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
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  Previous issue date: 2009-06-16
000051180 913__ $$aLicense granted by Judy Neno (jln4@cornell.edu) on 2009-06-16T17:57:30Z (GMT):

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000051180 982__ $$gCornell University>Department of Applied Economics and Management>Working Papers