This paper investigates whether momentum trading strategies are profitable in the Hong Kong stock market, and examines the sources of such profitability. Momentum portfolios are significantly profitable in the intermediate term in Hong Kong, but the profits become insignificant after risk...

We examine the effects of short-sale constraints in Hong Kong where stocks can be shorted only if they are included on an official short-sale list. Using revisions to the list, we test two hypotheses — 1) that short-sale constraints lead to overvaluation and 2) that they lead to lower costs of...

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 overvaluation...