Short Selling Constraints
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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
The Real Effects Of Short Selling Constraints
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Author : Gustavo Grullon
language : en
Publisher:
Release Date : 2014
The Real Effects Of Short Selling Constraints written by Gustavo Grullon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We use a regulatory experiment (Regulation SHO) that relaxes short-selling constraints on a random sample of US stocks to test whether capital market frictions have an effect on stock prices and corporate decisions. We find that an increase in short-selling activity causes prices to fall, and that small firms react to these lower prices by reducing equity issues and investment. These results not only provide evidence that short-selling constraints affect asset prices, but also confirm that short-selling activity has a causal impact on financing and investment decisions.
Short Selling Constraints And Quantitative Investment Strategies
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Author : Panagiotis Andrikopoulos
language : en
Publisher:
Release Date : 2014
Short Selling Constraints And Quantitative Investment Strategies written by Panagiotis Andrikopoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This study uses stock lending data from Data Explorers to assess the impact of short-selling constraints on the profitability of eight investment strategies. Returns from unconstrained long-short portfolios are compared with those from 'feasible' portfolios, constrained to short-selling only those shares that can be borrowed. We find that only a small percentage of the firms identified by Datastream for short-selling are available for lending, but our results suggest that differences in profitability between unconstrained and feasible strategies are statistically insignificant. We also find that the stock borrowing fee for the majority of the strategies is normally less than 1% per annum, showing that prior UK studies, which assumed that the short-selling fee is flat at 1.50% per annum, have overestimated such cost. Overall, these results indicate that stock loan unavailability and stock borrowing fees do not explain the persistence of returns from anomaly-exploiting quantitative investment strategies in the UK stock market.
Short Constraints Are Persistent Constraints
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Author : Jesse Blocher
language : en
Publisher:
Release Date : 2018
Short Constraints Are Persistent Constraints written by Jesse Blocher 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.
Short selling constraints predict negative stock returns at the monthly frequency, but is it a monthly phenomenon? We show that short selling constraints are persistent, lasting nine months on average, and therefore measured subsequent negative returns cannot be due primarily to an easing of these constraints. Instead, negative returns from short constrained stocks result primarily because stock owners sell the constrained stock. Many common measures of short selling constraints in the literature actually measure persistent short selling constraints. 43.6% of all traded firms experience a persistent short-selling constraint episode lasting at least two months. Because persistent stock overpricing is predictable over long periods of time, CEOs and other insiders may be able to exploit it more easily.
Short Selling
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Author : James Clunie
language : en
Publisher: Harriman House Limited
Release Date : 2013-09-20
Short Selling written by James Clunie and has been published by Harriman House Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-20 with Business & Economics categories.
What is short-selling? And is it as profitable - or as dangerous - as it can seem? In this highly focused eBook, financial expert and author James Clunie reveals everything you need to know about the art of short-selling without wasting your time. Cutting to the quick, it lays bare: - all major short-selling techniques: quantitative, forensic accounting, thematic investing, fair value analysis, balance sheet weakness/financial distress, and exploiting market ecology - the advantages and disadvantages of each short-selling approach, and their rates of success and failure - where short-sellers get their information from - how short-sellers try to practise risk management and much more! With a low-growth atmosphere and markets still nervous in the wake of recent financial crises, there has never been a better time to get on top of what it means to be a successful short-seller. Short Selling by James Clunie is the most time and cost-effective way to start getting ahead of other traders and investors now.
Supply Side Short Selling Constraints
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Author : Jesse Blocher
language : en
Publisher:
Release Date : 2016
Supply Side Short Selling Constraints written by Jesse Blocher 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.
The equity lending literature has assumed that equity loan supply is static due to institutional constraints. Instead, we show that reduced stock lending (both at the margin and in levels) causes increased stock loan fees and stock overpricing. We find the strongest effect among stocks with the highest disagreement, as suggested by theory. Investors buy and do not lend for two reasons. First, they prefer positive skewness: loan-supply-constrained stocks exhibit increased lottery-like return distributions. Second, loan supply restrictions cause short-term positive holding period returns, implicating them in stock overpricing.
The Consequences Of Short Sale Constraints On The Stability Of Financial Markets
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Author : Gevorg Hunanyan
language : en
Publisher: Springer Nature
Release Date : 2019-10-05
The Consequences Of Short Sale Constraints On The Stability Of Financial Markets written by Gevorg Hunanyan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-05 with Business & Economics categories.
Gevorg Hunanyan develops a model that provides a comprehensive theoretical framework to study the consequences of short-sale constraints on the stability of financial markets. This model shows that overpricing of securities is solely attributable to the subjective second moment beliefs of investors. Thus, short-sale constraints prevent a market decline only if investors have low dispersion of beliefs, which in the model is embodied in the covariance matrix. Moreover, the author analyses the consequences of short-sale constraints on the investor’s portfolio selection, risk-taking behaviour as well as default probability. The author develops criteria that allow to analyse the effectiveness of short-sale constraints in reducing portfolio risk as well as default risk.
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 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.
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.