金融专业外文翻译---在交易型开放式基金中的卖空

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1、 毕业论文外文翻译 外文题目 ： SHORT INTEREST IN EXCHANGE-TRADED FUNDS 出 处 SWISS SOCIETY FOR FINANCIAL MARKET RESEARCH 作 者 ： Jeff Madura Thanh Ngo 原 文： SHORT INTEREST IN EXCHANGE-TRADED FUNDS Abstract Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pes

2、simistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. We determine that sector-based ETFs have an abnormally large short interest level, whereas international ETFs have an unusually small short interest lev

3、el. The level of short interest is larger for ETFs that have a higher trading volume and a lower market capitalization, regardless of the type of ETF assessed. The level of short interest is lower for ETFs representing indexes that have tradable derivatives, but higher for international ETFs represe

4、nting indexes that have tradable derivatives. We also determine that the level of short interest in an ETF serves as an effective signal of bearish sentiment when considering all ETFs, but is not an effective signal when isolating any particular type of ETF. Keywords :Exchange-traded funds Short sal

5、es Short selling I. INTRODUCTION An ETF is a specialized investment trust that is created to mirror a specificed portfolio of securities. Most ETFs represent portfolios of stocks and can be classified as broad-based, sector-based, or international, depending on the type of index they mimic. They dif

6、fer from open-end index mutual funds in that they are traded continuously on an exchange and can be purchased or sold any time the market is open. These ETFs are created when an authorized participant (such as a specialist) obtains the portfolio of stocks and stores the stocks at a custodial bank. I

7、n return, the custodial bank provides shares of ETFs to the authorized participant. This process is referred to as in-kind trading. Once the ETF shares are provided to the authorized participant, they can be traded on stock exchanges just like stocks. More recently, some ETFs have been designed to m

8、irror fixed-income assets. Arbitrage prevents the price of the ETF from deviating significantly from the net asset value and, therefore, limits tracking error. The expenses of ETFs associated with managing the portfolio are very low. ETFs can be shorted, just like stocks and, therefore, provide a me

9、ans by which market participants can speculate or hedge based on pessimistic expectations about a specific market or sector.However, EFTs must be borrowed from brokerage firms before they can be sold short. Institutional investors have easier access to borrowing ETFs, and also tend to be more common

10、 players in the short-selling process. Collateral must be posted with the brokerage firm, which can be in cash or Treasury bills. The minimum amount of collateral required is 50% of the transaction, but some brokerage firms require a higher percentage. Unlike stocks, ETFs can be shorted on an uptick

11、. Although short sellers are not normally charged an explicit fee for shorting ETFs, they incur an opportunity cost when posting cash as collateral. Closed-end funds can also be shorted, but they are subject to pricing discrepancies because their prices may contain pronounced discounts or premiums r

12、elative to their net asset value (see Pontiff 1995, 1997). The discounts or premiums can change over time and possibly offset any benefits from a change in the net asset value that occurs during the period during which the shares are shorted. In addition, the trading volume of many closed-end funds

13、is limited, which could make it costly to offset a short position. Thus, ETFs can be more effectively used to bet against a specific market or sector. ETF shares sold represent about 19% of total outstanding shares on average, which is much higher than the level reported for individual stocks. Short

14、ing ETFs has recently become very popular, but there is a lack of research regarding why short positions vary substantially among ETFs or whether the short position can serve as a useful signal for investors. Our objective is to identify the characteristics of ETFs that attract short sellers, and to

15、 determine whether the level of short interest in ETFs serves as an effective signal of bearish sentiment. Results of our study offer implications regarding the behavior of short sellers, how short sellers identify their targets, and whether the short interest level of ETFs serves as an indicator fo

16、r investors. We find first that short interest is largest for sector-based ETFs, and smallest for international ETFs. Second, short interest is larger for ETFs that have a higher trading volume and a lower market capitalization. These results hold for the entire sample and for subsamples. Short inte

17、rest is relatively low for ETFs representing indexes that have tradable derivatives, but relatively high for international ETFs representing indexes that have tradable derivatives. We also find that the level of short sales is a useful signal about the future performance of ETFs when assessing the e

18、ntire sample. However, this is not the case when the analysis is partitioned by type of ETF. II. Related literature on short interest Studies have attempted to explain why some stocks attract more short sales than others. Brent et al. (1990) show that individual stocks with high betas and tradable o

19、ptions tend to have higher levels of short interest, which they argue, is consistent with arbitrage efforts. Dechow et al. (2001) find that short-sellers usually take their positions in overpriced stocks that have low fundamentals-to-price ratios, including cashflow-to-price, earnings-to-price, book

20、-to-market, and value-to-market, since these low ratios are predictive of future decline in stock prices. Some studies on short selling have assessed the characteristics of stock that appeal to short sellers. Angel et al. (2003) find that short sellers usually target the most volatile and actively t

21、raded stocks. Their subsequent study in 2004 on short selling prior to firms earnings announcements further shows that short sellers are mostly interested in growth stocks and stocks with better past performance. Stocks with poor earnings quality are also attractive to short sellers. Since firms wit

22、h a high level of operating accruals tend to have less persistent earnings, accruals can be used to identify mispriced stocks with poor earnings quality. Desai et al. (2004) find a strong and positive relationship between three different measures of accruals and changes in short interest. Many of the studies on short selling test whether there is a relationship between