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Aggregate Short Selling Commonality And Stock Market Returns
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Book Synopsis Aggregate Short Selling, Commonality, and Stock Market Returns by : Andrew A. Lynch
Download or read book Aggregate Short Selling, Commonality, and Stock Market Returns written by Andrew A. Lynch and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated with a decrease in market excess return by up to 36 bps over the following 10 trading days (9% annualized). In addition, we find modest evidence that short sellers are informed about future aggregate earnings news, macroeconomic news, and investor sentiment. Overall, our results are consistent with short sellers possessing superior short-term market-wide information.
Download or read book Short Selling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2004-11-17 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest theoretical and empirical evidence on short selling in the United States and throughout the world To get the most success out of what the finance community regards as a risky business, short sellers need high-level information. The Theory and Practice of Short Selling offers managers and investors the information they need to maximize and enhance their short selling capabilities for bigger profits. Frank Fabozzi collects a group of market experts who share their knowledge on everything from the basics to the complex in the world of short sales, including mechanics of short selling, the empirical evidence on short-selling, the implications or restrictions on short selling for investment strategies, short-selling strategies pursued by institutional investors, and identifying short-selling candidates. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and Editor of the Journal of Portfolio Management. He is the author or editor of over 100 books on finance and investing.
Author :Patricia M. Deshow, Amy P. Hutton, Lisa Meulbroek, and Richard G. Sloan Publisher : ISBN 13 : Total Pages :39 pages Book Rating :4.L/5 ( download)
Book Synopsis Short-sellers, Fundamental Analysis, and Stock Returns by : Patricia M. Deshow, Amy P. Hutton, Lisa Meulbroek, and Richard G. Sloan
Download or read book Short-sellers, Fundamental Analysis, and Stock Returns written by Patricia M. Deshow, Amy P. Hutton, Lisa Meulbroek, and Richard G. Sloan and published by . This book was released on 2001 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Short Selling written by Amit Kumar and published by Columbia University Press. This book was released on 2015-12-08 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: When an investor believes a stock is overvalued and will soon drop in price, he might decide to "short" it. First, he borrows an amount of the stock, and then sells it. He waits for the stock to tank before buying back the same amount of shares at a deflated price. After returning the shares to his lender, he pockets the difference—unless any one of several hard-to-predict variables interferes, and the stock fails to drop. Since these variables are so hard to predict, short selling is difficult for even seasoned investors. It takes great talent and experience to isolate the best short ideas for falling stocks—skills Amit Kumar developed and honed over decades of market analysis and trading. This book shares his short-selling framework, built on themes common to falling stocks and the market's endemic strengths and cycles. Featuring key case studies and exclusive interviews with successful fund managers Bill Ackman (Pershing Square Capital Management) and Mark Roberts (Off Wall Street Consulting Group), Kumar shows investors how to avoid traps and profit from well-researched short ideas. Investors may not always act on short ideas, but they can avoid losses by using Kumar's framework to identify overvalued stocks. Professionals and amateur investors alike will benefit from this fundamental research approach, which transforms short selling into a long-term strategy.
Book Synopsis Short Stories from the Stock Market by : Amit Kumar
Download or read book Short Stories from the Stock Market written by Amit Kumar and published by CreateSpace. This book was released on 2013-09-28 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: Please pre-order the first edition with Columbia University Press: http: //www.amazon.com/Short-Selling-Uncommon-Columbia-Publishing/dp/0231172249/ Short selling has been around since the 1600s when exchange-based trading began in Amsterdam; however, books on short selling are few and far between. Short Stories from the Stock Market presents a short selling framework that uncovers common themes behind falling stocks in order to find uncommon short ideas. The book provides a research framework for individual and professional investors, finance students and professors, stock market reporters, and other stock enthusiasts to find uncommon short ideas and avoid common traps and hot stocks. Investors and professional analysts will find this book useful to uncover and pitch new short ideas.
Book Synopsis Predictive Power of Aggregate Short Interest by : Eric Jinsan Yu
Download or read book Predictive Power of Aggregate Short Interest written by Eric Jinsan Yu and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The short sale of a stock is motivated by financial profits an investor expects to gain from declining stock prices. Short interest, defined as the proportion of shares shorted to all outstanding shares for a given stock, is found to contain information useful for predicting the future of the economy when aggregated for the US. While the variation in short interest at the stock level may be dominated by stock-specific expectations, the variation in an aggregate measure of short interest across a broad sample of stocks seems to reflect the changing expectations of market wide events. When I examine the US data from 1973 to 2013, I find that the aggregate short interest is a statistically significant predictor of cyclical variations in GDP, cyclical contractions and recessions over and beyond the financial variables already used as predictors.
Download or read book The Bear Book written by John Rothchild and published by John Wiley & Sons. This book was released on 1998-04-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: October 28, 1997. The Dow drops 500 points. Investors the world over receive a startling reminder that "what goes up, must come down." It is a profoundly unsettling experience for those of us who have either forgotten or have never known the experience of a bear market. Half of the money invested in U.S. stocks in this century entered the market from 1991-1996, making the dark days of October memorable for their bloodletting. Overall, this was just a scratch, and despite the optimism of so many investors, history has shown that the bear attacks time and time again. John Rothchild, critically acclaimed author of the bestselling A Fool and His Money, isn't even afraid to face a full-fledged bear market. In his topical and timely new book, Rothchild reveals how to prepare psychologically and tactically for the looming debacle. Breaking from the pack of investment books which tacitly assume a bull market, The Bear Book focuses on protecting assets and minimizing losses during a bear market and on taking advantage of unique opportunities for profit. With customary flair and style, Rothchild chronicles the long history of bear markets, exploring in detail exactly what constitutes a bear market and how it affects us. Along with his own expertise, the author draws on respected and knowledgeable names such as Jim Rogers, Jim Grant, and Martin Zweig, among a host of prominent investment advisors, strategists, and fund managers. The result is a comprehensive chronicle that deftly and definitively fills the "bearish information gap." John Rothchild's masterful penchant for blending wit, good storytelling, and sound investment analysis makes The Bear Book both informative and vastly entertaining. He distinguishes the characteristics of past bear markets, examining what triggered them, how long they lasted-and why. He probes the unique psychology of bearish investing, concentrating on which types of investments generally do well during a downturn in the market. His often surprising answers to some straightforward, no-nonsense questions clarify, among other key issues, what can happen to mutual funds in a bear market, and exactly what the dangers are of selling short. Of critical importance is Rothchild's overview of the alternatives to stocks, including gold, bonds, and money market funds, as well as tips on what stocks to buy when the market starts to turn bullish again. For historical perspective, The Bear Book also includes a unique and eye-opening account of the Crash of '29 and its survivors. Profiles of prominent bearish investors-Roy Neuberger and Philip Carret, among them-contain illuminating long-term perspectives on the ups and downs of the stock market over the past fifty to seventy-five years. A bracing tonic for investors at all levels of experience, The Bear Book offers a veritable blueprint of the various stages of a typical bear market. It will prove invaluable to those of us who wish to protect our savings -and peace of mind -whenever the market drops.
Book Synopsis Short Selling Activities and Convertible Bond Arbitrage by : Sebastian P. Werner
Download or read book Short Selling Activities and Convertible Bond Arbitrage written by Sebastian P. Werner and published by Springer Science & Business Media. This book was released on 2010-12-01 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sebastian Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a significant short position in the underlying stock of a long convertible bond position for hedging purposes. He provides insightful and new observations of the significant difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation-based short selling activities.
Book Synopsis Econometric Issues in the Analysis of Regressions with Generated Regressors by : Adrian Rodney Pagan
Download or read book Econometric Issues in the Analysis of Regressions with Generated Regressors written by Adrian Rodney Pagan and published by . This book was released on 1983 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Average Correlation and Stock Market Returns by : Joshua Matthew Pollet
Download or read book Average Correlation and Stock Market Returns written by Joshua Matthew Pollet and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: If the Roll critique is important, changes in the variance of the stock market may be only weakly related to changes in aggregate risk and subsequent stock market excess returns. However, since individual stock returns share a common sensitivity to true market return shocks, higher aggregate risk can be revealed by higher correlation between stocks. In addition, a change in stock market variance that leaves aggregate risk unchanged can have a zero or even negative effect on the stock market risk premium. We show that the average correlation between daily stock returns predicts subsequent quarterly stock market excess returns. We also show that changes in stock market risk holding average correlation constant can be interpreted as changes in the average variance of individual stocks. Such changes have a negative relation with future stock market excess returns.
Book Synopsis Liquidity, Markets and Trading in Action by : Deniz Ozenbas
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Book Synopsis An Introduction to Risk and Return from Common Stocks by : Richard A. Brealey
Download or read book An Introduction to Risk and Return from Common Stocks written by Richard A. Brealey and published by MIT Press (MA). This book was released on 1969 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quantitative Momentum by : Wesley R. Gray
Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.
Book Synopsis Capital Structure and Corporate Financing Decisions by : H. Kent Baker
Download or read book Capital Structure and Corporate Financing Decisions written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2011-03-31 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to making better capital structure and corporate financing decisions in today's dynamic business environment Given the dramatic changes that have recently occurred in the economy, the topic of capital structure and corporate financing decisions is critically important. The fact is that firms need to constantly revisit their portfolio of debt, equity, and hybrid securities to finance assets, operations, and future growth. Capital Structure and Corporate Financing Decisions provides an in-depth examination of critical capital structure topics, including discussions of basic capital structure components, key theories and practices, and practical application in an increasingly complex corporate world. Throughout, the book emphasizes how a sound capital structure simultaneously minimizes the firm's cost of capital and maximizes the value to shareholders. Offers a strategic focus that allows you to understand how financing decisions relates to a firm's overall corporate policy Consists of contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Contains information from survey research describing actual financial practices of firms This valuable resource takes a practical approach to capital structure by discussing why various theories make sense and how firms use them to solve problems and create wealth. In the wake of the recent financial crisis, the insights found here are essential to excelling in today's volatile business environment.
Download or read book The Journal of Finance written by and published by . This book was released on 1973 with total page 990 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publishes across all the major fields of financial research. The most widely cited academic journal on finance and one of the most widely cited journals in economics as well.
Book Synopsis Retail Short Selling and Stock Prices by : Eric K. Kelley
Download or read book Retail Short Selling and Stock Prices written by Eric K. Kelley and published by . This book was released on 2016 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. A portfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail short selling lasts for one year and is not subsumed by institutional short selling. In contrast to institutional shorting, retail shorting best predicts returns in small stocks and those that are heavily bought by other retail investors. Our findings are consistent with retail short sellers having unique insights into the retail investor community and small firms' fundamentals.
Book Synopsis Three Essays on Naked Short Selling and Fails-to-deliver by : John W. Welborn
Download or read book Three Essays on Naked Short Selling and Fails-to-deliver written by John W. Welborn and published by . This book was released on 2013 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of four chapters that investigate the causes and consequences of fails-to-deliver (FTDs) in U.S. stock markets. In Chapter 1, I present a brief history of U.S. trade settlement institutions. In Chapter 2, I analyze the effects of eliminating a market making exception to timely close-out requirements on FTDs and stock borrow rates. In Chapter 3, I show that amendments to SEC short sale rules reduced common stock FTDs but did not prevent large and persistent FTD positions in exchange-traded funds (ETFs). Further, positive changes to ETF FTDs Granger-cause higher market index volatility. In Chapter 4, I find that high FTD stocks experience abnormal negative returns, and thus high FTDs indicate a nonbinding short sale constraint. In Chapter 2, I investigate the consequences of eliminating the Options Market Maker Exception to SEC Regulation SHO (the "Exception"). Until 2008, options market makers that engaged in bona fide market making were exempt from locate and certain close-out requirements for short sales. The Exception applied only to short sales that qualified as bona fide hedges of options positions that were established before a stock went on the Regulation SHO Threshold List. I test the hypothesis that eliminating the Exception reduced the incentive to naked short sell stocks through the options market. I compare data from the second and fourth quarters of 2008. Consistent with my predictions, I find that eliminating the Exception led to fewer FTDs and higher stock borrow rates for optionable stocks as compared to non-optionable stocks. Further, removing the Exception reduced optionable stock FTDs when the price of borrowing stock was high. Finally, options market trading volume declined after the Exception was eliminated. In Chapter 3, I investigate the determinants of ETF FTDs. ETF trading volumes have increased over the last decade, and so have unsettled ETF trades at the clearing corporation. ETF FTDs are large and persistent despite SEC rules that require timely close-out. I document positive relationships between ETF FTDs and short sale volume, stock borrow costs, put option open interest, and quarterly index options expiration ("triple witching") dates. These findings are consistent with the hypothesis that market makers fail to deliver to avoid borrowing costs associated with short sales. I also document a positive relationship between short sale demand and changes to ETF shares outstanding. I then find that positive changes in aggregate ETF FTDs Granger-cause higher market index volatility. This is because market makers are required to buy or borrow stock to close-out ETF FTD positions by trade date plus six days ("T+6"). In Chapter 4, I analyze the relationship between high FTDs and stock returns. The academic short sale literature views FTDs as evidence of binding stock lending constraints, and stocks with FTDs may be overpriced because short interest is below equilibrium levels. Conversely, high short interest stocks with nonbinding short sale constraints experience abnormal negative returns. This is because informed short sellers are willing to pay extra to short. I find that high FTD stocks from the Russell 3000 Index experienced abnormal negative returns from 2004 through 2008. I obtain this result in both an event study and a portfolio returns analysis using Fama-French factors. Thus, high FTDs are evidence of a nonbinding short sale constraint that does not restrict informed short selling because high FTD stocks, similar to high short interest stocks, experience abnormal negative returns. While this research does not determine whether FTDs depress stock prices, it demonstrates that high FTD stocks are not overpriced. Additional support for this finding comes from the fact that short interest and FTDs are highly correlated.
