공매도, Winner? Loser? : 단기 공매도 투자를 가정하여

Short selling is the sale of borrowed shares, one of the principal causes of concern of investors in the domestic capital market. One of the reasons why individual investors' attend to short-selling is the widespread perception that a surge in short selling causes stock prices to fall. Diether et al. (2009) have argued that short selling increases in stock groups with high prior stock returns. On the one hand, given that short selling is an investment technique that involves betting on future stock price declines, if the current stock price is highly valued compared to its intrinsic value, it can be used to predict a short-term reversal in stock prices and realize profits by short covering with the falling stock price. On the other hand, if the momentum phenomenon identified by Jegadeesh and Titman (1993) is valid, short-selling investors will predict further declines in stocks that have poor prior stock returns and will increase short-selling. In this study, I analyzed whether short-selling occurs in winner or loser stocks. Through a multi-panel regression analysis between the historical yield and the short selling ratio of KOSPI and KOSDAQ listed stocks between '15.1.2 and '19.12.30, a significant negative (-) relationship between return and short selling was found. Consequently, I could substantiate that short-selling investors in the domestic stock market are believed to be investing in short selling, focusing on loser stocks with poor returns in the past. It also looked at whether short selling investors realize profits through short selling. In other words, I analyzed whether short selling investors are Winner in terms of yields. If the excess returns are significant and have a large negative coefficient value immediately after the short selling concentrates, it could be concluded that short sellers are winner in terms of returns. Taking into account that short selling is essentially a transaction with a high transaction cost, an entity determined whether to realize gains through excess returns. As a result of the analysis, it was difficult to realize excess profits in business days and stocks where short selling is concentrated. In this study, I suggest that short selling can form a theoretical basis for supporting short-selling regulations. If, as Dieter argues, short selling is centered around high-yielding stocks, short selling regulatory policies could be interpreted as overregulation limiting the smooth self-purification of the market. However, this study shows that short selling in Korea is concentrated in a situation where stock prices are falling, which can be a theoretical basis for supporting short selling regulations in the face of market instability. In addition, this study can help to dispel the unfavorable perception that short sellers are taking huge profits.