공매도와 신용거래의 투자성과

초록

Short-sale trades and margin trades reflect investors‘ opposite expectations on the direction of future stock prices. This paper attempts to simultaneously analyze the investment performance of short selling and margin trading. These two types of transactions are caused by active investors with different views on future market movement. This study examines whether short-sale and margin trades are caused by informed traders or not. The main findings are summarized as follows. First, we have found that the amount of margin trades are about six times higher than that of short-sale trades, while the profits from short-sale trades is approximately forty one times larger than that of margin trades. Second, short-sale profits get larger with short sale trades, while margin trades’ ratio and profits do not show significant co-relation with each other. Third, we have found that profits of short-sale traders are significant only in bear markets. Lastly, margin traders’ profits are pronounced especially in bear market, not in bull market.

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