Access the full text.
Sign up today, get DeepDyve free for 14 days.
J. J. Heckman, R. Robb (1986)
Drawing Inferences from Self‐Selected Samples
Gustavo Grullon, S. Michenaud, J. Weston (2014)
The Real Effects of Short-Selling ConstraintsMicroeconomics: Production
Chen (2007)
Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investorsJournal of Behavioral Decision Making, 20
Qingbin Meng, Ying Li, Xuanyu Jiang, Kam Chan (2017)
Informed or speculative trading? Evidence from short selling before star and non-star analysts’ downgrade announcements in an emerging marketJournal of Empirical Finance, 42
I. Marsh, Richard Payne (2012)
Banning short sales and market quality: The UK’s experienceJournal of Banking and Finance, 36
Blau (2012)
Informed or speculative: short selling analyst recommendationsJournal of Banking & Finance, 36
Stephen Christophe, Michael Ferri, Jim Hsieh (2008)
Informed Trading Before Analyst Downgrades: Evidence from Short SellersAFA 2009 San Francisco Meetings (Archive)
Gong-meng Chen, Kenneth Kim, John Nofsinger, Oliver Rui (2007)
Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market InvestorsFEN: Behavioral Finance (Topic)
(2016)
Hasbrouck (1993) decomposes the stock price into random-walk and stationary components. The random-walk component is the efficient price, and the stationary © 2018 AFAANZ
R. Rohh (2001)
ALTERNATIVE METHODS FOR EVALUATING THE IMPACT OF INTERVENTIONS An Overview
Wei Zhang, Shen Lin, Yongjie Zhang (2016)
Intraday Market-Wide Ups/Downs and ReturnsBehavioral & Experimental Finance eJournal
Joel Hasbrouck (1993)
Assessing the Quality of a Security Market: A New Approach to Transaction-Cost MeasurementReview of Financial Studies, 6
K. B. Diether, K. H. Lee, I. M. Werner (2009)
It's SHO Time! Short‐sale price tests and market quality, 64
Benjamin Blau, Kathleen Fuller, R. Ness (2009)
Short Selling around Dividend Announcements and Ex-Dividend DaysMonetary Economics
Eric Kelley, Ekkehart Boehmer (2005)
Institutional Investors and the Informational Efficiency of PricesMarket Efficiency
Rui Li, Nan Li, Jiahui Li, Chongfeng Wu (2018)
Short Selling, Margin Buying and Stock Return in China MarketARN Wiley-Blackwell Publishers Journals
Chang (2014)
Short-selling, margin-trading, and price efficiency: evidence from the Chinese marketJournal of Banking & Finance, 48
Brunnermeier (2005)
Predatory tradingJournal of Finance, 60
J. Delong, A. Shleifer, L. Summers, R. Waldmann (1987)
The Economic Consequences of Noise TradersCapital Markets: Market Efficiency
Jonathan Karpoff, Xiaoxia Lou (2009)
Short Sellers and Financial MisconductAmerican Finance Association Meetings (AFA)
E. Chang, Yinghui Yu (2004)
Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong MarketCapital Markets: Market Microstructure eJournal
Rui Li, Jiahui Li, Jinjian Yuan (2017)
Short-sale prohibitions, firm characteristics and stock returns: evidence from Chinese marketChina Finance Review International, 7
Wei Zhang, Ke Huang, Xu Feng, Yongjie Zhang (2017)
Market maker competition and price efficiency: Evidence from ChinaEconomic Modelling, 66
Boehmer (2008)
Which shorts are informed?The Journal of Finance, 63
(2005)
Predatory trading, Journal of Finance
V. Acharya, Zhaoxia Xu (2013)
Financial Dependence and Innovation: The Case of Public Versus Private FirmsCorporate Governance & Finance eJournal
Christophe (2010)
Informed trading before analyst downgrades: evidence from short sellersJournal of Financial Economics, 95
A. Lo, A. Mackinlay (1987)
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification TestNBER Working Paper Series
Wang Yan (2004)
Measuring the Information Content of Stock Trades
Blau (2011)
Short selling around dividend announcements and ex-dividend daysJournal of Corporate Finance, 17
Maureen O'Hara, Mao Ye (2009)
Is Market Fragmentation Harming Market Quality?Capital Markets: Market Microstructure
Wesley Deng, Vishal Gupta, M. Lipson, Sandra Mortal (2017)
Short Sale Constraints and Corporate InvestmentFEN: Country Differences in Cost of Capital (Topic)
Douglas Diamond, Robert Verrecchia (1987)
Constraints on short-selling and asset price adjustment to private informationJournal of Financial Economics, 18
Joseph Engelberg, Adam Reed, Matthew Ringgenberg (2012)
How are shorts informedJournal of Financial Economics, 105
Joseph Engelberg, Adam Reed, Matthew Ringgenberg (2012)
How are Shorts Informed? Short Sellers, News, and Information ProcessingCGN: Governance Law & Arrangements by Subject Matter (Topic)
Chan (2003)
Stock price reaction to news and no-news: drift and reversal after headlinesJournal of Financial Economics, 70
Vivian Fang, Allen Huang, Jonathan Karpoff (2015)
Short Selling and Earnings Management: A Controlled ExperimentFEN: Experimental Finance (Topic)
Zhe Zhang, Xuemin Yan (2009)
Institutional Investors and Equity Returns: Are Short-Term Institutions Better Informed?DIW Berlin German Institute for Economic Research Discussion Paper Series
R. Paternoster, Robert Brame, P. Mazerolle, A. Piquero (1998)
USING THE CORRECT STATISTICAL TEST FOR THE EQUALITY OF REGRESSION COEFFICIENTSCriminology, 36
Benjamin Blau, Chip Wade (2009)
Informed or Speculative: Short Selling Analyst RecommendationsFEN: Behavioral Finance (Topic)
John Nofsinger, R. Sias (1999)
Herding and Feedback Trading by Institutional and Individual InvestorsJournal of Finance, 54
Veljko Fotak, Vikas Raman, P. Yadav (2014)
Fails-to-deliver, short selling, and market qualityJournal of Financial Economics, 114
J. Heckman, Richard Robb (1986)
Alternative methods for solving the problem of selection bias in evaluating the impact of treatments
Steve Beveridge, C. Nelson (1981)
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆Journal of Monetary Economics, 7
Dominik Rösch, A. Subrahmanyam, Mathijs Dijk (2016)
The Dynamics of Market EfficiencyERN: Econometric Studies of Capital Markets (Topic)
Zhenming Fang, X. Jiang (2013)
Effects of differences of opinions and short‐sale constraints on the dual listed Chinese sharesChina Finance Review International, 3
Jun Chen, P. Kadapakkam, Ting Yang (2016)
Short selling, margin trading, and the incorporation of new information into pricesInternational Review of Financial Analysis, 44
B. Chowdhry, Vikram Nanda (1998)
Leverage and Market Stability: The Role of Margin Rules and Price LimitsThe Journal of Business, 71
Alessandro Beber, M. Pagano (2009)
Short-Selling Bans Around the World: Evidence from the 2007-09 CrisisRegulation of Financial Institutions eJournal
Stephen Christophe, Michael Ferri, James Angel (2004)
Short-Selling Prior to Earnings AnnouncementsJournal of Finance, 59
Acharya (2017)
Financial dependence and innovation: the case of public versus private firmsJournal of Financial Economics, 214
C. Hsiao, H. Ching, Shui Wan (2012)
A Panel Data Approach for Program Evaluation — Measuring the Benefits of Political and Economic Integration of Hong Kong with Mainland ChinaJournal of Applied Econometrics, 27
Boehmer (2009)
Institutional investors and the informational efficiency of pricesReview of Financial Studies, 22
V. Smith, G. Suchanek, Arlington Williams (1988)
Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset MarketsEconometrica, 56
E. Chang, Yan Luo, Jinjuan Ren (2013)
Short-Selling, Margin-Trading, and Price Efficiency: Evidence from the Chinese MarketSpecial Issue: Systemic Risk 2
Itay Goldstein, A. Guembel (2008)
Manipulation and the Allocational Role of PricesThe Review of Economic Studies, 75
Karl Diether, Kuan-Hui Lee, Ingrid Werner (2007)
Charles A. Dice Center for Research in Financial Economics It’s SHO Time! Short-Sale Price-Tests and Market Quality
Ekkehart Boehmer, C. Jones, Xiaoyan Zhang (2007)
Which Shorts are Informed?FEN Professional & Practitioner Journal - Forthcoming
Using a database of five successive short‐selling ban lifts in the Chinese stock market, we find that the stock price efficiency gradually changes. Specifically, the price efficiency of stocks that can be shorted later improves more than the price efficiency of stocks that can be shorted earlier. Two hypotheses are tested to explain the gradual changed price efficiency: the private information hypothesis and the analysis capability hypothesis. We further show that short selling is more associated with private information than with public information and that the relationship grows stronger after each ban lift, which supports the private information hypothesis.
Accounting & Finance – Wiley
Published: Jan 1, 2017
Keywords: ; ; ; ;
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.