SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China
16 references·5 citing·45 second hopsampled
Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China (2017)Does short selling improve stock price ef…Short Selling and the Price Discovery Process (2012)Short Selling and the Price D…A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)A Simple Way to Estimate Bid‐…Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Which Shorts Are Informed? (2007)Which Shorts Are Informed?Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2002)Unique Equilibrium in a Model…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…A model of investor sentiment /A model of investor sentiment…Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets (2020)Short-selling, margin-trading…Dividend payout policy of Shariah compliant firms: Evidence from United States (2020)Dividend payout policy of Sha…The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market (2019)The impact of short-selling a…Does downside risk matter more in asset pricing? Evidence from China (2019)Does downside risk matter mor…The disciplinary effects of short sales on controlling shareholders (2017)The disciplinary effects of s…Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)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)Judgment under Uncertainty: Heuristics and Biases (1974)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)R2 around the world: New theory and new tests☆ (2005)Does board gender diversity improve the informativeness of stock prices? (2011)Judgment under Uncertainty: Heuristics and Biases (1975)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Biases in Dynamic Models with Fixed Effects (1981)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Low-Latency Trading (2011)High-Frequency Trading and Price Discovery (2014)Corporate Immunity to the COVID-19 Pandemic (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2002

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks
911 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2012Short Selling and the Price Discovery Process737 cited
  • Cited by

    • 2019Does downside risk matter more in asset pricing? Evidence from China38 cited
    • 2017The disciplinary effects of short sales on controlling shareholders37 cited
    • 2020Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets36 cited
    • 2020Dividend payout policy of Shariah compliant firms: Evidence from United States34 cited
    • 2019The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market29 cited