Bullish/bearish/neutral strategies under short sale restrictions

This study investigates the effects of short sale restrictions by extending the model of Dridi and Germain (2004) and infers informed traders' strategies and the relation between order imbalance and price thereunder. The results are generally in line with the empirical evidence documented in the literature and are summarized as follows: First, seller-initiated trading incurs a greater price reaction. Second, short sale restrictions shift the skewness of asset returns. Third, the restrictions can stimulate investors to acquire information or increase each individual trader's order flow under the bullish and neutral signals as well as the bearish signal, which is yet to be explored empirically. (C) 2016 Elsevier B.V. All rights reserved
Publisher
ELSEVIER SCIENCE BV
Issue Date
2016-10
Language
English
Keywords

STOCK RETURNS; INVESTOR SENTIMENT; PRICE EFFICIENCY; ORDER IMBALANCE; SHORT SELLERS; MARKET; CONSTRAINTS; INFORMATION; DISCOVERY; LIQUIDITY

Citation

JOURNAL OF BANKING & FINANCE, v.71, pp.227 - 239

ISSN
0378-4266
DOI
10.1016/j.jbankfin.2016.07.005
URI
http://hdl.handle.net/10203/214452
Appears in Collection
MT-Journal Papers(저널논문)
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