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The costs and benefits of short sale disclosure

Duong, Truong X.; Huszár, Zsuzsa R.; Yamada, Takeshi - In: Journal of Banking & Finance 53 (2015) C, pp. 124-139

In this study, we examine the impact of a market-wide mandatory disclosure policy on short selling on the Tokyo Stock Exchange. We find that average short selling slightly declined while investors’ shorting strategies changed significantly in response to the disclosure. Previously highly...

Persistent link: https://www.econbiz.de/10011209848

Which financial stocks did short sellers target in the subprime crisis?

Hasan, Iftekhar; Massoud, Nadia; Saunders, Anthony; … - In: Journal of Banking & Finance 54 (2015) C, pp. 87-103

Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposure in the subprime crisis. Evidence suggests that short sellers sold short stocks that had...

Persistent link: https://www.econbiz.de/10011264658

Efficient Markets and the Law: A Predictable Past and an Uncertain Future

Hu, Henry T.C. - In: Annual Review of Financial Economics 4 (2012) 1, pp. 179-214

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...

Persistent link: https://www.econbiz.de/10010603964

Which short-selling regulation is the least damaging to market efficiency? Evidence from Europe

Bernal, Oscar; Herinckx, Astrid; Szafarz, Ariane - In: International Review of Law and Economics 37 (2014) C, pp. 244-256

Exploiting cross-sectional and time-series variations in European regulations during the July 2008–June 2009 period, we show that: (1) prohibition on covered short selling raises bid-ask spread and reduces trading volume, (2) prohibition on naked short selling raises both volatility and...

Persistent link: https://www.econbiz.de/10010752945

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - C.E.P.R. Discussion Papers - 2009

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured...

Persistent link: https://www.econbiz.de/10008474510

Fails-to-deliver, short selling, and market quality

Fotak, Veljko; Raman, Vikas; Yadav, Pradeep K. - In: Journal of Financial Economics 114 (2014) 3, pp. 493-516

We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate...

Persistent link: https://www.econbiz.de/10011076296

Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market

Chang, Eric C.; Luo, Yan; Ren, Jinjuan - In: Journal of Banking & Finance 48 (2014) C, pp. 411-424

China launched a pilot scheme in March 2010 to lift the ban on short-selling and margin-trading for stocks on a designated list. We find that stocks experience negative returns when added to the list. After the ban is lifted, price efficiency increases while stock return volatility decreases....

Persistent link: https://www.econbiz.de/10011077983

Impact of short selling activity on market dynamics: Evidence from an emerging market

Sobaci, Cihat; Sensoy, Ahmet; Erturk, Mutahhar - In: Journal of Financial Stability 15 (2014) C, pp. 53-62

With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity and volatility, liquidity and market return from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest...

Persistent link: https://www.econbiz.de/10011116614

Which firms are more prone to stock market manipulation?

Imisiker, Serkan; Tas, Bedri Kamil Onur - In: Emerging Markets Review 16 (2013) C, pp. 119-130

This study empirically investigates which firms are more susceptible to successful manipulation. For this purpose, a … unique data set consisting of manipulation cases from 1998 to 2006 from the Istanbul Stock Exchange (ISE) was collected and … with less free float rate and a higher leverage ratio are more prone to stock price manipulation. Dynamic probit analysis …

Persistent link: https://www.econbiz.de/10010682553

Explaining the Risk/Return Mismatch of the MSCI China Index: A Systematic Risk Analysis

Liang, Priscilla - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 01, pp. 63-80

This study examines a risk/return mismatch of the MSCI China Index, which has offered investors low returns and high volatility, yet remains a favorite within the global investors' portfolio. The paper suggests several insights, both from behavioral and traditional finance perspectives, to...

Persistent link: https://www.econbiz.de/10005080741

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