메뉴 건너뛰기




Volumn 62, Issue 3, 2007, Pages 1029-1079

Efficiency and the bear: Short sales and markets around the world

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34248190280     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01230.x     Document Type: Article
Times cited : (530)

References (52)
  • 3
    • 11544251374 scopus 로고    scopus 로고
    • Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange
    • Aitken, Michael, Alex Frino, Michael S. McCorry, and Peter L. Swan, 1998, Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange, Journal of Finance 53, 2205 2223.
    • (1998) Journal of Finance , vol.53 , pp. 2205-2223
    • Aitken, M.1    Frino, A.2    McCorry, M.S.3    Swan, P.L.4
  • 4
    • 0000961158 scopus 로고
    • Arbitrage, short sales, and financial innovation
    • Allen, Franklin, and Douglas Gale, 1991, Arbitrage, short sales, and financial innovation, Econometrica 59, 1041 1068.
    • (1991) Econometrica , vol.59 , pp. 1041-1068
    • Allen, F.1    Gale, D.2
  • 5
    • 0004074032 scopus 로고
    • An empirical investigation of short interest
    • Harvard Business School
    • Asquith, P., and L. Meulbroek, 1995, An empirical investigation of short interest, Working paper, Harvard Business School.
    • (1995) Working Paper
    • Asquith, P.1    Meulbroek, L.2
  • 6
    • 33847079227 scopus 로고    scopus 로고
    • Corporate governance and conditional skewness in the world's stock markets
    • Bae, Kee-Hong, Chan-Woo Lim, and K. C. John Wei, 2006, Corporate governance and conditional skewness in the world's stock markets, Journal of Business 79, 2999 3028.
    • (2006) Journal of Business , vol.79 , pp. 2999-3028
    • Bae K.-Hong1    Lim C.-Woo2    John Wei, K.C.3
  • 7
    • 0040212676 scopus 로고    scopus 로고
    • Foreign speculators and emerging equity markets
    • Bekaert, Geert, and Campbell R. Harvey, 2000, Foreign speculators and emerging equity markets, Journal of Finance 55, 565 613.
    • (2000) Journal of Finance , vol.55 , pp. 565-613
    • Bekaert, G.1    Harvey, C.R.2
  • 10
    • 84996561280 scopus 로고    scopus 로고
    • Short sales constraints, liquidity and price discovery: An empirical analysis on the Paris Bourse
    • Biais, Bruno, Christophe Bisiere, and Jean-Paul Decamps, 1999, Short sales constraints, liquidity and price discovery: An empirical analysis on the Paris Bourse, European Financial Management 5, 395 409.
    • (1999) European Financial Management , vol.5 , pp. 395-409
    • Biais, B.1    Bisiere, C.2    Decamps J.-Paul3
  • 12
    • 0002519023 scopus 로고    scopus 로고
    • Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
    • Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1 43.
    • (2001) Journal of Finance , vol.56 , pp. 1-43
    • Campbell, J.Y.1    Lettau, M.2    Malkiel, B.G.3    Xu, Y.4
  • 13
    • 23444432864 scopus 로고    scopus 로고
    • Informational content of option volume prior to takeovers
    • Cao, Charles Q., Zhiwu Chen, and John M. Griffin, 2005, Informational content of option volume prior to takeovers, Journal of Business 78, 1073 1109.
    • (2005) Journal of Business , vol.78 , pp. 1073-1109
    • Cao, C.Q.1    Chen, Z.2    Griffin, J.M.3
  • 15
    • 30044441809 scopus 로고    scopus 로고
    • The world price of short selling
    • Cornell University
    • Charoenrook, Anchada, and Hazem Daouk, 2004, The world price of short selling, Working paper, Cornell University.
    • (2004) Working Paper
    • Charoenrook, A.1    Daouk, H.2
  • 16
    • 0000218139 scopus 로고    scopus 로고
    • Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices
    • Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345 381.
    • (2001) Journal of Financial Economics , vol.61 , pp. 345-381
    • Chen, J.1    Hong, H.2    Stein, J.C.3
  • 17
    • 0000178282 scopus 로고
    • Financial innovation and arbitrage pricing in frictional economies
    • Chen, Zhiwu, 1995, Financial innovation and arbitrage pricing in frictional economies, Journal of Economic Theory 65, 117 135.
    • (1995) Journal of Economic Theory , vol.65 , pp. 117-135
    • Chen, Z.1
  • 18
    • 34248157802 scopus 로고    scopus 로고
    • Viable costs and equilibrium prices in frictional securities markets
    • Chen, Zhiwu, 2001, Viable costs and equilibrium prices in frictional securities markets, Annals of Economics and Finance 2, 297 323.
    • (2001) Annals of Economics and Finance , vol.2 , pp. 297-323
    • Chen, Z.1
  • 19
  • 20
    • 0035732388 scopus 로고    scopus 로고
    • Why do option introductions depress stock prices? A study of diminishing short sales constraints
    • Danielsen, B., and S. Sorescu, 2001, Why do option introductions depress stock prices? A study of diminishing short sales constraints, Journal of Financial and Quantitative Analysis 36, 451 484.
    • (2001) Journal of Financial and Quantitative Analysis , vol.36 , pp. 451-484
    • Danielsen, B.1    Sorescu, S.2
  • 21
    • 0040411194 scopus 로고
    • "trading in the wind" with Guile: The troublesome matter of the short selling of shares in seventeenth century Holland
    • De Marchi, Neil and Paul Harrison, 1994, "Trading in the wind" with Guile: The troublesome matter of the short selling of shares in seventeenth century Holland, History of Political Economy Supplement 26, 47 65.
    • (1994) History of Political Economy Supplement , vol.26 , pp. 47-65
    • De Marchi, N.1    Harrison, P.2
  • 22
    • 0001675669 scopus 로고
    • Constraints on short-selling and asset price adjustment to private information
    • Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277 311.
    • (1987) Journal of Financial Economics , vol.18 , pp. 277-311
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 24
    • 84977707532 scopus 로고
    • Option arbitrage in imperfect markets
    • Figlewski, Stephen, 1989, Option arbitrage in imperfect markets, Journal of Finance 44, 1289 1311.
    • (1989) Journal of Finance , vol.44 , pp. 1289-1311
    • Figlewski, S.1
  • 25
    • 84993650709 scopus 로고
    • Options, short sales, and market completeness
    • Figlewski, Stephen, and Gwendolyn P. Webb, 1993, Options, short sales, and market completeness, Journal of Finance 48, 761 777.
    • (1993) Journal of Finance , vol.48 , pp. 761-777
    • Figlewski, S.1    Webb, G.P.2
  • 26
    • 0002357241 scopus 로고    scopus 로고
    • The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the U.S.
    • Foerster, Stephen R., and G.Andrew Karolyi, 1999, The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the U.S., Journal of Finance 54, 981 1014.
    • (1999) Journal of Finance , vol.54 , pp. 981-1014
    • Foerster, S.R.1    Karolyi G.Andrew2
  • 27
    • 0000774157 scopus 로고    scopus 로고
    • Stocks are special too: An analysis of the equity lending market
    • Geczy, Christopher C., David K. Musto, and Adam V. Reed, 2002, Stocks are special too: An analysis of the equity lending market, Journal of Financial Economics 66, 241 269.
    • (2002) Journal of Financial Economics , vol.66 , pp. 241-269
    • Geczy, C.C.1    Musto, D.K.2    Reed, A.V.3
  • 28
    • 0010274340 scopus 로고    scopus 로고
    • Assessing specification errors in stochastic discount factor models
    • Hansen, Lars Peter, and Ravi Jagannathan, 1997, Assessing specification errors in stochastic discount factor models, Journal of Finance 52, 557 590.
    • (1997) Journal of Finance , vol.52 , pp. 557-590
    • Hansen, L.P.1    Jagannathan, R.2
  • 29
    • 84937290579 scopus 로고
    • Market frictions and consumption-based asset pricing
    • He, Hua, and David Modest, 1995, Market frictions and consumption-based asset pricing, Journal of Political Economy 103, 94 117.
    • (1995) Journal of Political Economy , vol.103 , pp. 94-117
    • He, H.1    Modest, D.2
  • 30
    • 0039372663 scopus 로고    scopus 로고
    • Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies
    • Hong, Harrison, Terence Lim, and Jeremy C. Stein, 2000, Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies, Journal of Finance 55, 265 295.
    • (2000) Journal of Finance , vol.55 , pp. 265-295
    • Hong, H.1    Lim, T.2    Stein, J.C.3
  • 31
    • 0038176749 scopus 로고    scopus 로고
    • Differences of opinion, short sales constraints and market crashes
    • Hong, Harrison, and Jeremy C. Stein, 2003, Differences of opinion, short sales constraints and market crashes, Review of Financial Studies 16, 487 525.
    • (2003) Review of Financial Studies , vol.16 , pp. 487-525
    • Hong, H.1    Stein, J.C.2
  • 32
    • 24044454681 scopus 로고    scopus 로고
    • Market frictions, price delay, and the cross-section of expected returns
    • Hou, Kewei, and Tobias J. Moskowitz, 2004, Market frictions, price delay, and the cross-section of expected returns, Review of Financial Studies 18, 981 1020.
    • (2004) Review of Financial Studies , vol.18 , pp. 981-1020
    • Hou, K.1    Moskowitz, T.J.2
  • 33
    • 34248190865 scopus 로고    scopus 로고
    • International Securities Services Association Handbook, ISSA, Zurich, Switzerland).
    • International Securities Services Association Handbook, 2002 (ISSA, Zurich, Switzerland).
    • (2002)
  • 34
    • 84877100059 scopus 로고    scopus 로고
    • Short sales constraints and stock returns
    • Jones, Charles, and Owen Lamont, 2002, Short sales constraints and stock returns, Journal of Financial Economics 66, 207 239.
    • (2002) Journal of Financial Economics , vol.66 , pp. 207-239
    • Jones, C.1    Lamont, O.2
  • 35
    • 0041077441 scopus 로고    scopus 로고
    • Efficient trading strategies in the presence of market frictions
    • Jouini, E., and H. Kallal, 2001, Efficient trading strategies in the presence of market frictions, Review of Financial Studies 14, 343 369.
    • (2001) Review of Financial Studies , vol.14 , pp. 343-369
    • Jouini, E.1    Kallal, H.2
  • 36
    • 84977314600 scopus 로고
    • Put-call parity and market efficiency
    • Klemkosky, Robert C., and Bruce G. Resnick, 1979, Put-call parity and market efficiency, Journal of Finance 34, 1141 1155.
    • (1979) Journal of Finance , vol.34 , pp. 1141-1155
    • Klemkosky, R.C.1    Resnick, B.G.2
  • 38
    • 4043075627 scopus 로고    scopus 로고
    • Aggregate short interest and market valuations
    • Lamont, Owen, and Jeremy C. Stein, 2004, Aggregate short interest and market valuations, American Economic Review 94, 29 32.
    • (2004) American Economic Review , vol.94 , pp. 29-32
    • Lamont, O.1    Stein, J.C.2
  • 39
    • 0013020712 scopus 로고    scopus 로고
    • Can the market add and substract? Mispricing in tech stock carve-outs
    • Lamont, Owen, and Richard H. Thaler, 2003, Can the market add and substract? Mispricing in tech stock carve-outs, Journal of Political Economy 21, 227 268.
    • (2003) Journal of Political Economy , vol.21 , pp. 227-268
    • Lamont, O.1    Thaler, R.H.2
  • 40
    • 10044250986 scopus 로고    scopus 로고
    • Heterogeneous expectations and stock prices in segmented markets: Application to Chinese firms
    • Li, Lianfa, and Belton M. Fleisher, 2004, Heterogeneous expectations and stock prices in segmented markets: Application to Chinese firms, Quarterly Journal of Economics and Finance 44, 521 538.
    • (2004) Quarterly Journal of Economics and Finance , vol.44 , pp. 521-538
    • Li, L.1    Fleisher, B.M.2
  • 41
    • 0000621768 scopus 로고
    • An econometric analysis of nonsynchronous trading
    • Lo, Andrew W., and A. Craig MacKinlay, 1990, An econometric analysis of nonsynchronous trading, Journal of Econometrics 45, 181 211.
    • (1990) Journal of Econometrics , vol.45 , pp. 181-211
    • Lo, A.W.1    MacKinlay, A.C.2
  • 42
    • 0001116758 scopus 로고    scopus 로고
    • Asset pricing in economies with frictions
    • Luttmer, Erzo G. P., 1996, Asset pricing in economies with frictions, Econometrica 64, 1429 1467.
    • (1996) Econometrica , vol.64 , pp. 1429-1467
    • Luttmer, E.G.P.1
  • 43
    • 33748776731 scopus 로고    scopus 로고
    • Short sales constraints, overvaluation, and the introduction of options
    • Securities and Exchange Commission
    • Mayhew, Stewart, and Vassil Mihov, 2004, Short sales constraints, overvaluation, and the introduction of options, Working paper, Securities and Exchange Commission.
    • (2004) Working Paper
    • Mayhew, S.1    Mihov, V.2
  • 45
    • 0001373089 scopus 로고    scopus 로고
    • The information content of stock markets: Why do emerging markets have synchronous stock price movement?
    • and
    • Mørck, Randall, Bernard Yeung, and Wayne Yu, 2000, The information content of stock markets: Why do emerging markets have synchronous stock price movement? Journal of Financial Economics 58, 215 260.
    • (2000) Journal of Financial Economics , vol.58 , pp. 215-260
    • Mørck, R.1    Yeung, B.2    Yu, W.3
  • 46
    • 0142188086 scopus 로고    scopus 로고
    • DotCom mania: The rise and fall of internet stock prices
    • Ofek, Eli, and Matthew Richardson, 2003, DotCom mania: The rise and fall of internet stock prices, Journal of Finance 58, 1113 1137.
    • (2003) Journal of Finance , vol.58 , pp. 1113-1137
    • Ofek, E.1    Richardson, M.2
  • 47
    • 7444245569 scopus 로고    scopus 로고
    • Limited arbitrage and short sales restrictions: Evidence from the options markets
    • Ofek, Eli, Matthew Richardson, and Robert F. Whitelaw, 2004, Limited arbitrage and short sales restrictions: Evidence from the options markets, Journal of Financial Economics 74, 305 342.
    • (2004) Journal of Financial Economics , vol.74 , pp. 305-342
    • Ofek, E.1    Richardson, M.2    Whitelaw, R.F.3
  • 48
    • 0036123286 scopus 로고    scopus 로고
    • Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange
    • Poitras, Geoffrey, 2002, Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange, Pacific Basin Finance Journal 10, 141 162.
    • (2002) Pacific Basin Finance Journal , vol.10 , pp. 141-162
    • Poitras, G.1
  • 50
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341 360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.A.1
  • 51
    • 0942288976 scopus 로고    scopus 로고
    • Overconfidence and speculative bubbles
    • Scheinkman, Jose, and Wei Xiong, 2003, Overconfidence and speculative bubbles, Journal of Political Economy 111, 1183 1219.
    • (2003) Journal of Political Economy , vol.111 , pp. 1183-1219
    • Scheinkman, J.1    Xiong, W.2
  • 52
    • 5544289979 scopus 로고
    • Isaac le Maire en de Handle in Action der Oost-Indische Companie
    • van Dillen, J. G., 1930, Isaac Le Maire en de Handle in Action der Oost-Indische Companie, Economisch-historisch Jaarboek 16, 107 111.
    • (1930) Economisch-historisch Jaarboek , vol.16 , pp. 107-111
    • Van Dillen, J.G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.