資訊不對稱性、資訊不確定性對公司被放空程度之影響

The relationship between information asymmetry, information uncertainty and short-selling.

林裕庭(Yu-Ting Lin)

指導教授 ： 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201801233

摘要

先前已有許多文獻資料證實，當放空量增加時公司未來預期表現會顯著較差(見Senchack and Starks (1993) ; Asquith et al. (2005) ; Boehmer et al. (2008))，進而推論出放空者有著某種程度上的資訊優勢。而Engelberg et al. (2012) 則發現放空交易者其交易優勢來自於他們擁有對公開發布資訊更佳的解讀能力。本研究利用Lu et al. (2010)研究中之四種資訊不對稱衡量因子 (PIN, ADJPIN, PSOS, OI) 發現一間公司其資訊不對稱性越高，放空交易者們的優易資訊解讀能力就更能被彰顯，因此公司將更容易遭受到大幅的放空衝擊。此外本研究也利用Lu et al. (2010)研究中之四種資訊不確定性衡量因子 (firm age, AQ, disp, nanal)，發現即使資訊不確定性可能會削弱放空者們的資訊解讀能力，但隨著更大的獲利空間以及放空者追求風險的交易習性，會使得公司資訊不確定性越高，放空者也會更有意願將其作為放空交易標的。

關鍵字

放空 ； 放空量 ； 放空未平倉餘額 ； 資訊不對稱 ； 資訊不確定

並列摘要

Previous studies show that short sellers are informed traders. When short interests are high, future returns are predictably low (see, e.g. Senchack and Starks (1993); Asquith et al. (2005); Boehmer et al. (2008)). Engelberg et al. (2012) find that a substantial portion of short sellers’ trading advantage comes from their ability to analyze publicly available information. This study employs four proxies from Lu et al. (2010) and finds that companies’ degree of information asymmetry has positive relation with the degree of short-selling. As the degree of information asymmetry increases, a company tends to be more attractive to short-sellers whose trading advantages become more effective. Moreover, we use four information uncertainty proxies from Lu et al. (2010) and find similar effect between information uncertainty and degree of short selling. The result indicates that although information uncertainty would undermine their ability to analyze publicly available information, the greater profitability makes short sellers more aggressive.

並列關鍵字

short-selling ； short volume ； short interest ； information asymmetry ； information uncertainty

參考文獻

參考文獻

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Asquith, Paul, Parag A. Pathak, and Jay R. Ritter. "Short interest, institutional ownership, and stock returns." Journal of Financial Economics 78.2 (2005): 243-276.