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

被引：7

作者：

Stratmann, Thomas ^{[1
]}

Welborn, John W. ^{[2
]}

机构：

[1] George Mason Univ, Dept Econ, MSN 1D3, Fairfax, VA 22030 USA

[2] George Mason Univ, Dept Econ, Fairfax, VA 22030 USA

来源：

JOURNAL OF EMPIRICAL FINANCE | 2016年 / 38卷

关键词：

Abnormal returns; Fail-to-deliver; Fama-French; Event study; Short selling; SHORT-SALE CONSTRAINTS; MARKET; STOCKS; FAILURES; NEWS;

D O I：

10.1016/j.jempfin.2016.05.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：81 / 102

页数：22

共 64 条

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