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AAK - Acta academica karviniensia

číslo 2016/2
WHAT MAKES INVESTORS SHORT SELL ETFs?
[Proč investoři shortují ETFs?]
ISSN:
1212-415X (Print)
2533-7610 (Online)
Year [Rok]:
2016
Volume [Ročník]:
XVI
Issue [Číslo]:
2
Authors [Autoři]:
Dagmar Linnertová, Oleg Deev
Abstract [Abstrakt]:
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.
Keywords [Klíčová slova]:
abnormal returns, exchange-traded funds, short sale
JEL classification [JEL klasifikace]:
G10, G14
Page range [Rozpětí stran]:
16 - 27
Full version [Plná verze]: