Short-sellers, fundamental analysis, and stock returns

• 成果类型: Article
• 署名作者: Dechow, PM; Hutton, AP; Meulbroek, L; Sloan, RG
• 署名单位: University of Michigan System; University of Michigan; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00056-3
• 发表日期: 2001
• 页码: 77-106
• 关键词: SHORT-SELLERS; Fundamental analysis; trading strategies

摘要

Firms with low ratios of fundamentals (such as earning and book values) to market values are known to have systematically lower future stock returns. We document that short-sellers position themselves in the stock of such firms, and then cover their positions as the ratios mean-revert. We also show that short-sellers refine their trading strategies to minimize transactions costs and maximize their investment returns. Our evidence is consistent with short-sellers using information in these ratios to take positions in stocks with lower expected future returns. (C) 2001 Elsevier Science S.A. All rights reserved.