Short Sale Constraints And Stock Returns
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Short Sale Constraints And Stock Returns
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Author : Charles Mark Jones
language : en
Publisher:
Release Date : 2001
Short Sale Constraints And Stock Returns written by Charles Mark Jones and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Economics categories.
Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand is high. We find that stocks that are expensive to short or which enter the borrowing market have high valuations and low subsequent returns, consistent with the overpricing hypothesis. Size-adjusted returns are one to two percent lower per month for new entrants, and despite high costs it is profitable to short them
Short Selling Discussion Of Short Sales Constraints And Momentum In Stock Returns
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Author : Stephen H. Thomas
language : en
Publisher:
Release Date : 2006
Short Selling Discussion Of Short Sales Constraints And Momentum In Stock Returns written by Stephen H. Thomas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Short Selling
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2004-11-17
Short Selling written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-17 with Business & Economics categories.
The latest theoretical and empirical evidence on short selling in the United States and throughout the world To get the most success out of what the finance community regards as a risky business, short sellers need high-level information. The Theory and Practice of Short Selling offers managers and investors the information they need to maximize and enhance their short selling capabilities for bigger profits. Frank Fabozzi collects a group of market experts who share their knowledge on everything from the basics to the complex in the world of short sales, including mechanics of short selling, the empirical evidence on short-selling, the implications or restrictions on short selling for investment strategies, short-selling strategies pursued by institutional investors, and identifying short-selling candidates. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and Editor of the Journal of Portfolio Management. He is the author or editor of over 100 books on finance and investing.
A Synthesized Model Of Short Selling Constraints And Their Impact On Stock Returns
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Author : Jose A. Gutierrez
language : en
Publisher:
Release Date : 2018
A Synthesized Model Of Short Selling Constraints And Their Impact On Stock Returns written by Jose A. Gutierrez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper presents a synthesized model explaining the returns of short-sale constrained stocks. We combine short-sale constraints that were previously treated individually or in pairs into a more fully specified model. The model is also specified in generally falling versus generally rising markets, and in consideration of relative effects for large/mid-cap versus small/micro-cap firms. There is evidence that a more fully specified model provides additional insight with less factor omission bias than prior models. Additionally, our results also indicate pricing differences between least versus most short-sale constrained stocks.
Short Sale Constraints Overvaluation And The Introduction Of Options
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Author : Stewart Mayhew
language : en
Publisher:
Release Date : 2005
Short Sale Constraints Overvaluation And The Introduction Of Options written by Stewart Mayhew and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
We investigate whether the existence of traded options represents an economically important relaxation of short sale constraints. Our analysis has three prongs. First, to the extent that option listing relaxes a binding constraint, we would expect to see investors taking synthetic short positions in the newly-listed options. Contrary to this hypothesis, we find that the volume of newly-listed options tends to be very low, and, if anything, signed volume is more bullish that bearish during the first week of trading. Moreover, we find no significant relation between signed option volume and abnormal stock returns surrounding option listing. Second, if options help relax binding short-sale constraints, we might expect bearish option volume to be positively related to proxies for short sale constraints, divergence of opinion, and/or overvaluation. We examine nine different proxies and combinations of proxies, and in each case find either no relation, or a significant negative relation. Third, we demonstrate that prior results in the literature reporting a negative price reaction surrounding option listing are not robust to alternative methodological assumptions. All our evidence suggests that options do not reduce short sale constraints in an economically meaningful way.
Trading Costs Short Sale Constraints And The Performance Of Stock Market Anomalies In Emerging Europe
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Author : Adam Zaremba
language : en
Publisher:
Release Date : 2019
Trading Costs Short Sale Constraints And The Performance Of Stock Market Anomalies In Emerging Europe written by Adam Zaremba and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
The study has investigated the impact of trading costs and short sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies - mostly related to value, momentum, technical analysis, profitability, and issuance effects - delivered significant abnormal returns, the impact of trading costs and short-sale constraints proved truly lethal to most strategies. Once we accounted for commissions, bid-ask spreads, company size, weighting method, and short-sale unavailability, only a handful of anomalies remain significantly profitable. Our research relied on sorting procedures and cross-sectional tests applied to a sample of over 1,800 stocks from the Czech Republic, Hungary, Poland, Russia and Turkey in the years 2000 to 2015.
Short Sales Institutional Investors And The Book To Market Effect
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Author : Stefan Nagel
language : en
Publisher:
Release Date : 2003
Short Sales Institutional Investors And The Book To Market Effect written by Stefan Nagel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
When institutional ownership is low, stock loan supply tends to be sparse, and short-sale constraints are thus more likely to bind. This paper shows that the book-to-market (B/M) effect is concentrated among such difficult-to-short stocks: Holding size fixed, returns of low B/M stocks decline sharply with lower institutional ownership. Moreover, the underperformance of low B/M stocks is less pronounced among stocks held by passive investors with large stock lending programs. Finally, return predictability effects attributed to short-sale constraints in prior research (breadth of ownership effect; loser momentum) are most evident among stocks with low B/M and low institutional ownership. These findings suggest that overpricing of costly-to-short low B/M stocks rather than risk factor exposure generates much of the book-to-market effect in stock returns.
Short Selling Constraints
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Author : Jose A. Gutierrez
language : en
Publisher:
Release Date : 2016
Short Selling Constraints written by Jose A. Gutierrez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We assess the effect of four short-sale constraints on stock returns in isolation and in combination, in generally falling versus generally rising markets, and considering relative effects for large/mid-cap versus small/micro-cap firms. There is substantial evidence that our more fully specified model provides considerable additional explanatory power with less factor omission bias than prior studies. We also find that the constraint behavior is asymmetric when testing during generally falling versus generally rising markets, and that small- and micro-cap firms provide important effects when viewed separately. Our results provide substantive pricing differences between least versus most short-sale constrained stocks.
Informed Short Sellers And Stock Price Reactions To Earnings Announcements
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Author : Guojun Wang
language : en
Publisher:
Release Date : 2013
Informed Short Sellers And Stock Price Reactions To Earnings Announcements written by Guojun Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Using the special event of short selling ban removal in the Chinese stock market in March 2010, I study the relationship between short selling activities and future stock returns and the effect of short sale constraints on stock price reactions to earnings announcements. I find strong evidence supporting the Diamond and Verrecchia (1987) hypothesis that an unexpected increase in short interest predicts negative future stock returns. The long-short portfolio that buys stocks with a decline or no change in short interest and shorts stocks with an increase in short interest is able to generate a significant positive return in the following week. The positive return is strongest during the first two days, is most significant in three industries: properties, conglomerates, and industrials, is highest for big firms, growth stocks, and stocks with high short interest. Moreover, I also confirm the Diamond and Verrecchia (1987) prediction that reducing short sale constraints leads to smaller price adjustments on the private information announcement day as the stock price reaction to earnings surprises on earnings announcement day is found to be 70% lower after the short sale ban is removed. However, I don't find evidence supporting their prediction that the reduction in price reaction is larger when negative news is released due to data limitations.
The Stock Market
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Author : Charles Amos Dice
language : en
Publisher:
Release Date : 1926
The Stock Market written by Charles Amos Dice and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1926 with Securities categories.