Efficiency And The Bear : Short Sales And Markets Around The World  

Oleh:

Bris, Arturo ; Goetzmann, William N. ; Zhu, Ning S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 3 (Jun. 2007), page 1029-1080.
Topik: MARKETS; studies; time series; efficient markets; short sales
Fulltext: p 1029.pdf (385.02KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We analyze cross - sectional and time - series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices. We find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced. A common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic. We find strong evidence that in markets where short selling is either prohibited or not practiced, market returns display significantly less negative skewness.

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