在交易型开放式基金中的卖空

1、毕业论文外文翻译外文题目：SHORT INTEREST IN EXCHANGE-TRADED FUNDS出 处 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.毕业论文外文翻译外文题目：SHORT INTEREST IN EXCHANGE-TRADED FUNDS出 处 SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH 作 者

47、：Jeff Madura · Thanh Ngo 译 文：在交易型开放式基金中的卖空摘要： 卖空交易型开放式基金（ETFs）已经成为投机或针对某个特定市场或行业的悲观预期进行对冲的常用手段，因为ETFs的卖空利息超过了个别股票平均水平的10倍。我们确定，以部门为基础的ETFs有一个异常大的卖空利率水平，而国际ETF通常是一个非常小的利息水平。对具有更高交易量和市值较低的ETFs来说，卖空的利息水平是高的，也不需要顾及ETFs类型的评估。代表衍生品交易指数的ETFs的卖空利息水平是低的，但是，代表衍生品交易指数的国际ETFs的卖空利息水平是高的。我们判定，当考虑了所有的ETFs时，它作

48、为了一种悲观情绪的信号；当隔离了任何特定类型的ETFs时，卖空利息不再是一个有效的信号了。关键词：交易型开放式基金、买空、卖空一、引言：ETF是由专门的投资信托公司建立的证券投资组合。大部分ETFs代表了股票投资组合，依据他们模拟的索引类型不同，可分为广义的、以部门为基础的和国际的。他们不同于开放式基金，因为它们不断在交易所买卖，并且可随时购买或出售。当被授权的参与者（如一位专家）获得了股票组合并在保管银行储存，ETF就被创建了。作为回报，保管银行会提供一些ETFs股份给被授权的参与者。这个过程被称为实物交易。一旦ETF的股票提供给被授权的参与者，他们可以在证券交易所像股票一样买卖。最近，一些

49、ETFs被设计的目的是为了反映固定收益资产。套利阻止了ETFs价格偏离资产净值的价值，因此，可以限制误差。ETF的投资组合与管理的相关费用都非常低。ETF可以卖空，就像股票一样，因此，它提供了一种手段，使市场参与者可以基于对一个特定的市场或行业的悲观预期推测或对冲。然而，他们必须从经纪公司借入ETFs才可以做空。机构投资者更容易借到ETFs,并在卖空过程中扮演了一个最普遍的角色。抵押品必须在经纪公司公布，它可以是现金或国库券。所要求的抵押物的最低金额为交易的50，但一些经纪公司要求更高的比例。不像股票，ETFs可以在价格上升中卖空。虽然卖空者通常不会被收取卖空ETFs的确定费用，但当拿出现金作

50、为担保时，也承担了机会成本。封闭式基金也可做空，但他们受到价格差异的影响，因为它们相对其净资产值的价格可能含有明显的折价或溢价（见Pontiff 1995年、1997年）。这个折扣和溢价随时间而变化，并可能抵消来自于股票卖空期间发生的净资产价值变化的任何利益。此外，许多封闭式基金的交易量是有限的，这可能使抵消卖空头寸的费用是昂贵的。因此，ETFs可以有效地用于对抗特定市场和行业。ETF份额的出售代表了大约占已发行股份的19%高于被报道的个别股票水平。做空的ETFs最近变得非常流行，但是关于为什么卖空头寸会变化和是否卖空头寸作为投资者的有用信号缺乏研究。我们的目的是确定吸引空头的ETFs的特征，

51、并确定是否在ETFs中的卖空利息作为悲观情绪的有效信号。我们研究的结果提供了关于做空行为、做空者如何确定他们的目标以及ETFs的卖空利息水平是否作为投资者的指示等的有关影响。我们发现：第一，对以部门为基础的ETFs，卖空利息是最大的；对国际的ETFs卖空利息是最小的。第二，对有高交易量和市值较低的ETFs的卖空利息是较高的。这些结论是基于所有的样本的。代表衍生品交易指数的ETFs的卖空利息是相对低的，但是代表衍生品交易指数的国际ETFs的卖空利息相对较高.我们还发现，当评估所有样本时，买空水平是一个关于ETFs将来表现的有用的信号。然而，当分析结果根据ETF的类型划分时，情况并不是如此。二、做

52、空利息的相关文献这些研究试图解释为什么一些股票比另一些股票更吸引做空者。Brent et al. (1990)显示，高贝塔值和流通的个股偏向于高的卖空利息水平，他们认为，这与套利是一致的。Dechow et al. (2001)发现，卖空者通常持有股票价格过高的头寸，这些股票的基本价格比率低，包括现金流与价格的比率、收益价格比、账面市值、市场价值。因为这些低比率可以预测未来股票价格的下降。一些关于做空的研究评估了吸引空头的股票的特征。Angel et al. (2003)发现卖空者以最不稳定和交易活跃的股票为目标。他随后在2004年关于公司将来的盈利公告的研究中显示了卖空者最感兴趣的是成长型股

53、票和过去表现良好的股票。收益较差的股票也吸引了做空者。由于使用高层次管理水平的公司往往持续收入较低，预提费用可以用于识别收益差的被错误定价的股票。Desai et al. (2004)发现卖空利息应计项目的三种措施和它的变更之间存在强有力的和积极的关系。卖空的许多研究探讨了卖空利息水平和股票价格表现之间是否存在关系。Aitken et al. (1998)发现，在澳大利亚，高卖空利息水平的股票优于表现不佳的股票。Desai et al. (2002)发现在纳斯达克市场上高卖空利息水平的股票优于有负的异常回报的股票。Ackert 和 Athanassakos (2005)发现被严重抛空的表现不佳加拿大股票表明，卖空利息水平可以提供一个有效的信号。他们认为，与在美国市场上的同样的股票相比，在加拿大的卖空利息水平是一个更有效的指标，因为加拿大市场的限制较少。. Chang et al. (2007)评估了在香港的卖空条件，发现卖空限制引起了了个别股票的