Efficiency and the Bear: Short Sales and Markets around the World
We analyze cross-sectional and time series information from fortyseven equity markets around the world, to consider whether short–sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach developed in M?rck et al. (2000) we find significantly more crosssectional variation in equity returns in markets where short selling is feasible and practiced, controlling for a host of other factors. This evidence is consistent with more efficient price discovery at the individual security level. A common conjecture by regulators is that short–sales restrictions can reduce the relative severity of a market panic. We test this conjecture by examining the skewness of market returns. We find weak evidence that in markets where short selling is either prohibited or not practiced, market returns display significantly less negative skewness. However, at the individual stock level, short sales restrictions appear to make no difference.
Arturo Bris William N. Goetzmann Ning Zhu
Yale School of Management, 135 Prospect Street, New Haven, CT 06511-3729 USA University of California at Davis, One Shields Avenue, Davis, CA 95616-8609 USA
国际会议
西安
英文
1-48
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）