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Author: Lin Zheng
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In this dissertation I aim at improving the understanding of the informativeness of short-selling in the context of the motivation, the impact on future stock returns, and the relation with market efficiencies. In Chapter 1, I study short sellers' reactions after quarterly earnings announcements as well as the associations between short sales and post announcement stock returns. Short sales increase immediately after both negative and positive earnings surprises. After positive earnings surprises, short sellers appear to act as contrarians, and trade against stock price overreaction, thereby inducing price reversal in the long run. After negative earnings surprises, short sellers act as momentum traders, and trade with post earnings announcement drift. However, they are not able to fully arbitrage away the downside post earnings announcement drift. The short sellers' different reactions at subsequent surprises in a series of same-sign earnings surprises implies that short sellers exploit the consequences of other investors' behavioral biases. The results highlight the motivations and impacts for short sales after earnings announcements. In Chapter 2, I investigate the informativeness of short-selling by combining Probability of Information-based Trading measure and short sales transaction data. Short sales depress stock returns in the short run, regardless of the information asymmetry level. However, short sales can not predict future stock return in the long run if information asymmetry levels are low. Large size short sales are the most informed. When short sales constraints are more binding, short-selling is more informed, especially for the stocks with high information asymmetry levels. In Chapter 3, I examine short sales prior to merger and acquisition announcements for acquiring firms. Short-selling increases prior to stock-financed not cash-financed mergers and acquisitions. Pre-announcement abnormal short-selling is negatively related to post-announcement stock returns. Short sellers are informed of the method of payment, but not the outcome. The results also indicate that short-sellers are more active in stocks with larger firm size, lower book-to-market ratio, and higher liquidity.
Author: Lin Zheng
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In this dissertation I aim at improving the understanding of the informativeness of short-selling in the context of the motivation, the impact on future stock returns, and the relation with market efficiencies. In Chapter 1, I study short sellers' reactions after quarterly earnings announcements as well as the associations between short sales and post announcement stock returns. Short sales increase immediately after both negative and positive earnings surprises. After positive earnings surprises, short sellers appear to act as contrarians, and trade against stock price overreaction, thereby inducing price reversal in the long run. After negative earnings surprises, short sellers act as momentum traders, and trade with post earnings announcement drift. However, they are not able to fully arbitrage away the downside post earnings announcement drift. The short sellers' different reactions at subsequent surprises in a series of same-sign earnings surprises implies that short sellers exploit the consequences of other investors' behavioral biases. The results highlight the motivations and impacts for short sales after earnings announcements. In Chapter 2, I investigate the informativeness of short-selling by combining Probability of Information-based Trading measure and short sales transaction data. Short sales depress stock returns in the short run, regardless of the information asymmetry level. However, short sales can not predict future stock return in the long run if information asymmetry levels are low. Large size short sales are the most informed. When short sales constraints are more binding, short-selling is more informed, especially for the stocks with high information asymmetry levels. In Chapter 3, I examine short sales prior to merger and acquisition announcements for acquiring firms. Short-selling increases prior to stock-financed not cash-financed mergers and acquisitions. Pre-announcement abnormal short-selling is negatively related to post-announcement stock returns. Short sellers are informed of the method of payment, but not the outcome. The results also indicate that short-sellers are more active in stocks with larger firm size, lower book-to-market ratio, and higher liquidity.
Author: Yinghui Yu
Publisher: Open Dissertation Press
ISBN: 9781361423073
Category :
Languages : en
Pages :
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This dissertation, "Short-sales Constraints and Market Efficiency: Evidence From the Hong Kong Market" by Yinghui, Yu, 于映輝, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Short-Sales Constraints and Market Efficiency: Evidence from the Hong Kong Market Submitted by Yinghui YU for the degree of Doctor of Philosophy at the University of Hong Kong in August 2006 In this thesis, I study how short-sales constraints affect market efficiency, especially the pricing efficiency of stock market, by carrying out empirical tests based on data from the Hong Kong stock market. Short-sales practices in the Hong Kong stock market are unique in that only stocks on a list of designated securities can be sold short. The list was established in January 1994 and had been revised 21 times through January 27, 2003. I apply event study methodology to analyze the price effects around the events in which individual stocks are added to or removed from the list, and I use a simulation method based on bootstrap procedures in significance testing. I find that short-sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks where wider dispersion of investor opinions exists. These findings are consistent with Miller (1977) intuition and other optimism models. I find that individual stock returns exhibit higher volatility and less positive i skewness when short sales are allowed. I also find evidence that when bad news are announced, individual stocks under short-sales restrictions exhibit more dramatic drift, which suggests that short-sales constraints is at least partially responsible for the asymmetric pattern in the underreaction to news announcement. (No. of words: 208) ii DOI: 10.5353/th_b3720564 Subjects: Short selling - China - Hong Kong Stocks - Prices - China - Hong Kong
Author: Moritz Wiebke
Publisher: GRIN Verlag
ISBN: 3346395626
Category : Business & Economics
Languages : en
Pages : 65
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Master's Thesis from the year 2020 in the subject Economics - Finance, grade: 1,0, University of Vienna (Fakultät für Wirtschaftswissenschaften), language: English, abstract: This paper investigates the impact of short sale bans on the market microstructure of equity markets by focusing on three major stock market characteristics: (How) did the ban affect stock liquidity, (how) did the ban influence price efficiency, and did the regulators manage to stabilize stock prices by imposing short sale bans? On March 12, 2020, the EURO STOXX 50, the major European stock index declined by more than 12% - the largest loss ever reported on a single day since index inception in 1986. Other major stock indices around the globe experienced a similar drop. The Covid-19 crisis was about to hit and there was great uncertainty among investors, reflected by very volatile stock markets. The corresponding volatility index VSTOXX had its peak on March 16, 2020, with an implied volatility of 86%. To stabilize capital markets and restore the confidence of investors during volatile times, regulators can make use of temporary bans on short sales, i.e., restricting investors in their ability to profit from declining stock prices. This was the case in numerous countries during the financial crisis in 2007-09.
Author: Lin Zheng
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
Using intraday transactions data including short sales, I study short-selling around quarterly earnings announcements and linkages between short sales and post earnings announcement stock returns. Short sales increase immediately after both negative and positive earnings surprises. Furthermore, patterns in shorting at subsequent surprises in series of same-sign earnings surprises suggest that short sellers exploit the consequences of other investors' behavioral biases. The results highlight motivations for short sales after earnings announcements, and illustrate how short-selling contributes to market efficiency after positive (but not negative) earnings surprises.
Author: United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
Publisher:
ISBN:
Category : Consumer protection
Languages : en
Pages : 1358
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Author: Aswath Damodaran
Publisher: John Wiley & Sons
ISBN: 9780471414902
Category : Business & Economics
Languages : en
Pages : 1014
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Book Description
Valuation is a topic that is extensively covered in business degree programs throughout the country. Damodaran's revisions to "Investment Valuation" are an addition to the needs of these programs.
Author: Min Bai
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This study examines how short sales constraints affect the stock price adjustment to the release of public information in the Hong Kong Stock Exchange. Using a unique feature of this market that allows us to directly investigate the impact of short sales restriction, we find the following. First, non-shortable stocks react more strongly to the publication of negative information than shortable stocks do. Second, non-shortable stocks are overpriced before negative earnings announcements. Hence, part of the strong market reaction of non-shortable stocks on announcement day could be due to the correction of such overpricing. Third, the prices of non-shortable stocks reverse following the announcement of negative information, suggesting that investors overreact to negative information on announcement day. Fourth, it takes longer for the prices of non-shortable stocks to adjust to negative earnings information. On the whole, our results support the research that finds short sales restrictions reduce the efficiency of stock markets.
Author: United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
Publisher:
ISBN:
Category : Consumer protection
Languages : en
Pages : 868
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Author: Andrew Ang
Publisher: Now Publishers Inc
ISBN: 1601984685
Category : Business & Economics
Languages : en
Pages : 99
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Book Description
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
