Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑会荣教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1111/j.1540-6261.2007.01270.x |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/82WOS source URL
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/99Scopus source URL
其它资讯
摘要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. By analyzing the price effects following the addition of individual stocks to the list, we find that short-sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed. ? 2007 by The American Finance Association.
着者Chang E.C., Cheng J.W., Yu Y.
期刊名称JOURNAL OF FINANCE
出版年份2007
月份10
日期1
卷号62
期次5
出版社Blackwell Publishing Inc.
出版地United Kingdom
页次2097 - 2121
国际标準期刊号0022-10http://aims.cuhk.edu.hk/converis/portal/Publication/82
电子国际标準期刊号1540-6261
语言英式英语
