A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka Stock Exchange (DSE) to test for...

This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor...

This paper derives the relationship between a stock's beta and its weighting in the portfolio against which its beta is calculated. Contrary to intuition the effect of this market weight is in general very substantial. We then suggest an alternative to the conventional measure of abnormal...