Short-sales constraints and price discovery: Evidence from the Hong Kong market
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要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 and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed. © 2007 by The American Finance Association.
著者Chang E.C., Cheng J.W., Yu Y.
期刊名稱Journal of Finance
出版年份2007
月份10
日期1
卷號62
期次5
出版社Blackwell Publishing Inc.
出版地United Kingdom
頁次2097 - 2121
國際標準期刊號0022-1082
電子國際標準期刊號1540-6261
語言英式英語

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