{"id":21668,"date":"2024-01-25T17:00:00","date_gmt":"2024-01-25T09:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=news&#038;p=21668"},"modified":"2026-03-02T09:43:14","modified_gmt":"2026-03-02T01:43:14","slug":"does-short-selling-get-high-returns","status":"publish","type":"news","link":"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/","title":{"rendered":"Does Short Selling Get High Returns?"},"content":{"rendered":"\n<figure class=\"wp-block-image size-large\"><img fetchpriority=\"high\" decoding=\"async\" width=\"1024\" height=\"683\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/pexels-tima-miroshnichenko-7567443-1-1024x683.jpg\" alt=\"\" class=\"wp-image-21680\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/pexels-tima-miroshnichenko-7567443-1-1024x683.jpg 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/pexels-tima-miroshnichenko-7567443-1-300x200.jpg 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/pexels-tima-miroshnichenko-7567443-1-150x100.jpg 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/pexels-tima-miroshnichenko-7567443-1-768x512.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/pexels-tima-miroshnichenko-7567443-1-1536x1024.jpg 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/pexels-tima-miroshnichenko-7567443-1-2048x1365.jpg 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><\/figure>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_81 counter-hierarchy ez-toc-counter ez-toc-grey ez-toc-container-direction\">\n<p class=\"ez-toc-title\" style=\"cursor:inherit\">Table of Contents<\/p>\n<label for=\"ez-toc-cssicon-toggle-item-69d8f69764e93\" class=\"ez-toc-cssicon-toggle-label\"><span class=\"ez-toc-cssicon\"><span class=\"eztoc-hide\" style=\"display:none;\">Toggle<\/span><span class=\"ez-toc-icon-toggle-span\"><svg style=\"fill: #999;color:#999\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" class=\"list-377408\" width=\"20px\" height=\"20px\" viewBox=\"0 0 24 24\" fill=\"none\"><path d=\"M6 6H4v2h2V6zm14 0H8v2h12V6zM4 11h2v2H4v-2zm16 0H8v2h12v-2zM4 16h2v2H4v-2zm16 0H8v2h12v-2z\" fill=\"currentColor\"><\/path><\/svg><svg style=\"fill: #999;color:#999\" class=\"arrow-unsorted-368013\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" width=\"10px\" height=\"10px\" viewBox=\"0 0 24 24\" version=\"1.2\" baseProfile=\"tiny\"><path d=\"M18.2 9.3l-6.2-6.3-6.2 6.3c-.2.2-.3.4-.3.7s.1.5.3.7c.2.2.4.3.7.3h11c.3 0 .5-.1.7-.3.2-.2.3-.5.3-.7s-.1-.5-.3-.7zM5.8 14.7l6.2 6.3 6.2-6.3c.2-.2.3-.5.3-.7s-.1-.5-.3-.7c-.2-.2-.4-.3-.7-.3h-11c-.3 0-.5.1-.7.3-.2.2-.3.5-.3.7s.1.5.3.7z\"\/><\/svg><\/span><\/span><\/label><input type=\"checkbox\"  id=\"ez-toc-cssicon-toggle-item-69d8f69764e93\"  aria-label=\"Toggle\" \/><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Preface\" >Preface<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Introduction_of_short_selling_in_Taiwan\" >Introduction of short selling in Taiwan<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Data_Variables_of_Short_Selling\" >Data &amp; Variables of Short Selling<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Methodology\" >Methodology<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Cross-sectional_Regression_Analysis\" >Cross-sectional Regression Analysis<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Portfolio_Analysis\" >Portfolio Analysis<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-7\" href=\"https:\/\/www.tejwin.com\/en\/news\/does-short-selling-get-high-returns\/#Conclusion\" >Conclusion<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Preface\"><\/span>Preface<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>As Bobby Axelrod, the main character in the drama \u201cBillions\u201d, said \u201c short selling is just like leukocyte in the capital market. They specialize in swallowing bad companies, which can increase the efficiency of the capital market.\u201d<\/p>\n\n\n\n<p>\uff2dargin Transactions and Securities Lending are institutional arrangements that vitalize the securities market, providing investors with more diverse ways to participate. When investors have insufficient funds and are bullish on the future market, they can use &#8220;<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">margin purchase<\/mark>&#8221; to purchase securities from a securities firm; on the other hand, when investors do not have any securities and are bearish on the future market, they can use &#8220;<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">short sale<\/mark>&#8221; or &#8220;borrowing&#8221; to sell securities through securities financing to achieve the purpose of selling securities.<\/p>\n\n\n\n<p>Short selling is not without its benefits. According to past studies, short selling traders are usually \u201cinformed traders\u201d who are capable of identifying overestimated stocks. By shorting overvalued stocks, the prices of these stocks can be brought back to the fundamentals, thus increasing market efficiency and serving the function of price discovery. Some literature indicates that \u201cSBL Short Sale\u201d and \u201cMargin Short Sale\u201d may have different influences on stock return due to the difference of traders. Therefore, we discuss <span style=\"text-decoration: underline;\" class=\"ek-underline\">the expected return predictability of the FTSE TWSE Taiwan Mid-Cap 100 index\u2019s constituent between two short selling ways<\/span> through the research process of factor-based investing, then choose the best factor of short selling.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Introduction_of_short_selling_in_Taiwan\"><\/span>Introduction of short selling in Taiwan<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>In Taiwan, there are two kinds of short selling ways, which are \u201c<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"><strong>Margin Short Sale<\/strong><\/mark>\u201d and \u201c<strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">SBL Short Sale<\/mark><\/strong>\u201d. Most of the traders of<span style=\"text-decoration: underline;\" class=\"ek-underline\"> \u201cSBL Short Sale\u201d are institutional investors<\/span>, like foreign investors, investment trusts, and dealers. Unlike SBL Short Sale, <span style=\"text-decoration: underline;\" class=\"ek-underline\">traders of \u201cMargin Short Sale\u201d are mostly individuals (retail investors) and general legal persons (general corporations)<\/span> due to the regulations. <\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u25ce Margin Short Sale<\/mark><\/strong>: When investor does not have any securities and are bearish on the future market, tehy can apply for securities financing from a securities dealer or a securities firm by preparing a certain amount of margin. Investors only need to return the securities within a certain period of time in the future to achieve the purpose of selling.<br><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u25ce <\/mark><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">SBL Short Sale<\/mark><\/strong><\/strong>: The lender receives a fee for borrowing securities, temporarily transfers the marketable securities to the borrower, and receives collateral. The borrower will return the securities within a certain period in the future.<\/p>\n\n\n\n<p>However, having a deal of SBL does not mean short-selling, it can be used for repayment, contract fulfillment, hedging, arbitrage and other purposes. Therefore, we only provide some empirical evidence of the \u201cSBL Short Sale\u201d to reflect the actual short-selling volume of investors. <\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Data_Variables_of_Short_Selling\"><\/span>Data &amp; Variables of Short Selling<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p id=\"174f\">In this article, we take the constituents of FTSE TWSE Taiwan Mid-Cap 100 index as samples. The data were taken from TEJ, and the period is from January 2013 to September 2021. Also, we treat the data properly to avoid survivorship bias and Look-ahead bias.<\/p>\n\n\n\n<p id=\"b87f\">Referring to Lee et al.(2017), we organize short-selling variables into table 1 below. Considering the amount of \u201cMargin Short Sale\u201d and \u201cSBL Short Sale\u201d will affect the volume and market value of a stock, adjusting the volume and market value or taking growth rate as a short-selling variable is necessary. For detailed variable treatment, see table 1 below.<\/p>\n\n\n\n<figure class=\"wp-block-table caption-align-center\"><table class=\"has-background\" style=\"background:linear-gradient(135deg,rgb(243,255,204) 0%,rgb(182,211,227) 48%,rgb(80,169,222) 100%)\"><thead><tr><th><strong>Code<\/strong><\/th><th><strong>Variable<\/strong><\/th><th class=\"has-text-align-center\" data-align=\"center\"><strong>Calculation<\/strong><\/th><\/tr><\/thead><tbody><tr><td><mark style=\"background-color:rgba(0, 0, 0, 0);color:#21549b\" class=\"has-inline-color\"><strong>sbls_v<\/strong><\/mark><\/td><td>Ratio of SBL Short Sales amount to Trade amount(%)<\/td><td class=\"has-text-align-center\" data-align=\"center\"><em>(SBL Short Sales amount of the month\/Trade amount of the month)\u00d7100%<\/em><\/td><\/tr><tr><td><mark style=\"background-color:rgba(0, 0, 0, 0);color:#21549b\" class=\"has-inline-color\"><strong>shorts_v<\/strong><\/mark><\/td><td>Ratio of Margin Short Sales amount to Trade amount(%)<\/td><td class=\"has-text-align-center\" data-align=\"center\"><em>(Short selling amount of the month\/Trade amount of the month)\u00d7100%<\/em><\/td><\/tr><tr><td><mark style=\"background-color:rgba(0, 0, 0, 0);color:#21549b\" class=\"has-inline-color\"><strong>sbls_g<\/strong><\/mark><\/td><td>Growth rate of SBL Short Sales(%)<\/td><td class=\"has-text-align-center\" data-align=\"center\"><em>((SBL Short Sales amount of current month\/SBL Short Sales amount of previous month)-1)\u00d7100%<\/em><\/td><\/tr><tr><td><mark style=\"background-color:rgba(0, 0, 0, 0);color:#21549b\" class=\"has-inline-color\"><strong>shorts_g<\/strong><\/mark><\/td><td>Growth rate of Margin Short Sales(%)<\/td><td class=\"has-text-align-center\" data-align=\"center\"><em>((Margin Short Sales amount of current month\/Margin Short Sales amount of previous month)-1)\u00d7100%<\/em><\/td><\/tr><tr><td><mark style=\"background-color:rgba(0, 0, 0, 0);color:#21549b\" class=\"has-inline-color\"><strong>sbls_mv<\/strong><\/mark><\/td><td>Ratio of SBL Short sells balance to Market Value(%)<\/td><td class=\"has-text-align-center\" data-align=\"center\"><em>(SBL sells balance of the month\/Market Value of the month)\u00d7100%<\/em><\/td><\/tr><tr><td><mark style=\"background-color:rgba(0, 0, 0, 0);color:#21549b\" class=\"has-inline-color\"><strong>shorts_mv<\/strong><\/mark><\/td><td>Ratio of Margin Short sells balance to Market Value(%)<\/td><td class=\"has-text-align-center\" data-align=\"center\"><em>(Margin Short sells balance of the month\/Market Value of the month)\u00d7100%<\/em><\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">Table1. Short selling Variables<\/figcaption><\/figure>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div style=\"border: 1px black; border-style: solid none; text-align: center; border-color: #296580; padding: 24px; margin-top: 24px; margin-bottom: 24px;\">\n<p style=\"margin: 0px; font-size: 24px; font-weight: bold; line-height: 1.5;\">Want to Obtain Comprehensive Stock Data of Short Selling?<\/p>\n<p style=\"margin: 0px; font-size: 24px; font-weight: bold; line-height: 1.5;\">Click the Link and Exlpore More About Market Data!<\/p>\n<div style=\"margin-top: 32px;\"><strong><a style=\"border: none; border-radius: 4px; background-color: #296580; color: white; font-size: 20px; width: fit-content; text-decoration: none; padding: 12px 30px 12px 30px;\" href=\"https:\/\/www.tejwin.com\/en\/databank-solution\/market-data\/\">TEJ Market Databank<\/a><\/strong><\/div>\n<\/div>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>Next, we organize all the descriptive statistics into table 2 below. As you can see, all the<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-black-color\"> short-selling variables are positive skewness, which represents that there are stocks short sold in high volume<\/mark>. We can also discover that <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u201cSBL Short Sale\u201d takes more shares than \u201cMargin Short Sale\u201d in short selling<\/mark>. We presume the reason is that<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-green-cyan-color\"> <\/mark><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">institutional investors short sell mainly through \u201cSBL Short Sale\u201d<\/mark>.<\/p>\n\n\n\n<figure class=\"wp-block-table caption-align-center is-style-stripes\"><table><tbody><tr><td>\u3000<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>sbls_v<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>shorts_v<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>sbls_g<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>shorts_g<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>sbls_mv<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>shorts_mv<\/strong><\/td><\/tr><tr><td><strong>Mean<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">3.235<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.122<\/td><td class=\"has-text-align-right\" data-align=\"right\">164.858<\/td><td class=\"has-text-align-right\" data-align=\"right\">114.831<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.446<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.127<\/td><\/tr><tr><td><strong>Std<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">3.149<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.433<\/td><td class=\"has-text-align-right\" data-align=\"right\">2374.384<\/td><td class=\"has-text-align-right\" data-align=\"right\">645.715<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.652<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.265<\/td><\/tr><tr><td><strong>Min<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">0<\/td><td class=\"has-text-align-right\" data-align=\"right\">0<\/td><td class=\"has-text-align-right\" data-align=\"right\">-100<\/td><td class=\"has-text-align-right\" data-align=\"right\">-100<\/td><td class=\"has-text-align-right\" data-align=\"right\">0<\/td><td class=\"has-text-align-right\" data-align=\"right\">0<\/td><\/tr><tr><td><strong>25%<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">0.92<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.179<\/td><td class=\"has-text-align-right\" data-align=\"right\">-50.485<\/td><td class=\"has-text-align-right\" data-align=\"right\">-53.146<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.329<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.004<\/td><\/tr><tr><td><strong>50%<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">2.246<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.601<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.439<\/td><td class=\"has-text-align-right\" data-align=\"right\">-8.667<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.793<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.022<\/td><\/tr><tr><td><strong>75%<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">4.531<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.506<\/td><td class=\"has-text-align-right\" data-align=\"right\">102.657<\/td><td class=\"has-text-align-right\" data-align=\"right\">81.183<\/td><td class=\"has-text-align-right\" data-align=\"right\">1.88<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.111<\/td><\/tr><tr><td><strong>Max<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">20.491<\/td><td class=\"has-text-align-right\" data-align=\"right\">14.95<\/td><td class=\"has-text-align-right\" data-align=\"right\">199062.3<\/td><td class=\"has-text-align-right\" data-align=\"right\">22924.66<\/td><td class=\"has-text-align-right\" data-align=\"right\">9.357<\/td><td class=\"has-text-align-right\" data-align=\"right\">2.869<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">Table2. Descriptive statistics of variables. Data peroid: 2013\/1-2021\/9<\/figcaption><\/figure>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Methodology\"><\/span>Methodology<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>To understand if the short selling variables are effective factors, we take cross-sectional regression analysis and portfolio analysis as the research methodology.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Cross-sectional_Regression_Analysis\"><\/span>Cross-sectional Regression Analysis<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>In cross-sectional regression, we have a regression of the return rate of the next month(t) on the return rate of the current month(t+1). In table 3, among all the variables, we can see that only sbls_v has statistical significance.  There is a negative relation between sbls_v and the expected return of the stock, which is predictive of the expected return on the cross-section of stocks.  The others variables are statistically insignificant.<\/p>\n\n\n\n<figure class=\"wp-block-table caption-align-center is-style-stripes\"><table><tbody><tr><td>\u3000<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>sbls_v<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>shorts_v<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>sbls_g<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>shorts_g<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>sbls_mv<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>shorts_mv<\/strong><\/td><\/tr><tr><td><strong>Cross-sectional Regression Coefficient Mean<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.139<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.071<\/td><td class=\"has-text-align-right\" data-align=\"right\">0<\/td><td class=\"has-text-align-right\" data-align=\"right\">0<\/td><td class=\"has-text-align-right\" data-align=\"right\">-0.096<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.156<\/td><\/tr><tr><td><strong>t-value&nbsp;<\/strong><\/td><td class=\"has-text-align-right\" data-align=\"right\">-3.262***<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.334<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.478<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.376<\/td><td class=\"has-text-align-right\" data-align=\"right\">-1.077<\/td><td class=\"has-text-align-right\" data-align=\"right\">0.158<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">Table3. Result of cross-sectional regression. Data peroid: 2013\/1-2021\/9<\/figcaption><\/figure>\n\n\n\n<div style=\"height:25px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Portfolio_Analysis\"><\/span>Portfolio Analysis<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>As for portfolio analysis, we sort the variables by size and separate them into 5 equal-weighted portfolios, and according to the number of short selling from low to high, namely as P1, P2, P3, P4, and P5. Next, we hold it for one month and calculated the average return rate, then changed the stocks among the portfolios to see if it is monotonicity and has predictability between short selling variables and expected return. Figure 1 shows <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">sbls_v has the best predictability, which is consistent with the result of cross-sectional regression analysis.<\/mark><\/p>\n\n\n\n<figure class=\"wp-block-image size-large caption-align-center\"><img decoding=\"async\" width=\"1024\" height=\"532\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/image-409-1024x532.png\" alt=\"\" class=\"wp-image-21674\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-409-1024x532.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-409-300x156.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-409-150x78.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-409-768x399.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-409.png 1033w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">Figure1. Chart of the monthly average return of P1 to P5. Data peroid: 2013\/1-2021\/9<\/figcaption><\/figure>\n\n\n\n<p>We further calculated the annualized return and compared it with the market&#8217;s performance. We found that <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">the performance of the investment factor constructed with&nbsp;SBL Short Sale&nbsp;is better <\/mark><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-black-color\">than that of the investment factor constructed with Margin Short Sale.<\/mark> In addition, using sbls_v as the stock selection factor and choosing the investment group with the lowest shorting volume (P1) can obtain an annualized return that exceeds the market, which is the best investment strategy found in this study.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Conclusion\"><\/span>Conclusion<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p id=\"476b\">Through the analysis of cross-section regression and portfolio analysis, we can have a conclusion that <strong>Ratio of SBL Short Sales amount to Trade amount (sbls_v) has a significant negative relation with the expected return, and sbls_v indeed has predictability to the expected return of the future.<\/strong><\/p>\n\n\n\n<p id=\"9841\">In addition, the empirical result is inconsistent between the variables of \u201cSBL Short Sale\u201d and \u201cMargin Short Sale\u201d. The possible reason is that the trader of \u201clending securities\u201d are mostly institutional investors who have preferable to the constituents of FTSE TWSE Taiwan Mid-Cap 100 index. While institutional investors are generally regarded as \u201cinformed traders\u201d, the difference between traders of \u201cSBL Short Sale\u201d and \u201cMargin Short Sale\u201d could have different predictability of variables to expected return.<\/p>\n\n\n\n<blockquote class=\"wp-block-quote has-text-align-center is-layout-flow wp-block-quote-is-layout-flow\" style=\"font-size:33px\">\n<p><\/p>\n<cite><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#28688c\" class=\"has-inline-color\">Taiwan stock market data, TEJ collect it all.<\/mark><\/strong><\/cite><\/blockquote>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0);color:#128057\" class=\"has-inline-color\">Taiwan Economical Journal (TEJ)<\/mark><\/strong> has long-term cooperation with internationally renowned data providers, providing high-quality financial data for five financial markets in Asia.&nbsp;Our data includes all listed companies on stock markets in Taiwan, China, Hong Kong, Japan, Korea, etc. With TEJ&#8217;s assistance, you can access relevant information about major stock markets in Asia, such as securities market, enterprise operations, financials, sustainability data, etc., providing investors with timely and high-quality content! &nbsp;<\/p>\n\n\n\n<div style=\"height:26px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100 has-custom-font-size\" style=\"font-size:24px\"><a class=\"wp-block-button__link has-background has-text-align-center wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/databank-solution\/market-data\/\" style=\"border-radius:19px;background:linear-gradient(135deg,rgb(160,209,216) 1%,rgb(51,145,181) 50%,rgb(50,95,191) 100%)\"><strong>Want to Obtain Comprehensive Stock Data of Short Selling?<br>Click the Link and Exlpore More About Market Data!<\/strong><\/a><\/div>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>In Taiwan, there are two kinds of short selling ways, which are \u201cMargin Short Sale\u201d and \u201cSBL Short Sale\u201d. This article will show your the correlation between the expected return and short selling ways.<\/p>\n","protected":false},"featured_media":21680,"parent":0,"menu_order":0,"template":"","tags":[2962,3199],"news-category":[688],"class_list":["post-21668","news","type-news","status-publish","has-post-thumbnail","hentry","tag-market-data","tag-tej-database","news-category-product-news"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news\/21668","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/news"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/21680"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=21668"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=21668"},{"taxonomy":"news-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news-category?post=21668"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}