Views
3 years ago

Short-Sales Constraints and Price Discovery: Evidence from the ...

Short-Sales Constraints and Price Discovery: Evidence from the ...

empirical efforts

empirical efforts examining the effect of short-sales constraints on overvaluation dateback to Figlewski (1981), who tests the theory by looking at the relationship betweenthe level of short interest and subsequent stock returns. His test is based on theassumption that observed short interest could proxy for the level of shares that wouldbe sold short if short-sales constraints were nonexistent. He provides evidence thatmore-heavily shorted firms underperform less-heavily shorted firms.Chen, et al. (2002), however, argue that this short-interest proxy may suffermisspecification in that variations across stocks in short interest may instead reflectvariations in the transactions costs of shorting. A stock with a low or zero value ofshort interest may simply be difficult or costly to short, which could potentiallytranslate into more, rather than less, negative information being held off the market.Chen, et al. (2002) hold that there may be no clear-cut interpretation of therelationship between short interest and subsequent returns, 3and they bring forwardanother proxy for short-sales constraints: the low breadth of ownership. They find thatstocks experiencing decline in breadth of ownership—a proxy for short-salesconstraints becoming more tightly binding—subsequently underperform those forwhich breadth has increased.Danielsen and Sorescu (2001) adopt a different approach. They focus onabnormal stock returns following option listing. Since the introduction of traded putand call options arguably offers a lower-cost way of establishing a short position, thelisting of options listing can be viewed as the de facto alleviation of short-salesconstraints. Their empirical results indicate that post-1980 option introductions areassociated with negative abnormal returns in underlying stocks, which support theoverpricing hypothesis. Using data on DotComs, Ofek and Richardson (2003) showthat short-sales constraints, in the form of stock option lockups, have a considerableand persistent negative impact on subsequent stock returns. This supports the3 Direct supporting evidence is found in D'Avolio (2002). For stock deciles sorted by short interest, neither themean loan fee nor the percentage of stocks with high loan fees of the portfolio is monotonic in the actual shortinterest. This shows that short interest is not an effective measure of short-sales constraints.- 3 -

Short-Sales Constraints and Price Discovery: Evidence from ... - HIEBS
Short Sale Constraints, Dispersion of Opinion, and Market Quality ...
Effects of Short-sale Constraints on Stock Prices and Trading Activity ...
Short-sale constraints and stock returns
Market Efficiency, Stability and Short-Sale Constraints: Evidence ...
Asset Prices Under Short-Sale Constraints
Short-Sale Constraints, Return Predictability, and ... - Marriott School
Evidence from Retail Short Sales - European Retail Investment ...
SIGNALING VIA STOCK SPLITS: EVIDENCE FROM SHORT ...
Savings Constraints and Microenterprise Development: Evidence ...
Effects of Differences of Opinions and Short-sale Constraints on the ...
CONSTRAINTS ON SHORT-SELLING AND ASSET PRICE ... - Faculty
Evidence from Turkish Banks' Equity Prices
Evidence from a New Price Impact Ratio - Quantitative and ...
Constraints To Growth And Employment: Evidence From The ... - tips
asset pricing with higher moments: evidence from ... - APJFS
Innovation, Credit Constraints, and Trade Credit: Evidence from a ...
Short-Selling Bans around the World: Evidence from the 2007-09 ...
Evidence from the 2008 Ban on Short Sales - EDHEC-Risk
Migration and financial constraints: Evidence from Mexico - CReAM
What Does Tax Aggressiveness Signal? Evidence from Stock Price ...
Asset Float and Stock Prices: Evidence from the Chinese ... - Istituti
On free lunches in random walk markets with short-sale constraints ...
Price Discovery for Segmented U.S. -Listed Chinese Stocks
Financial Constraints and Firm Export Quality: Evidence from France
1 Aggressive Short Selling and Price Reversals ... - ResearchGate
Are Sticky Prices Costly? Evidence From The Stock Market
Post merger profitability analysis of shareholders. Evidence from ...
Overreaction and Insider Trading: Evidence from Growth and Value ...