分析说明，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。Figlewski (1981)的调查结果与其相照应，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8.2%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。我们的第一个假设是内部所有权和卖空利息成正相关。卖空者可能会更加活泼因为经营者会更加稳固他们的所有权。另一种可能的解释是内部所有权的持有人可能会对冲其持有的股票。由于集团内部有时会抵消头寸或进行掉期交易和利用衍生工具，来减少他们卖空的交易风险。内部所有权和卖空利息的正相关关系就会出现。我们的研究并不说明，当股票持有者在保证金账户上表现出借股卖空压力大时，控股企业的政策可以阻止所有者持有股份。我们的研究拒是谨慎的，它代表了卖空影响内部所有权的第一次研究。我们的第二个假说认为卖空利息与机构的所有权无关，它在我们的研究数据中是被排除的。表3中的两个方程说明了较高的机构所有权导致了较低的卖空利息。外表上，这些结果似乎反驳了DAvolio(2002)的观点，他认为在贷款供给的可变性方面机构所有权解释了大局部。然而，这种明显的不一致可能是我们样本的特点导致的，其中包括最大的纳斯达克股票。DAvolio发现1267只股票是无法从大的贷款中介机构借取的。这些股票中的86%在底部，57%的价格在5美元以下。这意味着在我们的样本中股票的平均价格在33.48美元。平均的机构所有权到达51.63%。因此，从机构中最难借到的股票通常不属于纳斯达克市场上最大的200家公司。对互助基金的最近研究说明基金经理通常购置有正回报的股票。Wermers (2000)估计，在计算交易本钱前，这些异常报酬每年占到1.3%。Pinnuck (2003)支持这一结论，因为至少有一些机构投资者具有较高的能力去挑选股票。卖空者可能会随着机构所有权的增加和贷款限制减少，在股票市场上表现得不活泼。同时，机构投资者可能不太愿意去担保他们的股票，这会导致在机构所有权增加时，减少贷给卖空者的股票供给。我们的第三个假设是交易本钱和短期利息无关，对于这两个方程，平均方程的买卖差价是负的，而且意义重大；对做市商数量和股票数量估计的系数是正的，意义也很大。这些结果否认了H3，并且与对卖空者来说，与交易本钱是最大的障碍这一理念一致。这个研究说明，卖空者偏爱于有更多做市商的股票 。像交易本钱一样，分红派息是个障碍。表3显示了进行分红的股票卖空利息较低。当分红时，股票的价格通常会下降，但也不会少于股息，这代表了卖空的本钱，分红本身没有任何津贴。期权与卖空利息的增加也有联系。我的分析和Figlewski 、Webb (1993) 、Danielson 、Sorescu (2001)一致，都说明有选择权的股票有较高的卖空利息。扩展Dechow et al. (2001)的研究，在我们的表达式中包括了价格与收益的比率和价格与账面价值的比率。在这两个方程中，这些变量的平均系数是正的，此结果肯定了前期结果。如果利润的系数是负的，这个数据也说明了买空者考虑了Jegadeesh 和Titman (1993).提出的模式。在我们考察的头寸中最后的变量与分析师的预测有关。卖空利息与分析师预测的长期增长率呈正相关。研究说明，盈利的估计是有偏见的，经验丰富的卖空者试图从认同他们的投资者中获利。同时，卖空利息会随着分析师的标准误差增加。这支持了Hong and Stein (2003)的理论研究和Diether et al. (2002)对股票收益的实证分析。三、总结我们增加了对卖空的最近研究。我们研究了200家最大的纳斯达克股票，认为在这些股票的卖空活动中与机构所有者是负相关，与内部所有者是正相关。我们发现，意料之外的卖空水平由于我们估量了它，在描述后来的利润时就比改变卖空活动的简单措施意义要小。我们证实了最昂贵的股票最难被卖空。我们以卖空者利用了利润与内部和机构所有权之间的关系，解释对所有权结构的分析。内部所有权与短期利息之间的关系反映了卖空者试图从与管理优势有关的、较低的股票回报中获利。另一种可能的解释是，较高的卖空水平是有内部持有人对冲股票引起的。我们发现公司价值和在早期研究中发现的所有权集中化并不是一个单调关系。相反，我们发现当所有权增加时卖空的平均增幅与所有权的相对集中度无关。同时，我们发现了当机构所有权上升时在卖空中存在偏差。这违背了最近的一些研究，因为机构可以说是最大的股票卖空来源。我们选择了在纳斯达克最大的公司为样本，对他们来说，机构所有权有可能对股票的卖空没有约束性，也许这可以解释上面的结果。卖空者对具有较高的机构所有权的股票表现得不活泼，因为这些机构投资者有卓越的股票选举能力。这有可能不是在研究中的200家最大的纳斯达克市场上的公司的情况，但这与我们报告和未报告的研究呢情况相符。最后，我们提出了预测卖空利息的新方法，发现卖空利息水平中未预料到的改变对股票利润的预测能力比原始措施的预测能力小。然而，这个方法在一系列未报告的测试中首先似乎是非常有意义的。这些结果说明，企业特征和卖空本钱混淆了卖空利息水平的解释。通过记录这些因素如何影响空头的行动，我们的研究可以帮助我们理解这些相对成熟的投资者所提供的信号。
展开阅读全文