| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10218 |
| 来源ID | Working Paper 10218 |
| Aggregate Short Interest and Market Valuations | |
| Owen A. Lamont; Jeremy C. Stein | |
| 发表日期 | 2004-01-12 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We examine some basic data on the evolution of aggregate short interest, both during the dot-com era, and at other times in history. Total short interest moves in a countercyclical fashion. For example, short interest in NASDAQ stocks actually declines as the NASDAQ index approaches its peak. Moreover, this decline does not seem to reflect a substitution away from outright short-selling and towards put options, as the ratio of put-to-call volume displays the same countercyclical tendency. The evidence suggests that: i) arbitrageurs are reluctant to bet against aggregate mispricings; and ii) short-selling does not play a particularly helpful role in stabilizing the overall stock market. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w10218 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567846 |
| 推荐引用方式 GB/T 7714 | Owen A. Lamont,Jeremy C. Stein. Aggregate Short Interest and Market Valuations. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10218.pdf（204KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
