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- W3081100529 abstract "Abstract This paper examines how the short‐sales constraints on stocks affect the pricing of firm characteristics—size, book‐to‐market ratio, liquidity, earnings‐to‐price ratio and dividend yield. Using a unique feature of Hong Kong regulations on short selling that, at each point of time, only a designated list of stocks can be sold short, we find that stocks not allowed to be sold short have higher adjusted returns, exhibit more prominent size effect and offer higher compensation for lagged illiquidity than stocks that can be sold short. The results also indicate that the presence of both short‐sales constraints and opinion dispersion would cause contemporaneous returns to rise and future returns to fall by more than those caused by the opinion dispersion only. Practically, when financial analysts evaluate the stocks, or fund managers construct their trading strategies based on some financial anomalies, the shortability of the assets has to be a very important factor to be considered." @default.
- W3081100529 created "2020-09-01" @default.
- W3081100529 creator A5052698083 @default.
- W3081100529 date "2020-08-25" @default.
- W3081100529 modified "2023-09-23" @default.
- W3081100529 title "Are firm characteristics priced differently between opposite short‐sales regimes?" @default.
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- W3081100529 doi "https://doi.org/10.1111/infi.12379" @default.
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