| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20282 |
| 来源ID | Working Paper 20282 |
| The Shorting Premium and Asset Pricing Anomalies | |
| Itamar Drechsler; Qingyi Freda Drechsler | |
| 发表日期 | 2014-07-10 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53% four-factor alpha. We show that short fees interact strongly with the returns to eight of the largest and most well-known cross-sectional anomalies. The anomalies effectively disappear within the 80% of stocks that have low short fees, but are greatly amplified among those with high fees. We propose a joint explanation for these findings: the shorting premium is compensation for the concentrated short risk borne by the small fraction of investors who do most shorting. Because it is on the short side, it raises prices rather than lowers them. We proxy for this short risk using the CME portfolio return and demonstrate that a Fama-French + CME factor model largely captures the anomaly returns among both high- and low-fee stocks. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w20282 |
| 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/577956 |
| 推荐引用方式 GB/T 7714 | Itamar Drechsler,Qingyi Freda Drechsler. The Shorting Premium and Asset Pricing Anomalies. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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