| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9466 |
| 来源ID | Working Paper 9466 |
| Efficiency and the Bear: Short Sales and Markets around the World | |
| William N. Goetzmann; Ning Zhu; Arturo Bris | |
| 发表日期 | 2003-02-03 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We analyze cross-sectional and time series information from forty-seven 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. Using the approach developed in Morck et.al. (2000) we find significantly more cross-sectional variation in equity returns in markets where short selling is feasible and practiced, controlling for a host of other factors. This evidence is consistent with more efficient price discovery at the individual security level. A common conjecture by regulators is that short-selling restrictions can reduce the relative severity of a market panic. We test this conjecture by examining the skewness of market returns. We find that in markets where short selling is either prohibited or not practiced, returns display significantly less negative skewness, and the frequency of extreme negative returns is lower. On the other hand, the overall volatility of individual returns and market returns is higher. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w9466 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567085 |
| 推荐引用方式 GB/T 7714 | William N. Goetzmann,Ning Zhu,Arturo Bris. Efficiency and the Bear: Short Sales and Markets around the World. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9466.pdf（516KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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