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- W3217786952 abstract "This paper provides new empirical evidence for the way in which non-marketability affects asset prices in financial markets. Critically, the results rely on the unique trading friction T+1 rule in the Chinese A-share market. Consistent with the predictions derived from Longstaff (1995) and option pricing theory, overnight returns of A-share stocks are negative on average, decreasing with asset volatilities, volatility risks, and jump risks. The upper bound of the marketability option is restricted by the average holding period of the asset and is smaller when there are substitutional marketability instruments. Thus, the marketability-option-related variables could explain the negative overnight returns of illiquidity, short-term reversal, and momentum." @default.
- W3217786952 created "2021-12-06" @default.
- W3217786952 creator A5071699579 @default.
- W3217786952 date "2020-01-01" @default.
- W3217786952 modified "2023-10-16" @default.
- W3217786952 title "Marketability As Real Option: The Cross Sectional Variation of Overnight Returns in China" @default.
- W3217786952 doi "https://doi.org/10.2139/ssrn.3513658" @default.
- W3217786952 hasPublicationYear "2020" @default.
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