Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2011 erstellt
Beschreibung:
This paper examines the differences in the price effects of stock characteristics between two alternative short-sale regimes - one under which stocks are shortable and the other where they are not. Using the uniqueness of Hong Kong regulations on short sales to distinguish between the two regimes, we estimate a panel regression model for those Hong Kong stocks which switch between the two regimes. By exploring the interaction between the characteristics variables and the distinct short-sale regimes, we find evidence of differences in some of their price effects. Under the no-short-selling regime, stocks would have higher risk-compensation adjusted returns; stocks with larger sizes may perform even better in terms of their returns; contemporaneous (lagged) illiquidity would have a weaker negative (stronger positive) effect on returns; the negative relation between dividend yields and future returns would weaken; and the presence of both short-sale constraints and opinion dispersion would cause contemporaneous returns to rise and future returns to fall by more than the presence of only opinion dispersion would