Short Selling Strategies, Risks, and Rewards phần 4 doc

... 23–32. 6-Miller-Implications Page 149 Thursday, August 5, 20 04 11:11 AM 144 THEORY AND EVIDENCE ON SHORT SELLING and Bernstein, 46 Stoll and Curley, 47 and Uhlir 48 ) have shown that IPOs do worse ... Thursday, August 5, 20 04 11:11 AM Implications of Short Selling and Divergence of Opinion for Investment Strategy 141 result in short selling as option dealer...

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... (Aggarwal and Rivoli, 33 Aggarwal, Leal, and Hernan- dez, 34 Brav and Gompers, 35 Carter, Dark, and Singh, 36 Dawson, 37 Finn and Higham, 38 Ibbotson, 39 Kunz and Aggarwal, 40 Levis, 41 Loughran, 42 Loughran ... al. 81 Boehme, Danielson, and Sorescu, Short Sale Constraints and Overvaluation.” 6-Miller-Implications Page 156 Thursday, August 5, 20 04 11:11 AM...

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... of Social, Political, and Economic Studies (Winter 1999), pp. 47 7 48 4. 6-Miller-Implications Page 1 74 Thursday, August 5, 20 04 11:11 AM 180 THEORY AND EVIDENCE ON SHORT SELLING Consider a stock ... ban short selling. 3 3 J. Edward Meeker, Short Selling (New York: Harper & Brothers Publishers, 1932). 7-Lamont -Short Constraints Page 182 Thursday, August 5, 20 04 11...

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... 9-Jones/Larsen-InfoContent Page 249 Thursday, August 5, 20 04 11: 14 AM The Information Content of Short Sales 247 Determinants of Short Interest: Strategies, Profitability, and Information Content It ... (or impossibility) of establishing a short position; (3) the risk that the short position cannot be maintained; and (4) the legal and institutional restrictions on shor...

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... Listing and Short Selling 331 Short Selling Constraints and International Capital Flows 339 Conclusion 342 CHAPTER 14 Short Selling and Financial Puzzles 345 Edward M. Miller Divergence of Opinion and ... xiv Preface Short Selling: Strategies, Risks, and Rewards provides the most recent theory and empirical evidence on the practice of short selling. The...

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... Apr-03 Jul-03 Oct-03 Jan- 04 S&P 500 SPDR SPY Shares Outstanding 303,835 381,288 45 3 ,44 1 45 8, 745 397, 048 359,252 380,806 Short Interest 42 , 044 73,567 44 ,580 66 ,49 6 96,335 107 ,46 3 1 14, 033 Short Interest ... Percentage 21.5% 24. 1% 24. 8% 20.5% 41 .3% 54. 9% 52.8% iShares S&P 500 IVV Shares Outstanding 40 ,150 41 ,650 52,600 57,750 64, 550 64, 400 70,650 S...

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... Thursday, August 5, 20 04 11:10 AM 86 THEORY AND EVIDENCE ON SHORT SELLING Brazil, Chile, Finland, India, Israel, New Zealand, the Philippines, Poland, Spain, and Turkey. In China the short sales restrictions ... 5, 20 04 11:10 AM 94 THEORY AND EVIDENCE ON SHORT SELLING Implications for Arbitrage Pricing Theory Inability of a short seller to earn the market rate of retur...

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... Social, Political, and Economic Studies (Winter 1999), pp. 47 7 48 4. 6-Miller-Implications Page 1 74 Thursday, August 5, 20 04 11:11 AM 1 64 THEORY AND EVIDENCE ON SHORT SELLING by a 4- factor model (one ... pp. 2113–2 141 . 10 Jones and Lamont, Short Sale Constraints and Stock Returns.” 7-Lamont -Short Constraints Page 188 Thursday, August 5, 20 04 11:12 AM Implications...

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... Portfolio: = $15 ,40 0/$10,000 = 1. 54, = – $4, 400/$10,000 = –0 .44 , and = –$1,000/$10,000 = –0.1 Adjusted Weights in the Complete Portfolio: = $15 ,40 0/$18,800 = 0.82, = $4, 400/$18,800 = 0.23, and = –$1,000/$18,800 ... Long -Short In- vesting,” Financial Analysts Journal (November/December, 2000), pp. 40 –53. 8-Jones/Larsen-ExpandInvest Page 216 Thursday, August 5, 20 04 11:13...

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... of Short- Selling and Exploitability of Short Information,” Journal of Portfolio Management (Winter 19 94) , pp. 33–38. 9-Jones/Larsen-InfoContent Page 243 Thursday, August 5, 20 04 11: 14 AM 2 54 THEORY ... 5, 20 04 11:16 AM 9-Jones/Larsen-InfoContent Page 256 Thursday, August 5, 20 04 11: 14 AM The Information Content of Short Sales 241 Predicting Short- Term Returns with...

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