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Short Selling Related Scholarly Compositions
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Related News,
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Accruals and Short Selling: An
Opportunity Foregone?
by Scott A.
Richardson
University of Pennsylvania - The Wharton School
June 2000
Abstract
Existing research indicates that firms with high accruals are
more likely to experience earnings reversals and lower returns
in the future. It has further been shown that analysts and
auditors do not anticipate these consequences. In this paper, I
examine a sophisticated set of investors (short sellers) to see
whether they anticipate the consequences of high accruals...
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Costly Short-Selling and Stock
Price Adjustment to Earnings Announcements
by Adam V.
Reed
June 5, 2003
Abstract
We study the effect of short-sale constraints on the
informational efficiency of stock prices using a direct measure
of shot-sale constraints from the equity lending market.
Specifically, we test the Diamond and Verrecchia (1987)
hypothesis that short-sale constraints reduce the speed at which
prices adjust to private information. We show that stocks for
which short-selling is particularly costly have larger price
reactions to earnings announcements, especially to bad news...
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Do short sellers target firms
with poor earnings quality? Evidence from earnings restatements
by Hemang
Desai, Srinivasan Krishnamurthy, & Kumar Venkataraman
Cox School of Business & SUNY - Binghampton University
July 19, 2005
Abstract
We study the behavior of short sellers around earnings
restatements. We find that short sellers start accumulating
positions in the restatements firms several months in advance of
the restatement announcement and subsequently unwind these
positions after the drop in share price induced by the
restatement. The increase in short interest is larger for firms
with high levels of accruals prior to the restatement, and the
association between short interest and accruals is robust to
controlling for firm size, book-to-market ratio and residual
standard deviation...
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The Effect of Short Selling on
Bubbles and Crashes in Experimental Spot Asset Markets
by Ernan
Haruvy & Charles N. Noussair
Abstract
A series of experiments illustrate that relaxing short-selling
constraints lowers prices in experimental asset markets, but
does not induce prices to track fundamentals. We argue that
prices in experimental asset markets are influenced by
restrictions on short-selling capacity and limits on the cash
available for purchases. Restrictions on short sales in the form
of cash reserve requirements and quantity limits on short
positions behave in a similar manner...
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Efficiency and the Bear: Short
Sales and Markets around the World
by Arturo
Bris, William N. Goetzmann, & Ning Zhu
February, 2004
Abstract
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 Mørck
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...
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Failure is an Option: Impediments
to Short Selling and Options Prices
by Richard
B. Evans, Christopher C. Geczy, David K. Musto, & Adam V. Reed
May 5, 2003
Abstract
A regulatory advantage of options market makers allows them to
short sell without borrowing stock. Two years of transactions by
a major market maker show these failed deliveries in over half
of the hard-to-borrow situations, and not a single
negative-rebate loan. Despite this low cost of short exposure,
options on hard-to-borrow stocks trade far from parity, implying
significant profits for the market makers...
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Offshore Hedge Funds: Survival &
Performance 1989-1995
by Stephen J. Brown, William N. Goetzmann, and Roger G. Ibbotson
NYU Stern School of Business & Yale School of Management
January 2, 1998
Abstract
We examine the performance of the off-shore hedge fund
industry over the period 1989 through 1995 using a database that
includes both defunct and currently operating funds. The
industry is characterized by high attrition rates of funds, low
covariance with the U.S. stock market, evidence consistent with
positive risk-adjusted returns over the time, but little
evidence of differential manager skill...
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On the Performance of Hedge Funds
by B. Liang
Weatherhead School of Management
Case Western Reserve University
May, 1998
Abstract
This paper investigates hedge fund performance and risk. The
empirical evidence indicates that hedge funds differ
substantially from traditional investment vehicles such as
mutual funds. The funds with watermarks significantly outperform
the funds without watermarks. The average hedge fund returns are
related positively to incentive fees, the size of the fund, and
the lockup period. Hedge funds follow dynamic trading strategies
and have low systematic risk. There are low correlations among
different strategies. Compared with mutual funds, hedge funds
offer better risk-return trade-offs: they have higher Sharpe
ratios, lower mrket risks, and higher abnormal returns. In the
period of January 1994 to December 1996, most hedge funds
provide positive abnormal returns. Overall, hedge fund
strategies dominate mutual fund strategies, hence hedge funds
provide a more efficient investment opportunity set for
investors.
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The Performance of Hedge Funds:
Risk, Return and Incentives
by Carl Ackermann, Richard McEnally, and David Ravenscraft
October, 1998
Abstract
Hedge funds display several interesting characteristics
that may influence performance. These include flexible
investment strategies, strong managerial incentives, substantial
managerial investment, sophisticated investors, and limited
government oversight. Using a large sample of hedge fund data
from 1988-1995, we find that hedge funds consistently outperform
mutual funds, but not standard market indices...
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Short-Sales in
Global Perspective
by Arturo
Bris, William N. Goetzmann, & Ning Zhu
Yale School of Management & University of California, Davis
December 9, 2003
Abstract
Short-selling differs significantly around the world, and
practice depends not
only on regulatory structure but upon costs and tax
considerations. Our survey of world markets suggests that, while
as much as 93 percent of the world's equity market by
capitalization is shortable, there are particular regions of the
world where it is difficult to take a short position. These
include several countries in Southeast Asia and South America...
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Short-sellers, fundamental
analysis and stock returns
by Patricia
M. Dechow, Amy P. Hutton, Lisa Meulbroek, & Richard G. Sloan
June, 2000
Abstract
Firms with low ratios of fundamentals (such as earnings and book
values) to market values are known to have systematically lower
future stock returns. We document that short-sellers position
themselves in the stock of such firms, and then cover their
positions as the ratios mean-revert. We also show that
short-sellers refine their trading strategies to minimize
transactions costs and maximize their investment returns...
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Short Selling on the New York
Stock Exchange and the Effects of the Uptick Rule
by Gordon
J. Alexander & Mark A. Peterson
University of Minnesota & Southern Illinois University at
Carbondale
Abstract
We examine the impact of Rule 10a-1, the Uptick Rule, on
short-sell orders sent to the NYSE. The principal finding is
that the execution quality of short-sell orders is adversely
affected by the Uptick Rule, even when stocks are trading in
advancing markets. This is inconsistent with one of the three
stated objectives of the rule, i.e., to allow relatively
unrestricted short selling when a firm's stock is advancing so
that the rule does not affect price discovery during such
times...
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The World Price of Short Selling
by Anchada
Charoenrook & Hazem Daouk
October, 2004
Abstract
This paper provides empirical evidence relevant to the ongoing
debate about how
short-sale constraints affect aggregate market returns and
whether short sales should be allowed. The study focuses on two
main questions. What is the effect of short-sale constraints on
skewness, coskewness, volatility, the intensity and severity of
market crashes, and liquidity?...
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Back to Scholarly Compositions
See also:
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Related News,
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