The DOI matches its Crossref record; 42 of the 42 references it cites were found in a registry or an index.
Price Efficiency and Short Selling
Open accessAbstract
This article presents a study of how stock price efficiency and return distributions are affected by short-sale constraints. The study is based on a global dataset, from 2005 to 2008, that includes more than 12,600 stocks from 26 countries. We present two main findings. First, lending supply has a significant impact on efficiency. Stocks with higher short-sale constraints, measured as low lending supply, have lower price efficiency. Second, relaxing short-sales constraints is not associated with an increase in either price instability or the occurrence of extreme negative returns.
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Citations
Cites
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, M. A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn053 · Cited by 10,746
Illiquidity and stock returns: cross-section and time-series effects
Amihud, Y. (2002) · Journal of Financial Markets · doi:10.1016/s1386-4181(01)00024-6 · Cited by 9,963
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Lo, A. W., & MacKinlay, A. C. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.41 · Cited by 3,731
RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
Miller, E. M. (1977) · The Journal of Finance · doi:10.1111/j.1540-6261.1977.tb03317.x · Cited by 3,701
Morck, R., Yeung, B., & Yu, W. (2000) · Journal of Financial Economics · doi:10.1016/s0304-405x(00)00071-4 · Cited by 3,335
R2 around the world: New theory and new tests☆
JIN, L., & MYERS, S. (2006) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.11.003 · Cited by 2,816
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00318 · Cited by 2,415
Constraints on short-selling and asset price adjustment to private information
Diamond, D. W., & Verrecchia, R. E. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90042-0 · Cited by 1,919
Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
Chen, J., Hong, H., & Stein, J. C. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00066-6 · Cited by 1,907
Simple formulas for standard errors that cluster by both firm and time
Thompson, S. B. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.08.016 · Cited by 1,512
Metadata
- Authors
- Saffi, P. A. C., & Sigurdsson, K.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2010-12-13
- Volume
- 24
- Issue
- 3
- Pages
- 821-852
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2140302323
- Cited by
- 667
- References
- 42
- FWCI
- 55.87
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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