Manacled short sellers and return premium: New evidence
研究香港市场卖空监管，发现可卖空股票平均回报更高，但卖空因子预测未来负回报溢价，并用行为模型解释。
Abstract Investigating the short‐selling regulation of the Hong Kong market, we document that shortable stocks, on average, earn significantly higher returns than non‐shortable stocks. However, loadings of stocks/portfolios on the shortable minus non‐shortable misvaluation factor SMN predict a significant negative return premium in the cross‐section of returns. We measure SMN by applying both value‐ and return‐weighted methods with various time lags. We propose a behavioural model to rationalize our results. The model shows that, if investors are overconfident regarding short‐selling regulatory factor signals, it is possible to detect a positive average/abnormal return but a negative future return premium on SMN .