none

Prior research has established that stocks with high dispersion of earnings forecasts or short interest are associated with low subsequent returns. Assuming dispersion of forecasts is a proxy for divergence of opinions and short interest is a proxy for short selling constraints, these results have been traditionally attributed to correction for overpricing created by binding short selling constraints. This argument is provided by Miller (1977), and states that prices reflect an optimistic view when investors with pessimistic views can not trade due to short selling constraints, and that the more opinions diverge, the more stocks become overpriced. I test whether dispersion of forecasts exacerbates overpricing, but find evidence contrary to Miller’s theory. When dispersion of forecasts increases, prices decrease. I offer an explanation based on analysts’ reluctance to quickly revise their forecasts downward. I show that some analysts’ sluggish response to bad news results in dispersion of forecasts. The inertia in downward forecast revisions also leads to market underreaction to bad news. Therefore, the negative relationship between dispersion and subsequent returns may be attributable to analysts’ sluggish response to bad news. I also examine the return predictability of firms with high short interest and low institutional ownership. Short interest seems to predict not only future stock returns but also future earnings news, especially for firms with lower institutional ownership. Therefore, the return predictability of short interest seems to be associated with value relevant information short sellers seem to have gathered.

世界各證券市場對於放空交易都有放空限制，然而對於ETF則不作放空限制，此乃因為ETF透明度與流動性相較一般證券高，交易管理上可與指數期貨同。而ETF對於放空市場之所以重要，主要在於它本身豁免於放空限制，使市場多頭空頭結構完整，投資人有管道可以充分反映對於該股所掌握的消息，一但價格偏離基金淨值，投資人也可以透過申購買回策略進行套利，最終結果為ETF價格貼近於基金淨值，股價維持合理價位。當市場股價都能充分反應多空消息，市場效率性將提升，對健全台灣證券市場並往金融自由化前進的一大步，而主要關鍵點便在於完善的賣空機制。 本文主要以台灣50ETF本身豁免平盤以下不能放空這特殊優勢出發，並以台灣五十指數及台灣50ETF實際日交易資料及日內交易資料，運用「事件研究法」，期間以「台灣50ETF上市」及「台灣五十個股豁免融券放空」兩事件為主，觀察存在放空限制與解除放空限制前後期，在價格高估與價格效率性變化情形，此外，也觀察解除放空限制期間對台灣50ETF的影響，以及推估該限制對台灣50ETF放空交易者的放空行為在前後期變動。最後，也針對台灣50ETF本身豁免平盤以下放空限制主要原因在於流動性與透明度足夠，監理機構控管容易，進一步探討如何增加台灣證券市場個股資訊透明度，且該透明度足夠讓個股同樣可從事放空交易，進而促使股價合理化，台灣證券市場的公正度與效率性平衡發展。 / 主要研究結果摘要如下: 1.台灣50ETF法人放空交易者在2005年台灣五十個股豁免放空限制時積極從事實物申購買回套利動作，信用交易量值減少，相對較不活絡。主要原因以往只有ETF可以放空，五十個股豁免後，投資人更有管道從事放空交易。 2.個股豁免放空限制實施對台灣50ETF報酬變動影響在短天期較為顯著。 3.台灣50ETF在兩階段放空限制實施後，價格高估可能性均下降，存在放空機制使ETF市場價格效率提升，在短期間(三個月期)效果較為顯著。 4.放空限制的進一步放寬(2005年)，台灣50ETF賣空交易張數比例(交易量)在事件過後沒有增加，表示放空交易者沒有增加對於交易的需求。此外，我們也沒有發現強而有利證據證明取消放空限制在尾盤會出現賣壓現象。 / To some extent, almost all stock markets locate short-sell constraints on the short selling transactions process; however, they never do so to ETF thanks to its higher transparency and liquidity making it an easy supervised equity. Further, ETF could be considered as a good implication for the stock market simply owing to its exemption from short sell constraints that brings a strong demand and supply structure In other words, if the ETF price is not equal to its fund NAV (net asset value), investors could make profits by buying back or selling ETFs; in the long run, the price will reverse to its NAV and maintain on a reasonable level. As a result, we could infer that if the price could fully reflect investors’ diversified opinions, the market will be more efficient, and we could expect Taiwan stock market to forge ahead soon. Hence, the key issue lies in a healthy short selling mechanism. This paper tries to figure out whether short sell constraints on Taiwan stock market have significant influence on stock price and price efficiency. We use Taiwan50 index and TW50 ETF daily and intraday data from TEJ database, employee Event Study Method, select two dates as our event date which are “the listed date for TW50 ETF,” and “Taiwan 50 stocks exemption from short selling regulations,” and try to examine the difference before and after the date. Additionally, by summarizing and analyzing the trading frequency changes before or after the periods, we try to understand and estimate how the short sellers trading behavior would vary due to the implementation of regulation. / The conclusion of this paper is summarized as follows: 1.Consistent with our assumptions, the institutional investors increased their TW50 ETF purchasing or selling transactions rather than credit transactions after the date when appointed 50 stocks has been exempted from short selling regulations, in other words, investors could only sell short ETF to express their negative opinion toward those 50 stocks and get partially reaction. 2.The exemption policy has a significant effect on TW50 ETF in short term. 3.The two stage of exemption policy has decreased the possibility of price overvaluation and increased the price efficiency of TW50ETF in the short term. 4. We find that the short sell transactions ratio (or the volume) decreased after the second stage of exemption, which means short sellers did not increase their transaction needs.

In this dissertation, I investigate the impact of institutional investors on security prices and corporate policies, and offer a new perspective on the vital role that institutional investors play in the modern capital market. Specifically, on the impact on security price movements, I design a new measure of stock-level sentiment based on mutual fund publically disclosed portfolio information and provide a new dimension to better predict stock returns. A trading strategy based on the new sentiment metrics can generate an annualized alpha of 21.27%. The abnormal returns cannot be explained by the time-varying expected returns and transaction costs, and can be best explained by mutual fund overreactions. Hence, my findings can be interpreted as a new anomaly in a new era-when institutional investors are the marginal traders. On the impact on corporate policy side, I document two pieces of new empirical evidence on the importance of long-term institutional holdings: the entrenchment effect of long-term institutional holdings in the context of corporate financing decisions and the active monitoring role of long-term institutional investors in the context of international firms’ accounting qualities. Combined with previous studies which favour a long-term institutional investor, the evidence on the cost side of long-term holding I document here can serve as the first call for an optimal investment horizon for firms operating in the U.S. / Thesis (Ph.D, Management) -- Queen's University, 2012-04-11 22:22:17.627

本研究在探討家族、非家族控制企業與私有資訊交易之關係，私有資訊交易是以當未預期盈餘為負時，在每季盈餘宣告前之異常融券放空為判斷依據。我們希望了解家族控制企業相對於非家族控制企業是否存在較多之私有資訊交易。實證結果指出當未預期盈餘為負時，在每季盈餘宣告前，家族控制企業相較於非家族控制企業確實存在較多異常融券放空之現象。另外，我們從實證結果亦發現當未預期盈餘為負時，則家族成員涉入經營程度愈高、家族盈餘分配權愈低以及股份盈餘偏離程度愈高之公司，在每季盈餘宣告前，其融券放空之行為相對於其他企業會比較多，由此推論出家族控制特性與所有權結構和隱含資訊之融券放空行為有關。此外，研究結果亦指出巨量融券放空可以用來預測股票未來之異常報酬，但家族控制企業之巨量融券放空相對於非家族控制企業並沒有提供較多有用資訊來預測股票未來之超額報酬。 / We investigate the relation between the information content of short sales and organization structure. We want to know that informed trading occurs more readily in family-controlled firms than in nonfamily firms. Our analysis indicates that family-controlled firms experience substantially greater abnormal short sales prior to negative earnings shocks than nonfamily firms. The analysis also indicates that family-controlled firms sustain marginally less abnormal short sales prior to positive earnings surprises than nonfamily firms. Supplementary testing indicates that characteristics of family control and ownership intensify informed short selling. Further analysis suggests that high short-selling tend to be informative in predicting future returns. However, we find that high short-selling in family-controlled firms do not contains more useful information in forecasting stock returns than nonfamily firms.

Prior studies have shown that returns exhibit certain predictable patterns that are inconsistent with the mainstream finance theory. In this thesis, I explore the behaviour of returns following three different types of market events with a particular focus on behavioural and non-behavioural factors that are attributable to the predictability of post-event returns. This thesis consists of three self-contained empirical essays. The first essay examines the information role of large S&P500 futures trades (commercial, noncommercial, dealers, asset managers, and hedge funds) in shaping future index returns. I find that commercial firms’ net trading level appears positively correlated with future index returns but the relationship is not stable across time. Based on more recent data, hedge funds appear superior in terms of access to information and/or trading ability but this advantage is only preserved at high frequency. Therefore, the current weekly Commitment of Traders (COT) report - published with a three-day delay - prevents timely public access to this type of information. Also, trading signals based on two of the more popular position-based sentiment indicators do not produce significant average returns. Overall, this calls into question the reliability of COT-based trading signals used by market professionals. The second essay studies the impacts of short sellers’ trading in shaping the behaviour of stock returns following extreme price moves using data from stock market in mainland China where short sales were initially prohibited. Extreme price moves occurring under non-prohibitive/prohibitive short-sale constraints are defined as shortable/non-shortable events. I find shortable events exhibit less post-event price drift/reversals than non-shortable ones, indicating an increase in the efficiency of stock prices reacting to unexpected events. Further analysis of short sellers’ trading activities on the price event days suggests that they are successful in trading informed price shocks but not in trading uninformed ones. Finally, I find evidence of massive short-covering that amplifies price shocks. The third essay investigates investors’ reaction to stock market rumours using data from China where listed companies are required to clarify rumours appearing in the media. I find that post-clarification abnormal returns exhibit continuation of pre-clarification momentum for rumours that are not denied by the listed companies and reversals for those which are denied. These results suggest that investors are unable to distinguish the reliable rumours from the false ones, as they under-react to rumours containing material information and over-react to those without. Further regression analyses on post-clarification abnormal returns using various subsamples of rumour events show that investors respond more efficiently to rumours when they are more informed about news topics or the rumoured companies.