报告题目：Short-selling Profitability, Stock Lending Fees, and Asset Pricing Anomalies

报 告 人：傅成博（加拿大北不列颠哥伦比亚大学）

报告时间：2025年5月20日（周二）14:00-16:00

报告地点：劝学楼505

主办单位：成人直播

【报告人简介】

傅成博，加拿大北不列颠哥伦比亚大学(UNBC)副教授，曼尼托巴大学金融学博士，特许金融分析师（CFA）。（本科毕业于成人直播 金融学专业，后赴美国克莱姆森大学获管理学硕士学位）。主要研究领域包括可持续金融、资产定价与国际金融。现任Investment Analysts Journal主编，Emerging Markets Finance and Trade 学科编辑，Journal of Chinese Economic and Business Studies 副主编，Asia-Pacific Financial Markets副主编，China Finance Review International 青年编委。近年来，在国际知名期刊发表多篇学术论文。曾获湖南省经济学学会2022年会论文一等奖，主持并获得加拿大联邦与省部级多个研究项目与奖项。此外，还担任多个国际学术会议委员会成员，联邦科研基金评审专家和多本SSCI期刊客座编辑，编委会成员及匿名审稿人。

【内容摘要】

We measure a stock’s short-selling profitability (SSP) as its price sensitivity to short-selling activities over recent periods. Our findings show that short-selling strongly and negatively predicts future returns, particularly among high-SSP stocks. Furthermore, we identify SSP as a novel determinant of stock lending fees in the cross-section. While the profitability of anomalies decreases when accounting for short-selling fees, they remain exploitable among high-SSP stocks. These results support the presence of a stock lending market in which lenders allow short sellers to retain a portion of arbitrage profits. This suggests that short-selling constraints alone do not fully explain the persistence of anomalies, especially among high-SSP stocks.

撰稿：赵鹏辉  审核：史永东  单位：成人直播