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Short selling and market mispricing

机译：卖空和市场定价错误

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摘要

We provide evidence on short sellers' exploitation of temporary mispricing in the equity market. Using a mispricing indicator that measures deviations from a stock's fundamental value, we find higher levels of short selling for temporarily overvalued stocks. The result is robust to controlling for short sale constraints and illiquidity, and it is more pronounced when short sale constraints do not bind and stocks are illiquid. We also find that informed short sellers are able to distinguish temporary overpricing from upward return momentum. However, when fundamental news is released, short sellers focus on exploiting negative fundamental changes rather than temporary overpricing. Short sellers contribute to market quality by correcting overpricing quickly over time, but they do not destabilize the market.
机译：我们提供有关做空者利用股票市场中临时定价错误的证据。使用衡量与股票基本价值的偏差的定价错误指标，我们发现暂时被高估的股票的卖空水平较高。该结果对于控制卖空限制和流动性不足具有鲁棒性，当卖空限制不受约束且股票流动性不足时，这一结果更为明显。我们还发现，有见识的卖空者能够区分暂时的高定价与上升的势头。但是，当基本面消息发布时，卖空者将专注于利用负面基本面变化，而不是暂时性的高估价格。卖空者通过随着时间的流逝迅速纠正过高的定价来为市场质量做出贡献，但它们不会破坏市场的稳定。

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