[2013년 제 3차] Shorting costs and asymmetry in mispricing
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2013-08-23
We hypothesize that overpricing shows up more often than underpricing if short-selling is costly relative to buying so that there is arbitrage asymmetry, and document the followings. First, put-optioned stocks, which are supposed to be less costly to short, have less anomaly profits than non-put-optioned stocks. Second, in highsentiment periods, short-legs of anomaly portfolios are more profitable with put-optioned stocks than non-putoptioned stocks, while, in low-sentiment periods, short-legs are not profitable with both subsamples of stocks. Third, returns on short-legs of anomaly portfolios are negatively related to lagged sentiment only when the degree of market-wide arbitrage asymmetry is high, where arbitrage asymmetry is measured by the difference of the market impact costs between the up market and the down market or by the market-wide average change in breadth. Finally, anomalies associated with capital investments do not seem to be caused by the presence of short-sale constraints.