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

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>　　納斯達克市場上的股權(quán)結(jié)構(gòu)、期望值和賣空交易</p><p><b>　　摘要：</b></p><p>　　我們來估計預測的納斯達克股票的賣空利率。在擴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)對賣空活動的影響。我們發(fā)現(xiàn)賣空利息和機構(gòu)的所有權(quán)成

62、負相關(guān)，與投資者的內(nèi)部所有權(quán)成正相關(guān)；流動性較高和價差較小的股票賣空比較困難。我們提出了一種針對意料之外的賣空水平的措施，針對這種賣空利息的報道，無法預測到的賣空水平首先更好地代表了獲取信息從事賣空活動的投資者的觀點。然而，當我們考慮到傳統(tǒng)市場、公司大小和動量參數(shù)時，影響賣空的未預期水平的因素會被取代。</p><p><b>　　一、前言:</b></p><p>

63、　　Thomas (2006)肯定了金融研究人員對賣空的爭論。面對制度和統(tǒng)計的問題，在過去幾年已經(jīng)涉及過賣空的研究；我們試圖用一套拓展這個研究的方法去調(diào)節(jié)這些爭論。首先，我們將探討股權(quán)結(jié)構(gòu)對賣空利息水平的影響,發(fā)現(xiàn)它顯著地影響了賣空行為活動。其次，我們拓寬我們的所有權(quán)，并發(fā)現(xiàn)賣空與機構(gòu)所有權(quán)負相關(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)集中和公司價值的一種非單調(diào)關(guān)系。第三，我們發(fā)現(xiàn)賣空在

64、具有較大流動性和相對較小的買賣差價的股票中非?；钴S。最后，我們測算了可以預測到的賣空利息，證明未預料到的短期利息水平的測算對遠期利潤比賣空的原始測算似乎更有說服力。然而，當我們采取選定的公司規(guī)模和動量變量作為額外的解釋的因素時，更大的動因會被代替。</p><p>　　我們要事先理解賣空。我們進行了兩個研究方向，首先，有一種解釋是對長期表現(xiàn)不佳的股票的高賣空利息產(chǎn)生消極的影響，那些學者認為，高賣空利息對投資者經(jīng)常

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

66、措施對以后的股票利潤有更大的預測能力。</p><p>　　我們對賣空活動的影響因素提出了見解。首先，我們證明賣空利息與機構(gòu)所有權(quán)之間的負相關(guān)。表面上，這個發(fā)現(xiàn)似乎否定了最近研究表明的機構(gòu)投資者在參與賣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構(gòu)投資者那里借到，而且不會有很大的約束，這與Asquith et al. (2005)的發(fā)現(xiàn)有產(chǎn)生了共鳴。我們對大型納斯達克股票的分析是

67、與熟練的賣空者的活動是一致的，這些買空者是在股票市場上不均衡地購買購買的機構(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)和賣空利息成正相關(guān)。賣空者通過持有高代理成本公司的大量的頭寸，從該公司過剩所有權(quán)貶值中獲利。這項新發(fā)現(xiàn)意味著賣空者可以利用賣空行為決定的內(nèi)部所有權(quán)資料或在允許賣空的條件下綁定內(nèi)部所有權(quán)水平。Morc

68、k et al.(1988)認為內(nèi)部所有權(quán)并不是一種在所有權(quán)集中水平和公司價值之間的簡單關(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，但實際情況并非如此。</p><p>　　第三，由于較高的買賣差價和另外一些代理交易成本，賣空活動在股票市場上有所減弱，買空者表現(xiàn)出對許多企業(yè)決策者的偏好，對這些消息靈通的投資者覺得與幾個經(jīng)營商同時交易更有利可圖。我們證實股票流動性與賣空有很大的關(guān)聯(lián)性；流動性較差的股票有較多的

69、市場決策者和較低的成交量、較大的買賣差價，這些股票很難賣空。交易成本高的股票也極小有可能賣空。</p><p>　　第四，我們完成了預期的賣空利息估計的檢驗以及使用觀察到的賣空利息和估計不可預測的賣空水平的差異。最初的回歸分析表明，不可預測的賣空利息比未經(jīng)調(diào)整的賣空水平有更大的利潤預測能力。然而，經(jīng)過進一步的研究和對規(guī)模、價值、經(jīng)濟增長和勢頭的控制，我們代理的未預測到的賣空的意義相對于原始的賣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，大多數(shù)表現(xiàn)不佳的賣空利息賣空利率較低。</p><p><b>　　二、結(jié)論</b></p><p>　　賣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和公司賣空利率之間的關(guān)系，所選變量的日志提供了正?；恼`差項。傳統(tǒng)的原始回歸分析被

71、用于估算賣空利率。這個功能可以預測在以后研究中的賣空利息水平。</p><p>　　該系數(shù)的估計和對賣空利率橫截面分析得出的P-值顯示在表三3中。這個方程是用我們的樣本中的90個月來估算的，它是一種平均系數(shù)報告。這種方法被使用是因為在研究期內(nèi)買賣差價在縮小和賣空水平在增加。如果沒有時間的限制，我們會發(fā)現(xiàn)在因變量和自變量之間的誤導性關(guān)系。表三提出了兩個函數(shù)。在方程1中，這個觀察受限于來自I/B/E/S盈利預測的多個

72、分析師的數(shù)據(jù)，這項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測標準差。</p><p>　　就如表三顯示的兩個方程。我們的第一個假設(shè)是內(nèi)部所有權(quán)和賣空利息成正相關(guān)。賣空者可能會更加活躍因為經(jīng)營者會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)的持有人可能會對沖其持有的股票。由于集團內(nèi)部有時會抵消頭寸或進行掉期交易和利用衍生工具，來減少他們賣空的交易風險。內(nèi)部所有權(quán)和賣空利息的正

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

74、點，他認為在貸款供應的可變性方面機構(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導致的，其中包括最大的納斯達克股票。D'Avolio發(fā)現(xiàn)1267只股票是無法從大的貸款中介機構(gòu)借取的。這些股票中的86%在底部，57%的價格在5美元以下。這意味著在我們的樣本中股票的平均價格在33.48美元。平均的機構(gòu)所有權(quán)達到51.63%。因此，從機構(gòu)中最難借到的股票通常不屬于納斯達克市場上最大的200家公司。</p>

75、<p>　　對互助基金的最近研究表明基金經(jīng)理通常購買有正回報的股票。Wermers (2000)估計，在計算交易成本前，這些異常報酬每年占到1.3%。Pinnuck (2003)支持這一結(jié)論，因為至少有一些機構(gòu)投資者具有較高的能力去挑選股票。賣空者可能會隨著機構(gòu)所有權(quán)的增加和貸款限制減少，在股票市場上表現(xiàn)得不活躍。同時，機構(gòu)投資者可能不太愿意去擔保他們的股票，這會導致在機構(gòu)所有權(quán)增加時，減少貸給賣空者的股票供給。</

76、p><p>　　我們的第三個假設(shè)是交易成本和短期利息無關(guān)，對于這兩個方程，平均方程的買賣差價是負的，而且意義重大；對做市商數(shù)量和股票數(shù)量估計的系數(shù)是正的，意義也很大。這些結(jié)果否定了H3，并且與對賣空者來說，與交易成本是最大的障礙這一理念一致。這個研究表明，賣空者偏愛于有更多做市商的股票 。</p><p>　　像交易成本一樣，分紅派息是個障礙。表3顯示了進行分紅的股票賣空利息較低。當分紅時，股

77、票的價格通常會下降，但也不會少于股息，這代表了賣空的成本，分紅本身沒有任何津貼。期權(quán)與賣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)的股票有較高的賣空利息。擴展Dechow et al. (2001)的研究，在我們的表達式中包括了價格與收益的比率和價格與賬面價值的比率。在這兩個方程中，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、如果利潤的系數(shù)是負的，這個數(shù)據(jù)也表明了買空者考慮了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測有關(guān)。賣空利息與分析師預測的長期增長率呈正相關(guān)。研究表明，盈利的估計是有偏見的，經(jīng)驗豐富的賣空者試圖從認同他們的投資者中獲利。同時，賣空利息會隨著分析師的標準誤差增加。這支持了Hong and Stein (2003)的理論研究和Dieth

79、er et al. (2002)對股票收益的實證分析。</p><p><b>　　三、總結(jié)</b></p><p>　　我們增加了對賣空的最近研究。我們研究了200家最大的納斯達克股票，認為在這些股票的賣空活動中與機構(gòu)所有者是負相關(guān)，與內(nèi)部所有者是正相關(guān)。我們發(fā)現(xiàn)，意料之外的賣空水平由于我們估量了它，在描述后來的利潤時就比改變賣空活動的簡單措施意義要小。我們證實了最

80、昂貴的股票最難被賣空。</p><p>　　我們以賣空者利用了利潤與內(nèi)部和機構(gòu)所有權(quán)之間的關(guān)系，解釋對所有權(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)系反映了賣空者試圖從與管理優(yōu)勢有關(guān)的、較低的股票回報中獲利。另一種可能的解釋是，較高的賣空水平是有內(nèi)部持有人對沖股票引起的。</p><p>　　我們發(fā)現(xiàn)公司價值和在早期研究中發(fā)現(xiàn)的所有權(quán)集中化并不是一個單調(diào)關(guān)系。相反，我們發(fā)現(xiàn)當所有權(quán)增加時賣

81、空的平均增幅與所有權(quán)的相對集中度無關(guān)。同時，我們發(fā)現(xiàn)了當機構(gòu)所有權(quán)上升時在賣空中存在偏差。這違背了最近的一些研究，因為機構(gòu)可以說是最大的股票賣空來源。我們選擇了在納斯達克最大的公司為樣本，對他們來說，機構(gòu)所有權(quán)有可能對股票的賣空沒有約束性，也許這可以解釋上面的結(jié)果。賣空者對具有較高的機構(gòu)所有權(quán)的股票表現(xiàn)得不活躍，因為這些機構(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家最大的納斯達克市場上的公司的情況，但這與我們報告和未報告