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Article: Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

TitleShort-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market
Authors
Issue Date2007
PublisherBlackwell Publishing, Inc.
Citation
The Journal of Finance, 2007, v. 62 n. 5, p. 2097-2121 How to Cite?
AbstractShort-sales practices in the Hong Kong stock market are unique in that only stocks on a list of designated securities can be sold short. By analyzing the price effects following the addition of individual stocks to the list, we find that short-sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed.
Persistent Identifierhttp://hdl.handle.net/10722/85836
ISSN
2015 Impact Factor: 5.105
2015 SCImago Journal Rankings: 14.546
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_HK
dc.contributor.authorCheng, JWen_HK
dc.contributor.authorYu, YHen_HK
dc.date.accessioned2010-09-06T09:09:48Z-
dc.date.available2010-09-06T09:09:48Z-
dc.date.issued2007en_HK
dc.identifier.citationThe Journal of Finance, 2007, v. 62 n. 5, p. 2097-2121en_HK
dc.identifier.issn0022-1082en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85836-
dc.description.abstractShort-sales practices in the Hong Kong stock market are unique in that only stocks on a list of designated securities can be sold short. By analyzing the price effects following the addition of individual stocks to the list, we find that short-sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed.-
dc.languageengen_HK
dc.publisherBlackwell Publishing, Inc.en_HK
dc.relation.ispartofThe Journal of Financeen_HK
dc.titleShort-Sales Constraints and Price Discovery: Evidence from the Hong Kong Marketen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0022-1082&volume=62&spage=No. 5, 2097&epage=2121&date=2007&atitle=Short-Sales+Constraints+and+Price+Discovery:+Evidence+from+the+Hong+Kong+Marketen_HK
dc.identifier.emailChang, EC: ecchang@business.hku.hken_HK
dc.identifier.authorityChang, EC=rp01050en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/j.1540-6261.2007.01270.x-
dc.identifier.scopuseid_2-s2.0-34548496502-
dc.identifier.hkuros140114en_HK
dc.identifier.eissn1540-6261-
dc.identifier.isiWOS:000249426200003-
dc.identifier.citeulike1631358-

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