金融与财务学系系列讲座之272期

时   间：2022年10月18日（周二）10:00-11:30

Zoom会议号：821 6945 9753

密   码：449960

主   题：Anomalies and Their Short-Sale Costs

演讲者：Neil D. Pearson    

               教授 伊利诺伊大学香槟分校Gies商学院

摘   要：We find that short sale costs eliminate the abnormal profits generated by asset pricing anomalies. While many anomalies persist out-of-sample, they cannot be profitably exploited due to stock borrow fees. Using a comprehensive sample of 162 anomalies, we show that the average of these long-short anomalies earns a significant 0.15% per month before costs. However, this average is -0.02% once portfolio returns are adjusted for stock borrow fees. Moreover, the anomalies are not profitable before accounting for borrow fees if the stocks with high borrow fees, 12% of all stocks, are excluded from the analysis. Thus, short sale costs explain why these anomalies exist despite arbitrageurs’ best efforts to exploit them.

简   介：Professor Neil D. Pearson is the Harry A. Brandt Distinguished Professor of Financial Markets and Options at Gies College of Business, UIUC. He received his Ph.D. in finance from MIT in 1990. His research focuses on models for pricing and hedging financial derivatives, and risk management. He has published papers in leading academic journals including Journal of Political Economy, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, etc. Currently, Professor Pearson is an Associated Editor of Journal of Financial and Quantitative Analysis and Journal of Risk.

金融与财务学系

2022-10-13