Price Efficiency and Short Selling

被引:361
作者
Saffi, Pedro A. C. [1 ]
Sigurdsson, Kari [2 ]
机构
[1] IESE Business Sch, Barcelona 08034, Spain
[2] Blackrock & Reykjavik Univ, Reykjavik, Iceland
关键词
G12; G14; G15; SHORT-SALES CONSTRAINTS; EMERGING MARKETS; EXPECTED RETURNS; CROSS-SECTION; INFORMATION; INVESTORS; STOCK; LIQUIDITY; OPINION; IMPACT;
D O I
10.1093/rfs/hhq124
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This article presents a study of how stock price efficiency and return distributions are affected by short-sale constraints. The study is based on a global dataset, from 2005 to 2008, that includes more than 12,600 stocks from 26 countries. We present two main findings. First, lending supply has a significant impact on efficiency. Stocks with higher short-sale constraints, measured as low lending supply, have lower price efficiency. Second, relaxing short-sales constraints is not associated with an increase in either price instability or the occurrence of extreme negative returns.
引用
收藏
页码:821 / 852
页数:32
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