000051180 001__ 51180 000051180 005__ 20210803101831.0 000051180 0247_ $$2doi$$a10.22004/ag.econ.51180 000051180 037__ $$a642-2016-44312 000051180 041__ $$aeng 000051180 084__ $$aG15 000051180 084__ $$aG12 000051180 245__ $$aA Study of Market-Wide Short-Selling Restrictions 000051180 260__ $$c2009-06-16 000051180 269__ $$a2009-06-16 000051180 270__ $$mhd35@cornell.edu$$pDaouk, Hazem 000051180 300__ $$a43 000051180 336__ $$aWorking or Discussion Paper 000051180 490__ $$aWorking Paper 000051180 490__ $$aWP 2009-21 000051180 520__ $$aThis paper contributes empirical evidence to the on-going debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for the analysis of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to permit short-selling, aggregate stock price increases, implying lower a cost of capital. There is no evidence that short-sale restrictions affect either the level of skewness of returns or the probability of a market crash. Collectively, our empirical evidence suggests that allowing short-selling enhances market quality. 000051180 650__ $$aFinancial Economics 000051180 6531_ $$aShort-sale constraints 000051180 6531_ $$aStock returns 000051180 6531_ $$aCost of capital 000051180 6531_ $$aInternational finance 000051180 700__ $$aCharoenrook, Anchada 000051180 700__ $$aDaouk, Hazem 000051180 8564_ $$967de541d-ca2e-4098-86c8-fccdbaea7705$$s768325$$uhttps://ageconsearch.umn.edu/record/51180/files/WP%20Daouk%202009-21%20Charoenrook%20_%20Daouk.pdf 000051180 887__ $$ahttp://purl.umn.edu/51180 000051180 909CO $$ooai:ageconsearch.umn.edu:51180$$pGLOBAL_SET 000051180 912__ $$nSubmitted by Judy Neno (jln4@cornell.edu) on 2009-06-16T18:01:45Z No. of bitstreams: 1 WP Daouk 2009-21 Charoenrook & Daouk.pdf: 768325 bytes, checksum: 11205fa99ca8e813f6e9dbac613d20aa (MD5) 000051180 912__ $$nMade available in DSpace on 2009-06-16T18:01:45Z (GMT). No. of bitstreams: 1 WP Daouk 2009-21 Charoenrook & Daouk.pdf: 768325 bytes, checksum: 11205fa99ca8e813f6e9dbac613d20aa (MD5) Previous issue date: 2009-06-16 000051180 913__ $$aLicense granted by Judy Neno (jln4@cornell.edu) on 2009-06-16T17:57:30Z (GMT): <center> <h2> Deposit Agreement </h2> </center> I represent that I am the creator of the digital material identified herein (&ldquo;Work&rdquo;). I represent that the work is original and that I either own all rights of copyright or have the right to deposit the copy in a digital archive such as AgEcon Search. I represent that in regard to any non-original material included in the Work I have secured written permission of the copyright owner (s) for this use or believe this use is allowed by law. I further represent that I have included all appropriate credits and attributions. I hereby grant the Regents of the University of Minnesota (&ldquo;University&rdquo;), through AgEcon Search, a non-exclusive right to access, reproduce, and distribute the Work, in whole or in part, for the purposes of security, preservation, and perpetual access. I grant the University a limited, non-exclusive right to make derivative works for the purpose of migrating the Work to other media or formats in order to preserve access to the Work. I do not transfer or intend to transfer any right of copyright or other intellectual property to the University. If the Deposit Agreement is executed by the Author�s Representative, the Representative shall separately execute the following representation: I represent that I am authorized by the Author to execute this Deposit Agreement on behalf of the Author. 000051180 980__ $$a642 000051180 982__ $$gCornell University>Department of Applied Economics and Management>Working Papers