本系擬於 12/27 (二) 邀請 Sungkyunkwan University 的 Prof. Shu-Feng Wang 至本所進行專題演講，相關訊息如下：

時間: 12/27 (二) 12:30-14:00

地點: 管理學院一號館八樓財金系會議室

講者: Prof. Shu-Feng Wang

講題: Do Individual Investors Make Money? Evidence from Proprietary Short-Selling Account Data in Korea

Abstract:

We use proprietary trade- as well as account-level dataset of short sales to investigate the profitability of individual investors’ short-selling in the Korean stock market from August 1, 2007 to May 31, 2010. Using an actual data on short-covering transactions, we find that an average profit is 26,810 Korean won (roughly USD 24.4) per trade per hour and about 44% of shorted trades are covered within a day. We also find that the profitability of short-selling decreases as the hours-to-cover increases. Account-level analyses show that investors who sell short more firms make higher profits than those who sell short fewer firms and that the profitability of short-selling is persistent. We attribute the profitability to short-sellers’ ability to exploit short-run price reversals and information processing skills.