Nhiều ý kiến trường hợp Các cuộc thảo luận ở đây xử lý các trường hợp có chỉ có hai ý kiến , một trong số đó là đúng và ai sai. Chúng tôi giả định rằng chúng ta biết là đúng (một giả định mạnh mẽ). Với những giả định này, chúng tôi đã có thể để lấy được nhiều kết luận thú vị và hữu ích. | 158 THEORY AND EVIDENCE ON SHORT SELLING Their basic methodology was to calculate monthly deviations in returns from a four factor model in which three of the factors were those used by Fama and French plus a momentum The three Fama and French factors reflected the influence of the market . the traditional return to beta the return to small size and the return to high versus low book-to-market stocks. The momentum factor was suggested by Carhart 85 and supported by evidence86 that this addition was needed to the Fama-French model. This is a relatively stringent test. These four factors are given the first chance to explain returns and to the extent these factors are related to either constraints on short selling or divergence of opinion the measured effect of the variables of interest are reduced. The abnormal returns relative to the four-factor model were calculated resulting in 555 436 observations. For each month the stocks in the database . those with short interest data were sorted into 64 mutually exclusive portfolios with four size categories four categories of relative short interest and four categories of a surrogate for divergence of opinion volatility or turnover . Each of these 64 categories constituted a separate portfolio. Statistically significant negative abnormal returns were interpreted as evidence of overvaluation. As predicted the most overvalued portfolios were those that were expensive to short small size and being in the highest quartile of relative short interest and possessed high in the highest quartile dispersion of investor beliefs whether measured by volatility or turnover. The statistically significant effects were focused on firms outside of the quartile of the largest stocks. Firms in these categories were then combined into one portfolio for further tests. The reported results used volatility as the measure of divergence of opinion. The returns to these portfolios were abnormally negative relative to the four-factor
