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The determinants of short selling: evidence from the Hong Kong equity market
16 references·0 citing·37 second hop
The determinants of short selling: evidence from the Hong Kong equity market (2011)The determinants of short selling: eviden…Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis (2012)Short‐Selling Bans Around the…Short-Sale Strategies and Return Predictability (2008)Short-Sale Strategies and Ret…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market (2007)Short‐Sales Constraints and P…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Why constrain your mutual fund manager? (2004)Why constrain your mutual fun…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Short‐Selling Prior to Earnings Announcements (2004)Short‐Selling Prior to Earnin…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Short-sellers, fundamental analysis, and stock returns (2001)Short-sellers, fundamental an…The relation between implied and realized volatility (1998)The relation between implied …Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Contrarian Investment, Extrapolation, and Risk (1994)Earnings, Book Values, and Dividends in Equity Valuation* (1995)Investor psychology in capital markets: evidence and policy implications (2002)Short Selling and the Price Discovery Process (2012)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Price Efficiency and Short Selling (2010)Political Incentives to Suppress Negative Information: Evidence from Chinese Listed Firms (2014)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Institutional Investors and the Informational Efficiency of Prices (2009)Efficient Capital Markets: II (1991)The Limits of Arbitrage (1995)DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2001Short-sellers, fundamental analysis, and stock returns783 cited
  • 2008Short-Sale Strategies and Return Predictability731 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 2012Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis649 cited
  • 2004Why constrain your mutual fund manager?569 cited
  • 2004Short‐Selling Prior to Earnings Announcements567 cited
  • 2007Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

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