{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T08:58:45Z","timestamp":1790413125294,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Using Chinese A-share stocks eligible for margin trading and short selling from 2010 to 2025, this study constructs measures of margin-financing and short-selling activity along three dimensions: changes in outstanding balances, relative trading intensity, and sentiment momentum. Principal component analysis is then used to construct a composite factor capturing the relative strength of margin financing versus short selling. The factor significantly predicts lower future stock returns. A long-short portfolio that is long low-factor stocks and short high-factor stocks earns significant positive returns at both daily and weekly frequencies, and the predictive relation remains robust after controlling for conventional risk factors and firm characteristics. Predictive power declines as the holding horizon lengthens. Return predictability is stronger when investor sentiment is more intense or optimistic and among stocks with stronger lottery-like characteristics, consistent with short-term mispricing and subsequent price correction. The main findings remain robust after accounting for transaction costs, factor orthogonalization, and separate tests in bull and bear markets.<\/jats:p>","DOI":"10.2139\/ssrn.7516418","type":"posted-content","created":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T08:16:36Z","timestamp":1790410596000},"source":"Crossref","is-referenced-by-count":0,"title":["Margin Trading, Short Selling, and Return Predictability: Evidence from the Chinese Stock Market"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9231-0916","authenticated-orcid":true,"given":"Guohao","family":"Tang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Hanrui","family":"Xu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jing","family":"Yang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Fanyining","family":"Zhang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T08:16:36Z","timestamp":1790410596000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7516418"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7516418","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}