Determinants and Strategies for Short Sales:A Study of MSCI Taiwan Index Constituents

• Main Authors: Peng Ssu Chieh, 彭思潔
• Other Authors: Chen-Jui Huang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/69629887275994523880

碩士 === 東海大學 === 財務金融學系 === 98 === This thesis investigates major determinants for short sales as well as effectiveness of implied trading strategies from January 3 of 2006 to December 31 of 2009. The sample covers 62 constituent stocks from the MSCI Taiwan Index. We adopt eight proxies for short sales to test five hypotheses and six short selling strategies. Major findings include: (1) we support the hypothesis that short sellers prefer growth stocks to value stocks when short sales are proxies by short-interest-based measures; (2) there seems no strong evidence in favor of the hypothesis that short sellers trade stocks with low transaction costs; (3) our results also indicate that short sellers act as risk-bearers in Taiwan; (4) short sellers select stocks with high past returns, in particular, weekly returns; (5) there is a positive link between short sales and relevant put warrants; (6) the six short selling strategies established from the regression results almost yield returns that outperform the benchmark level of weekly returns, indicate that average returns increase with the holding period and the book-to-market ratio and past stock returns are both crucial.