Do arbitrageurs amplify economic shocks?

• 成果类型: Article
• 署名作者: Hong, Harrison; Kubik, Jeffrey D.; Fishman, Tal
• 署名单位: Princeton University; Syracuse University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.10.007
• 发表日期: 2012
• 页码: 454-470
• 关键词: Shorting; Short covering; leverage; Destabilizing arbitrage

摘要

We test the hypothesis that arbitrageurs amplify economic shocks in equity markets. The ability of speculators to hold short positions depends on asset values. Shorts are often reduced following good news about a stock. Therefore, the prices of highly shorted stocks are excessively sensitive to shocks compared with stocks with little short interest. We confirm this hypothesis using several empirical strategies including two quasi-experiments. In particular, we establish that the price of highly shorted stocks overshoots after good earnings news due to short covering compared with other stocks. (C) 2011 Elsevier B.V. All rights reserved.