What makes investors short sell ETFs?

Název česky Proč investoři shortují ETFs?
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LINNERTOVÁ Dagmar DEEV Oleg

Rok publikování 2016
Druh Článek v odborném periodiku
Časopis / Zdroj Acta academica karviniensia
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www http://www.slu.cz/opf/cz/informace/acta-academica-karviniensia/casopisy-aak/aak-rocnik-2016/docs-2-2016/Linnertova_Deev.pdf
Obor Řízení, správa a administrativa
Klíčová slova abnormal returns; exchange-traded funds; short sale
Popis Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. The study determines the specific characteristics of globally available ETFs, which influence the level of short interest (such as trading volume, price stability, market capitalization, expense ratio, geographical focus, investment strategy and the availability of derivatives for the underlying index), and tests three most common short sale motivation hypotheses (overpricing, arbitrage and hedging and transaction costs). Using the monthly short interest ratio and the characteristics of ETFs traded in the US market, empirical evidence to support all three short sale motivation hypotheses is provided. The possibility of achieving abnormal returns based on previous levels of short sale is also tested.
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