Short - Sales Constraints and Price Discovery : Evidence From The Hong Kong Market  

Oleh:

Chang, Eric C. ; Cheng, Joseph W. ; Yinghui, Yu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2097-2122.
Topik: EVIDENCE; short - sales constraints; price discovery; evidence; hong kong market
Fulltext: p 2097.pdf (136.6KB)

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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

Short - sales practices in the hong kong stock market are unique in that only stocks on a list of designated securities can be sold short. By analyzing the price effects following the addition of individual stocks to the list, we find that short - sales constraints tend to cause stock over valuation and that the over valuation effect is more dramatic for individual stocks for which wider dispersion of investor opininons exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also documents higher volatility and less positive skewness of individual stock returns when short sales are allowed.

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