Katalog Online Perpustakaan

Detail Katalog

Jurnal

Journal of Banking and Finance

Keyword

• Institutional traders; • Market efficiency; • Pricing efficiency; • Short selling

Pengarang

  1. T.X. Duong
  2. Z.R. Huszar
  3. T. Yamada

    Subject

    1. BANKING
    2. FINANCE

      [Abstrak]

      In this study, we examine the impact of a market-wide mandatory disclosure policy on short selling on the Tokyo Stock Exchange. We find that average short selling slightly declined while investors’ shorting strategies changed significantly in response to the disclosure. Previously highly shorted stocks were shorted less and shorting activity shifted toward smaller and riskier stocks, suggesting that retail investors became the more likely short sellers. Short sales became more trend-chasing, prices became less informative, and short-term price volatility increased. Overall, the pricing efficiency benefits of short selling declined after the mandatory disclosure policy.

      Periode

      Vol 53, Tahun 2015

      [Berkas]

      not files can be downloaded

      [Artikel lain]