| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16319 |
| DP16319 Best Short | |
| Pasquale Della Corte; Robert Kosowski; Nikolaos Rapanos | |
| 发表日期 | 2021-07-02 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We infer investors' expectations about future stock returns through a measure of short conviction that exploits net short positions disclosed at the investor-stock level for European stock markets. A strategy that sells high-conviction stocks and buys low-conviction stocks, named Best Short, generates a risk-adjusted excess return that is larger than 8% per annum and differs from the performance of traditional strategies based on aggregate short interest. Its profitability, moreover, cannot be explained by transaction costs, stock characteristics, frictions in the securities lending market, leverage constraints, and measures of price inefficiency. |
| 主题 | Financial Economics |
| 关键词 | Disclosure Regulation Short-sale performance Anomalies Hedge funds |
| URL | https://cepr.org/publications/dp16319 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545284 |
| 推荐引用方式 GB/T 7714 | Pasquale Della Corte,Robert Kosowski,Nikolaos Rapanos. DP16319 Best Short. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
