Recent studies add to the evidence against Miller's (1977) overvaluation theory, further dwarfing the already sparse evidence for the theory. In this paper, we identify several issues untouched so far. Addressing these issues simultaneously, we conceive a novel empirical identification strategy...

Using the uniqueness of Hong Kong regulations on short selling, I find that the CAPM, the Fama-French Three-Factor and the Four-Factor model fare significantly better in capturing the cross-section of expected returns on the stocks which are shortable than the stocks which are not. The results...

This paper examines the differences in the price effects of stock characteristics between two alternative short-sale regimes - one under which stocks are shortable and the other where they are not. Using the uniqueness of Hong Kong regulations on short sales to distinguish between the two...

This study empirically examines the applicability of the Grinblatt and Han (2005) model for analyzing the relationship between the disposition effect and momentum in the Chinese stock market by testing the three hypotheses implied by their model. Our results show that unrealized capital gains...