在交易型開放式基金中的賣空

1、畢業(yè)論文外文翻譯外文題目：SHORT INTEREST IN EXCHANGE-TRADED FUNDS出 處 SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH 作 者：Jeff Madura · Thanh Ngo 原 文：SHORT INTEREST IN EXCHANGE-TRADED FUNDSAbstractShort selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessim

2、istic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. We determine that sector-based ETFs have an abnormally large short interest level, whereas international ETFs have an unusually small short interest level.

3、 The level of short interest is larger for ETFs that have a higher trading volume and a lower market capitalization, regardless of the type of ETF assessed. The level of short interest is lower for ETFs representing indexes that have tradable derivatives, but higher for international ETFs representi

4、ng indexes that have tradable derivatives. We also determine that the level of short interest in an ETF serves as an effective signal of bearish sentiment when considering all ETFs, but is not an effective signal when isolating any particular type of ETF.Keywords :Exchange-traded funds · Short

5、sales · Short sellingI. INTRODUCTIONAn ETF is a specialized investment trust that is created to mirror a specificed portfolio of securities. Most ETFs represent portfolios of stocks and can be classified as broad-based, sector-based, or international, depending on the type of index they mimic.T

6、hey differ from open-end index mutual funds in that they are traded continuously on an exchange and can be purchased or sold any time the market is open. These ETFs are created when an authorized participant (such as a specialist) obtains the portfolio of stocks and stores the stocks at a custodial

7、bank. In return, the custodial bank provides shares of ETFs to the authorized participant. This process is referred to as in-kind trading. Once the ETF shares are provided to the authorized participant, they can be traded on stock exchanges just like stocks. More recently, some ETFs have been design

8、ed to mirror fixed-income assets. Arbitrage prevents the price of the ETF from deviating significantly from the net asset value and, therefore, limits tracking error. The expenses of ETFs associated with managing the portfolio are very low.ETFs can be shorted, just like stocks and, therefore, provid

9、e a means by which market participants can speculate or hedge based on pessimistic expectations about a specific market or sector.However, EFTs must be borrowed from brokerage firms before they can be sold short. Institutional investors have easier access to borrowing ETFs, and also tend to be more

10、common players in the short-selling process. Collateral must be posted with the brokerage firm, which can be in cash or Treasury bills. The minimum amount of collateral required is 50% of the transaction, but some brokerage firms require a higher percentage. Unlike stocks, ETFs can be shorted on an

11、uptick. Although short sellers are not normally charged an explicit fee for shorting ETFs, they incur an opportunity cost when posting cash as collateral.Closed-end funds can also be shorted, but they are subject to pricing discrepancies because their prices may contain pronounced discounts or premi

12、ums relative to their net asset value (see Pontiff 1995, 1997). The discounts or premiums can change over time and possibly offset any benefits from a change in the net asset value that occurs during the period during which the shares are shorted. In addition, the trading volume of many closed-end f

13、unds is limited, which could make it costly to offset a short position. Thus, ETFs can be more effectively used to bet against a specific market or sector. ETF shares sold represent about 19% of total outstanding shares on average, which is much higher than the level reported for individual stocks.S

14、horting ETFs has recently become very popular, but there is a lack of research regarding why short positions vary substantially among ETFs or whether the short position can serve as a useful signal for investors. Our objective is to identify the characteristics of ETFs that attract short sellers, an

15、d to determine whether the level of short interest in ETFs serves as an effective signal of bearish sentiment. Results of our study offer implications regarding the behavior of short sellers, how short sellers identify their targets, and whether the short interest level of ETFs serves as anindicator

16、 for investors.We find first that short interest is largest for sector-based ETFs, and smallest for international ETFs. Second, short interest is larger for ETFs that have a higher trading volume and a lower market capitalization. These results hold for the entire sample and for subsamples. Short in

17、terest is relatively low for ETFs representing indexes that have tradable derivatives, but relatively high for international ETFs representing indexes that have tradable derivatives. We also find that the level of short sales is a useful signal about the future performance of ETFs when assessing the

18、 entire sample. However, this is not the case when the analysis is partitioned by type of ETF.II. Related literature on short interestStudies have attempted to explain why some stocks attract more short sales than others. Brent et al. (1990) show that individual stocks with high betas and tradable o

19、ptions tend to have higher levels of short interest, which they argue, is consistent with arbitrage efforts. Dechow et al. (2001) find that short-sellers usually take their positions in overpriced stocks that have low fundamentals-to-price ratios, including cashflow-to-price, earnings-to-price, book

20、-to-market, and value-to-market, since these low ratios are predictive of future decline in stock prices.Some studies on short selling have assessed the characteristics of stock that appeal to short sellers. Angel et al. (2003) find that short sellers usually target the most volatile and actively tr

21、aded stocks. Their subsequent study in 2004 on short selling prior to firms earnings announcements further shows that short sellers are mostly interested in growth stocks and stocks with better past performance. Stocks with poor earnings quality are also attractive to short sellers. Since firms with

22、 a high level of operating accruals tend to have less persistent earnings, accruals can be used to identify mispriced stocks with poor earnings quality. Desai et al. (2004) find a strong and positive relationship between three different measures of accruals and changes in short interest.Many of the

23、studies on short selling test whether there is a relationship between the short interest level and subsequent stock price performance. Aitken et al. (1998) find that high levels of short interest precede weak performance for stocks in Australia. Desai et al. (2002) find that high levels of short int

24、erest precede negative abnormal returns for stocks traded on the NASDAQ market. Ackert and Athanassakos (2005) find that heavily shorted Canadian stocks perform poorly, which suggests that the short interest level serves as an effective signal. They suggest that the short interest level in the Canad

25、ian market may be a more effective indicator than the same wouldbe in the US market， because of fewer short-selling restrictions in the Canadian market. Chang et al. (2007) assess short-selling conditions in Hong Kong and find that short-selling constraints cause a greater degree of overreaction of

26、individual stocks.III.Test of relation between short interest and subsequen performance of the ETFsTo examine the relationship between short interest and subsequent performance of the ETFs, we test whether the trading strategies based on the previous short interest level result in abnormal gains. Th

27、e trading strategy involves two steps: (1) forming decile portfolios based on the previous short interest level, and (2) assessing how the decile portfolios perform in subsequent holding periods.The beginning of each month of the sample period is labeled the portfolio formation month T*. At the begi

28、nning of each portfolio formation month T*, we obtain the short interest ratio of the ETFs. We form 10 deciles of ETFs based on the short interest level of the ETFs.The decile portfolios are then assessed to determine their performance over a holding period. Since there is no single holding period t

29、hat perfectly fits all investors, we obtain the abnormal holding period returns on the ETFs in each decile for four different holding periods, starting in Quarter 1 (the quarter immediately following the portfolio formation process) and accumulating on a quarterly basis for three additional quarters

30、. Thus, our methodology assesses portfolios in overlapping holding periods, which is consistent with the method used by Jegadeesh and Titman (1993),Chan et al. (1996), Baytas and Cakici (1999), and Lee and Swaminathan (2000). Jegadeesh and Titman (1993) suggest that the use of overlapping periods in

31、creases the power of the statistical tests. However, we also employ a methodology that assesses the investment strategies in nonoverlapping periods as a robustness test. Specifically,at the beginning of each January and June, all ETFs are categorized into decile portfolios based on their previous sh

32、ort-selling level. These portfolios are then held for the next 6 months, after which the difference between the abnormal return of the lowest and highest deciles is determined for each nonoverlapping 6-month holding period and tested for significance. Since the results for nonoverlapping periods are

33、 very similar to those found for overlapping periods, they are not reported here.The abnormal holding period return is the difference between the ETF decile portfolio holding period return and a corresponding benchmark holding period return. The holding period returns (HPRs) for the ETFs are calcula

34、ted on a quarterly compounded basis. Dividends are accounted for in the calculation of quarterly returns. Market benchmark holding period returns, MHPR1 to MHPR4, are calculated in the same manner. MHPRs for broad-based and sector-based ETFs are calculated using the CRSP-equally-weighted index; MHPR

35、s for international ETFs are calculated using the MSCI World index extracted from the Datastream database.The abnormal holding period return (AHPRi) for each ETF is measured as the difference between HPRi and the corresponding MHPRi (where i = 1 to 4 quarters after T*). The average abnormal holding

36、period return (AAHPRi) is calculated for each decile portfolio by the following formula:where i indicates the number of quarters after T* (i = 1 to 4) and k indicates the number of ETFs in each decile portfolio (k = 1 to N). The profit from the trading strategy equals the difference between the aver

37、age abnormal holding period returns of the portfolio of ETFs representing the highest decile and those of the portfolio of ETFs representing the lowest decile. IV.Results of relationship between short interest and performance among ETFsResults from creating ETF portfolios according to the size of th

38、e short position each month are shown in Table 6; Panel A covers the entire sample, Panels B, C, and D cover the subsamples. For the entire sample, the difference in average abnormal holding period returns of deciles representing ETFs with the largest versus smallest short positions is negative and

39、significant when AAHPRi in three and four quarters after the portfolio formation month are considered. That is, the deciles with the largest short positions at the time of portfolio formation performed worse in thoseholding periods. For the sample of broad-based ETFs, the difference in average abnor

40、mal holding period returns between the deciles of the smallest and largest ETFs is insignificant, regardless of the length of the holding period, which is also true for the sector-based and international ETF portfolios. Thus, the significant differences in performance of deciles found for the entire

41、 sample vanish when isolating a particular type of ETF. This implies that the signal from a short position is more effective when assessing all ETFs as a group than when focusing on a particular type of ETF.V.ConclusionShort selling ETFs has increased in popularity in recent years and is now even mo

42、re popular than short selling stocks when measured in proportion to total shares outstanding. We attempt to determine (1) the characteristics that make some ETFs more attractive than others to short sellers, and (2) whether the short-sales level serves as a useful signal about future performance of

43、ETFs. Our analysis is focused on the entire sample of ETFs, but we also separately assess subsamples of ETFs classified as broad-based, sector-based, or international.First, short interest is unusually large for sector ETFs, and unusually small for international ETFs. Second, short interest is large

44、r for ETFs that have a higher trading volume. Third, short interest is large for ETFs with a lower market capitalization and a lower expense ratio (though this specific relationship with expense ratio only holds for the entire sample). The results for trading volume and market capitalization hold fo

45、r the entire sample and for all three subsamples. Fourth, short interest is relatively low for ETFs representing indexes that have tradable derivatives, but relatively high for international ETFs representing indexes that have tradable derivatives. Finally,we find that the level of short sales is a

46、useful signal about the future performance of ETFs when assessing the entire sample; however, it is not a useful signal about the future performance when the analysis is partitioned by type of ETF.畢業(yè)論文外文翻譯外文題目：SHORT INTEREST IN EXCHANGE-TRADED FUNDS出 處 SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH 作 者

47、：Jeff Madura · Thanh Ngo 譯 文：在交易型開放式基金中的賣空摘要： 賣空交易型開放式基金（ETFs）已經(jīng)成為投機或針對某個特定市場或行業(yè)的悲觀預(yù)期進(jìn)行對沖的常用手段，因為ETFs的賣空利息超過了個別股票平均水平的10倍。我們確定，以部門為基礎(chǔ)的ETFs有一個異常大的賣空利率水平，而國際ETF通常是一個非常小的利息水平。對具有更高交易量和市值較低的ETFs來說，賣空的利息水平是高的，也不需要顧及ETFs類型的評估。代表衍生品交易指數(shù)的ETFs的賣空利息水平是低的，但是，代表衍生品交易指數(shù)的國際ETFs的賣空利息水平是高的。我們判定，當(dāng)考慮了所有的ETFs時，它作

48、為了一種悲觀情緒的信號；當(dāng)隔離了任何特定類型的ETFs時，賣空利息不再是一個有效的信號了。關(guān)鍵詞：交易型開放式基金、買空、賣空一、引言：ETF是由專門的投資信托公司建立的證券投資組合。大部分ETFs代表了股票投資組合，依據(jù)他們模擬的索引類型不同，可分為廣義的、以部門為基礎(chǔ)的和國際的。他們不同于開放式基金，因為它們不斷在交易所買賣，并且可隨時購買或出售。當(dāng)被授權(quán)的參與者（如一位專家）獲得了股票組合并在保管銀行儲存，ETF就被創(chuàng)建了。作為回報，保管銀行會提供一些ETFs股份給被授權(quán)的參與者。這個過程被稱為實物交易。一旦ETF的股票提供給被授權(quán)的參與者，他們可以在證券交易所像股票一樣買賣。最近，一些

49、ETFs被設(shè)計的目的是為了反映固定收益資產(chǎn)。套利阻止了ETFs價格偏離資產(chǎn)凈值的價值，因此，可以限制誤差。ETF的投資組合與管理的相關(guān)費用都非常低。ETF可以賣空，就像股票一樣，因此，它提供了一種手段，使市場參與者可以基于對一個特定的市場或行業(yè)的悲觀預(yù)期推測或?qū)_。然而，他們必須從經(jīng)紀(jì)公司借入ETFs才可以做空。機構(gòu)投資者更容易借到ETFs,并在賣空過程中扮演了一個最普遍的角色。抵押品必須在經(jīng)紀(jì)公司公布，它可以是現(xiàn)金或國庫券。所要求的抵押物的最低金額為交易的50，但一些經(jīng)紀(jì)公司要求更高的比例。不像股票，ETFs可以在價格上升中賣空。雖然賣空者通常不會被收取賣空ETFs的確定費用，但當(dāng)拿出現(xiàn)金作

50、為擔(dān)保時，也承擔(dān)了機會成本。封閉式基金也可做空，但他們受到價格差異的影響，因為它們相對其凈資產(chǎn)值的價格可能含有明顯的折價或溢價（見Pontiff 1995年、1997年）。這個折扣和溢價隨時間而變化，并可能抵消來自于股票賣空期間發(fā)生的凈資產(chǎn)價值變化的任何利益。此外，許多封閉式基金的交易量是有限的，這可能使抵消賣空頭寸的費用是昂貴的。因此，ETFs可以有效地用于對抗特定市場和行業(yè)。ETF份額的出售代表了大約占已發(fā)行股份的19%高于被報道的個別股票水平。做空的ETFs最近變得非常流行，但是關(guān)于為什么賣空頭寸會變化和是否賣空頭寸作為投資者的有用信號缺乏研究。我們的目的是確定吸引空頭的ETFs的特征，

51、并確定是否在ETFs中的賣空利息作為悲觀情緒的有效信號。我們研究的結(jié)果提供了關(guān)于做空行為、做空者如何確定他們的目標(biāo)以及ETFs的賣空利息水平是否作為投資者的指示等的有關(guān)影響。我們發(fā)現(xiàn)：第一，對以部門為基礎(chǔ)的ETFs，賣空利息是最大的；對國際的ETFs賣空利息是最小的。第二，對有高交易量和市值較低的ETFs的賣空利息是較高的。這些結(jié)論是基于所有的樣本的。代表衍生品交易指數(shù)的ETFs的賣空利息是相對低的，但是代表衍生品交易指數(shù)的國際ETFs的賣空利息相對較高.我們還發(fā)現(xiàn)，當(dāng)評估所有樣本時，買空水平是一個關(guān)于ETFs將來表現(xiàn)的有用的信號。然而，當(dāng)分析結(jié)果根據(jù)ETF的類型劃分時，情況并不是如此。二、做

52、空利息的相關(guān)文獻(xiàn)這些研究試圖解釋為什么一些股票比另一些股票更吸引做空者。Brent et al. (1990)顯示，高貝塔值和流通的個股偏向于高的賣空利息水平，他們認(rèn)為，這與套利是一致的。Dechow et al. (2001)發(fā)現(xiàn)，賣空者通常持有股票價格過高的頭寸，這些股票的基本價格比率低，包括現(xiàn)金流與價格的比率、收益價格比、賬面市值、市場價值。因為這些低比率可以預(yù)測未來股票價格的下降。一些關(guān)于做空的研究評估了吸引空頭的股票的特征。Angel et al. (2003)發(fā)現(xiàn)賣空者以最不穩(wěn)定和交易活躍的股票為目標(biāo)。他隨后在2004年關(guān)于公司將來的盈利公告的研究中顯示了賣空者最感興趣的是成長型股

53、票和過去表現(xiàn)良好的股票。收益較差的股票也吸引了做空者。由于使用高層次管理水平的公司往往持續(xù)收入較低，預(yù)提費用可以用于識別收益差的被錯誤定價的股票。Desai et al. (2004)發(fā)現(xiàn)賣空利息應(yīng)計項目的三種措施和它的變更之間存在強有力的和積極的關(guān)系。賣空的許多研究探討了賣空利息水平和股票價格表現(xiàn)之間是否存在關(guān)系。Aitken et al. (1998)發(fā)現(xiàn)，在澳大利亞，高賣空利息水平的股票優(yōu)于表現(xiàn)不佳的股票。Desai et al. (2002)發(fā)現(xiàn)在納斯達(dá)克市場上高賣空利息水平的股票優(yōu)于有負(fù)的異?；貓蟮墓善?。Ackert 和 Athanassakos (2005)發(fā)現(xiàn)被嚴(yán)重拋空的表現(xiàn)不佳加拿大股票表明，賣空利息水平可以提供一個有效的信號。他們認(rèn)為，與在美國市場上的同樣的股票相比，在加拿大的賣空利息水平是一個更有效的指標(biāo)，因為加拿大市場的限制較少。. Chang et al. (2007)評估了在香港的賣空條件，發(fā)現(xiàn)賣空限制引起了了個別股票的