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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

Suggested Citation

  • Arturo Bris & William Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers ysm327, Yale School of Management, revised 01 Feb 2005.
  • Handle: RePEc:ysm:somwrk:ysm327
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    File URL: http://icfpub.som.yale.edu/publications/2608
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    • G0 - Financial Economics - - General

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