| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21166 |
| 来源ID | Working Paper 21166 |
| Days to Cover and Stock Returns | |
| Harrison Hong; Weikai Li; Sophie X. Ni; Jose A. Scheinkman; Philip Yan | |
| 发表日期 | 2015-05-18 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | The short ratio - shares shorted to shares outstanding - is an oft-used measure of arbitrageurs’ opinion about a stock’s over-valuation. We show that days-to-cover (DTC), which divides a stock’s short ratio by its average daily share turnover, is a more theoretically well-motivated measure because trading costs vary across stocks. Since turnover falls with trading costs, DTC is approximately the marginal cost of the shorts. At the arbitrageurs’ optimum it equals the marginal benefit, which is their opinion about over-valuation. DTC is a better predictor of poor stock returns than short ratio. A long-short strategy using DTC generates a 1.2% monthly return. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21166 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578841 |
| 推荐引用方式 GB/T 7714 | Harrison Hong,Weikai Li,Sophie X. Ni,et al. Days to Cover and Stock Returns. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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