Efficiency and the bear: Short sales and markets around the world

• 成果类型: Article
• 署名作者: Bris, Arturo; Goetzmann, William N.; Zhu, Ning
• 署名单位: University of California System; University of California Davis; Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01230.x
• 发表日期: 2007
• 页码: 1029-1079
• 关键词: CONDITIONAL SKEWNESS; bad-news; arbitrage; constraints; options; stocks; prices; volume

摘要

We analyze cross-sectional and time-series information from 46 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. We find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced. A common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic. We find strong evidence that in markets where short selling is either prohibited or not practiced, market returns display significantly less negative skewness.