登入選單

返回Google圖書搜尋

Short Sales, Institutional Investors, and the Book-to-Market Effect

Stefan Nagel

出版	SSRN, 2003
URL	http://books.google.com.hk/books?id=5ynFzgEACAAJ&hl=&source=gbs_api

註釋

When institutional ownership is low, stock loan supply tends to be sparse, and short-sale constraints are thus more likely to bind. This paper shows that the book-to-market (B/M) effect is concentrated among such difficult-to-short stocks: Holding size fixed, returns of low B/M stocks decline sharply with lower institutional ownership. Moreover, the underperformance of low B/M stocks is less pronounced among stocks held by passive investors with large stock lending programs. Finally, return predictability effects attributed to short-sale constraints in prior research (breadth of ownership effect; loser momentum) are most evident among stocks with low B/M and low institutional ownership. These findings suggest that overpricing of costly-to-short low B/M stocks rather than risk factor exposure generates much of the book-to-market effect in stock returns.