Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is poss...Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is possible for a short seller to make profits even if he does not have insider information or is not sophisticated. We use a one period model and assume that stock price follows a random walk with a positive drift to show that the＇ expected return for an uninformed short seller is always negative and his risks are always greater than the risks of a stock buyer. Hence a short seller would not trade unless he has superior trading skills and/or information. We also show that the market conditions when the stock＇s dividend yield is greater than the risk free rate gives the shortsellers advantage over stock buyers.展开更多
The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coef...The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coefficient of the risk premium is estimated by a GARCH-M model,and the robustmeasurement of skewness is calculated by Groeneveld-Meeden method.The empirical evidences forthe composite indexes from 33 securities markets in the world indicate that the risk compensationrequirement in the market where the return distribution is positively skewed is virtually zero,andthe risk compensation requirement is positive in a significant level in the market where the returndistribution is negative skewed.Moreover,the skewness is negatively correlated with the coefficient ofthe risk premium.展开更多
文摘Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is possible for a short seller to make profits even if he does not have insider information or is not sophisticated. We use a one period model and assume that stock price follows a random walk with a positive drift to show that the＇ expected return for an uninformed short seller is always negative and his risks are always greater than the risks of a stock buyer. Hence a short seller would not trade unless he has superior trading skills and/or information. We also show that the market conditions when the stock＇s dividend yield is greater than the risk free rate gives the shortsellers advantage over stock buyers.
基金supported by China Natural Science Foundation (70701035, 70425004 and 70221001)Hunan Natural Science Foundation (09JJ1010)+1 种基金the Key Research Institute of PhilosophiesSocial Sciences in Hunan Universities
文摘The skewness of the return distribution is one of the important features of the security price.In this paper,the authors try to explore the relationship between the skewness and the coefficient ofrisk premium.The coefficient of the risk premium is estimated by a GARCH-M model,and the robustmeasurement of skewness is calculated by Groeneveld-Meeden method.The empirical evidences forthe composite indexes from 33 securities markets in the world indicate that the risk compensationrequirement in the market where the return distribution is positively skewed is virtually zero,andthe risk compensation requirement is positive in a significant level in the market where the returndistribution is negative skewed.Moreover,the skewness is negatively correlated with the coefficient ofthe risk premium.
