Earticle

초록

영어

We examine how profitability of long–short arbitrage strategies based on anomalies is affected after adjustment for two shorting costs: implicit cost due to unavailability of stocks in the short-leg to sell short and loan fee actually paid to stock lenders. The combined shorting cost amounts to almost 40 percent of gross long–short arbitrage raw returns over the sample period from January 2006 to December 2017. After adjustment for these shorting costs, long–short arbitrage profits are thus reduced by almost 40 percent. Even after adjustment for risk, the proportion of shorting costs is also substantial. If other trade-related transaction costs are considered, long–short arbitrage profits would be reduced further. Our results cast doubt on the profitability of long-short arbitrage strategies based on anomalies.

목차

Abstract:
1. Introduction
2. Data
3. Market Anomalies
4. Empirical Results
4.1. Shorting Constraints in the Short-Leg Portfolios
4.2. Profitability of Long–Short Strategy after Adjustment for Shorting Costs
4.3. Robustness Check
4.4. Arbitrage Asymmetry and Shorting Costs
4.5. Is Short Selling More Difficult When Investor Sentiment is High?
5. Conclusion
References

키워드

저자

• Dongcheol Kim [ Korea University Business School ]
• Byeung-Joo Lee [ Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330