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Efficiency and the Bear: Short Sales and Markets around the World

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  • Arturo Bris
  • William Goetzmann
  • Ning Zhu

Abstract

We analyze cross-sectional and time series information from forty-six equity markets around the world, to consider whether short sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stock and market indices. We construct two measures of price efficiency that quantify the asymmetric response of indiv

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Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm327.

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Date of creation: 01 Sep 2004
Date of revision: 01 Feb 2005
Handle: RePEc:ysm:somwrk:ysm327

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  12. Zhiwu Chen, 2001. "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 297-323, November.
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