The purpose and intent of this study is to conduct comparative research between domestic and foreign investors in regard to short selling positions on the Swedish financial market. The performance differences are measured by compounding short selling positions by the investors between 2015-2018. Two comparative methods were utilized to conduct this research: The cumulative abnormal return (CAR) and the buy-and-hold abnormal return, with each calculation being utilized in accordance with Barber & Lyon (1997). The produced results have been scrutinized via univariate descriptive statistics (t-test) and a regression in order to verify if there is any significant difference between the investors. The result of the study shows that there is a tangible, noteworthy difference in an average performance amongst the investors. We can now recognize that foreign investors who hold their short selling positions for a longer time-period demonstrate better performance. To compare with the domestic investors, their displayed trading behavior seems to be more unpredictable and they have not been performing as good in this selected time-interval.

Orientador: Paulo Sérgio Fracalanza / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-16T10:45:40Z (GMT). No. of bitstreams: 1 Kamada_Vitor_M.pdf: 1843264 bytes, checksum: 508821e23c6df9635a0cdc421548210b (MD5) Previous issue date: 2010 / Resumo: Esta dissertação trata dos limites à arbitragem no mercado de capitais. A idéia básica subjacente ao processo de arbitragem é comprar ativos financeiros desvalorizados e vender ativos financeiros supervalorizados. A finalidade é obter ganhos pecuniários mediante o diferencial dos preços. A economia neoclássica supõe que a arbitragem é processo instantâneo sem custos e riscos realizado por agentes atomísticos. No presente trabalho, essa hipótese é contestada com base nos avanços teóricos das Finanças Comportamentais. Na realidade, a arbitragem é sofisticada estratégia de investimento planejada por poucos profissionais altamente especializados em determinados mercados. Não obstante a arbitragem envolver substanciais custos e riscos, não há garantias de sucesso. A análise de casos concretos sugere que a concepção de arbitragem proposta pelas Finanças Comportamentais é mais realista. Três casos paradigmáticos foram analisados neste trabalho, a saber: I) empresas controladoras que valiam menos do que suas subsidiárias, como o exemplo da 3Com/Palm; II) ações gêmeas cujos preços desviavam-se da paridade teórica, como o exemplo da Royal Dutch/Shell; e III) o colapso do hedge fund Long-Term Capital Management (LTCM). No primeiro caso, os altos custos para efetuar a venda a descoberto inibiam completamente a arbitragem. As altas taxas de juros para se tomar emprestadas as ações da Palm parecem explicar o alto custo da venda a descoberto. No segundo caso, os riscos causados pelos mercadores de boatos impediam a convergência dos preços das ações gêmeas. O terceiro caso ilustra que agentes especializados com vultosas somas de capital enfrentam dificuldades em explorar os lucros arbitrais. Antes que os preços das ações gêmeas Royal Dutch/Shell convergissem, o fundo LTCM foi forçado a fechar suas posições, amargando enormes prejuízos. Em suma, os casos concretos mostraram os limites da arbitragem / Abstract: This thesis deals with the limits to arbitrage in the capital market. The basic idea underlying the process of arbitrage is to buy undervalued financial assets and sell the overvalued ones. The purpose is to obtain pecuniary gain by the difference in prices. Neoclassical economics assumes that arbitrage is a fast process without costs and risks undertaken by atomistic agents. In this essay, this hypothesis is refuted on the basis of theoretical advances in Behavioral Finance. In fact, arbitrage is a sophisticated investment strategy designed by a few experts with deep knowledge in certain markets. Notwithstanding arbitrage involves substantial costs and risks, it does not necessary imply success. The analysis of cases suggests that the concept of arbitrage proposed by Behavioral Finance is more realistic. Three cases were analyzed in this essay, namely: I) parent companies were worth less than the subsidiaries, as the example of 3Com/Palm; II) twin shares whose prices deviated from the theoretical parity, as the example of Royal Dutch/Shell; and III) the collapse of hedge fund Long-Term Capital Management (LTCM). In the first case, the high costs of short selling completely inhibited the arbitrage. The high interest rates to borrow the shares of Palm appear to explain the high cost of short selling. In the second case, the noise trader risk prevented the convergence of twin shares prices. The third case illustrates that professionals with vast amounts of capital face difficulties in exploring opportunities of arbitrage. Before the prices of Royal Dutch/Shell converge, the LTCM was forced to close his positions, suffering huge losses. In summary, the cases revealed the limits of arbitrage / Mestrado / Ciências Economicas / Mestre em Ciências Econômicas

Short selling is important for price efficiency as it helps negative information to be incorporated into prices. As short selling requires borrowing stock in advance, the equity lending market plays a central role in price efficiency. For instance, when the costs of borrowing certain equities are high, these stocks are likely to be overpriced. Unfortunately, not much is known about the equity lending market, particularly the Brazilian market. Here, we have investigated a particular feature of the equity lending contract, namely, the lender recall option. Lending contracts either i) allow the lender to recall the stock at an earlier date than initially agreed, or ii) allow no early recall, that is, they are fixed term contracts. We have derived a simple model for recall option pricing and confirmed the model empirically / A venda descoberta desempenha uma importante participação na eficiência da precificação de ativos, pois permite incorporar informações negativas aos seus preços. Como a venda descoberta requer que um ativo seja alugado previamente, o mercado de aluguel de ativos tem um papel central na formação eficiente de preços. Por exemplo, quando os custos de aluguel são altos, ativos estão provavelmente sobrevalorizados. Infelizmente pouco se conhece a fundo sobre o mercado de aluguel de ativos. Neste artigo, investigamos uma característica do aluguel de ações, propriamente dita, a opção de liquidação antecipada pelo doador. Contratos de aluguel, quanto a este aspecto, podem i) permitir que o doador requeira suas ações antes do prazo acordado ou ii) não permitir esta opção, possuindo prazo fixo. Derivamos um modelo simples de precificação desta opção e confirmamos o modelo empiricamente

Die fondsgebundene Umsetzung einer Long/Short-Strategie stößt schnell an ihre Grenzen, wenn die Regulierungserfordernisse der UCITS IV-Richtlinie 2009/65/EG als rechtlicher Rahmen für den Investmentfonds maßgeblich sind. Die betreffenden Regelungen verlangen einerseits eine diversifizierte Ausrichtung des Portfolios und beschränken das Universum an investierbaren Vermögenswerten auf finanzielle und liquide Produkte. Andererseits führen sie zu einer wesentlichen Begrenzung der zulässigen Anlagetechniken. Die Möglichkeiten zur Hebelinvestition sind streng limitiert und das Durchführen von Leerverkäufen wird vollständig ausgeschlossen. Der Anknüpfungspunkt, die Performance einer Short-Position dennoch in den Fonds zu integrieren, ist die Abkehr von der direkten und physischen Umsetzung hin zu einer indirekten und synthetischen Einbindung, wie sie durch den Einsatz von Derivaten möglich ist. Um die Auswirkungen der Derivate auf das Risiko- und Renditeprofil der Investmentfonds überschaubar und kontrollierbar zu halten, wird die Intensität des Derivatehandels durch das Festsetzen von Risikolimits auf ein vertretbares Maß beschränkt. Die Wahl eines konkreten Derivats beeinflusst die technische Umsetzung der synthetischen Positionsbildung und bestimmt deren assoziierte Vorgaben im Kontext des Risikomanagements. Insofern Derivate bei der Strategieausrichtung des UCITS-Fonds ausgeschlossen werden, lassen sich Short-Positionen lediglich gegenüber aggregierten Exposures in Form einer Dachfondskonstruktion berücksichtigen. Das Ausarbeiten kapitalrechtlicher Vorgaben und das darauf basierende Ableiten von praxisrelevanten Investitionsansätzen, zur Abbildung der Short-Positionen innerhalb einer fondsgebundenen Long/Short-Strategie, stehen im Fokus.

This thesis aims to examine whether it is possible to forecast which firmswill be shorted. To do this a regression was constructed using a sample of thecompanies currently included in S&P 500. Short interest as percentage offloat was set as the dependent variable with volatility, institutionalownership, past stock returns, growth in net sales and price-to-earnings ratio(P/E) as the independent variables. Our results concluded that all variablesexcept institutional ownership were statistically significant at a 5% level withthree of these being significant even at a 1% level. Based on these results, webelieve that it to a certain degree is possible to forecast which firms will beshorted.

The aim of this study was to assess the feasibility of constructing optimal portfolios using the Johannesburg Securities Exchange tradable sector indices. Three indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period January 2007 to December 2017. The period was split into three, namely before the 2007-2009 global financial crises, during the global financial crises and after the global financial crises. The Markowitz’s mean-variance optimisation framework was employed for the construction of global mean variance portfolios. The results of this study showed that it was feasible to construct mean-variance efficient portfolios using tradable sector indices from the Johannesburg Securities Exchange. It was also established that, on the other hand, global mean variance portfolios constructed in this study, outperformed the benchmark index in a bullish market in terms of the risk-return combinations. On the other hand, in bear markets, the global mean variance portfolios were observed to perform better than the benchmark index in terms of risk. Further, the results of the study showed that portfolios constructed from the three tradable indices yielded diversification benefits despite their positive correlation with each other. The results of the study corroborate the findings by other scholars that the mean-variance optimisation framework is effective in the construction of optimal portfolios using the Johannesburg Securities Exchange. The study also demonstrated that Markowitz’s mean-variance framework could be applied by investors faced with a plethora of investment choices to construct efficient portfolios utilising the Johannesburg Securities Exchange tradable sector indices to achieve returns commensurate with their risk preferences. / Business Management / M. Com. (Business Management)

Submitted by João Batista Fraga (fragab@gmail.com) on 2013-04-15T00:50:09Z No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-04-15T13:07:04Z (GMT) No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) / Made available in DSpace on 2013-04-15T13:10:28Z (GMT). No. of bitstreams: 1 versao final joao batista fraga.pdf: 2079339 bytes, checksum: 7700dcba3cd9fd143c2d2d505ce0f367 (MD5) Previous issue date: 2013-03-25 / This study investigates the activity of stock lending in Brazil and its connection with short selling. It describes the organization of the market, identifies factors that determine the level of short interest and analyzes the effects on the efficiency of the stock prices. It finds that short-sellers act as contrarians and that the activity is directly related to the trading volume and inversely related to the daily price range. Periods of lock up and stabilization, these after the IPOs, and periods prior to seasoned offers also influence the level of open interest, as well as tax arbitrage that occurs at the time of payment of interest on equity by companies and have disruptive effect on stock prices. Short-sellers position themselves to earn excess returns and prefer stocks with higher betas. It is also shown that the addition of long-short positions to existing investment portfolio would increase returns and reduce market risk. When it comes to market efficiency, the study shows that the prices of stocks with high levels of short interest react more quickly to market movements than those with lower level. The study also contributes with specific recommendations for changes in the regulation and in the operational organization of the activity in Brazil. / Este trabalho investiga a atividade de empréstimo de ações no Brasil e sua conexão com operações de venda a descoberto em bolsa de valores. Descreve a organização do mercado, identifica fatores que determinam o nível de empréstimos e analisa os efeitos na eficiência da formação de preços das ações. Conclui que os vendedores atuam como contrários e que a atividade tem relação direta com o volume de negociação e inversa com a amplitude diária dos preços. Períodos de lock up e estabilização, esses após os IPOs, e o que antecede às ofertas subsequentes também influenciam o saldo de empréstimos, assim como a arbitragem tributária na distribuição, pelas empresas, de juros sobre capital próprio que tem efeito disruptivo sobre os preços das ações. Investidores a descoberto posicionam-se de modo a auferir excesso de retornos negativos e preferem ações com betas mais elevados. Os resultados também demonstram que o acréscimo de posições long-short a portfólio de investimento já existente aumentaria o retorno e reduziria o risco de mercado. Sobre a eficiência do mercado brasileiro, o estudo mostra que os preços das ações com saldos elevados de empréstimos ajustam-se com mais rapidez aos movimentos do mercado do que aquelas com menor saldo. O trabalho contribui, ainda, com recomendações pontuais para alterações da regulação e da organização operacional da atividade no País.