Short Selling Strategies, Risks, and Rewards phần 8 pptx

... Levy, “20 Myths About Long -Short, ” Financial Analysts Journal (September/October 1996), pp. 81 85 ; and Bruce I. Jacobs and Kenneth N. Levy, “The Long and Short on Long- Short, ” The Journal of Investing ... 11: 18 AM Long -Short Equity Portfolios 305 EXHIBIT 12.1 Market-Neutral Deployment of Capital (millions of dollars) Source: Bruce I. Jacobs and Kenneth N. Levy, “The Long...

Ngày tải lên: 14/08/2014, 05:20

... $81 ,553,367 $5,4 38, 222 93.75% $56 ,86 5, 489 $5,4 38, 222 91.27% 1991 $85 ,274 ,81 7 $5,5 78, 387 93 .86 % $85 ,715,565 $5,137,639 94.35% $56 ,83 5,6 68 $5,137,639 91.71% 1992 $87 ,417,000 $6, 781 , 783 92 .80 % $87 ,900,639 ... 94.03% $ 98, 492 ,80 6 $10,263,097 90.56% 1997 $190, 287 ,927 $14,9 68, 125 92.71% $192,744 ,80 4 $12,511,2 48 93.90% $1 08, 143,224 $12,511,2 48 89.63% 19...

Ngày tải lên: 14/08/2014, 09:21

... 2004 11: 08 AM SECTION Two Theory and Evidence on Short Selling Sect2 Page 59 Thursday, August 5, 2004 10: 48 AM 62 THEORY AND EVIDENCE ON SHORT SELLING 7. The effects of obstacles to short selling ... 21.00 Impact (round trip) 28. 90 21.59 Total 44 .80 71.73 26.93 4-Gastineau-SellingETFs Page 40 Thursday, August 5, 2004 11:09 AM Shorting Using Futures and Options 35 shor...

Ngày tải lên: 14/08/2014, 09:21

... xiv Preface Short Selling: Strategies, Risks, and Rewards provides the most recent theory and empirical evidence on the practice of short selling. The chapters in this book, ... Goetzmann, and Ning Zhu Short Sales Restrictions Around the World 325 Foreign Listing and Short Selling 331 Short Selling Constraints and International Capital Flows 339 Conclusion 342...

Ngày tải lên: 14/08/2014, 05:20

... 72 ,87 9 69,956 71,4 18 87,572 92,195 89 ,88 4 25 .86 % S&P 400 MidCap SPDR MDY Shares Outstanding 63,3 58 63,2 58 63,3 08 60, 688 60,913 60 ,80 1 –3.96% Short Interest 6,214 4,502 8, 831 8, 7 68 Total ... Equivalents 88 2,973 84 1,340 86 2,157 984 ,063 927,706 955 ,88 5 10 .87 % iShares S&P 500 IVV Shares Outstanding 47,450 52,600 50,025 68, 850 70,650 69,750 39.4...

Ngày tải lên: 14/08/2014, 05:20

... Page 83 Thursday, August 5, 2004 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 ... overpriced stocks are short sales candidates, this stock is not a short sale candidate. Because stock E will rise in price, it is not a short sale candidate. Investors lose mon...

Ngày tải lên: 14/08/2014, 05:20

... 5, 2004 11:11 AM Implications of Short Selling and Divergence of Opinion for Investment Strategy 141 result in short selling as option dealers and others make short sales in the course of placing ... Page 149 Thursday, August 5, 2004 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 wor...

Ngày tải lên: 14/08/2014, 05:20

... pp. 2113–2141. 10 Jones and Lamont, Short Sale Constraints and Stock Returns.” 7-Lamont -Short Constraints Page 188 Thursday, August 5, 2004 11:12 AM Implications of Short Selling and Divergence of ... ON SHORT SELLING weak measure of shorting demand. Overpricing falls over time, while the level of short interest rises. Thus short interest can be negatively cor- related wi...

Ngày tải lên: 14/08/2014, 05:20

... = –0.44, and = –$1,000/$10,000 = –0.1 Adjusted Weights in the Complete Portfolio: = $15,400/$ 18, 800 = 0 .82 , = $4,400/$ 18, 800 = 0.23, and = –$1,000/$ 18, 800 = –0.05 Assets Liabilities Short Sale ... escrowed short sale proceeds and interest on the short margin requirement. W L R W S O R W L R W S O R 8- Jones/Larsen-ExpandInvest Page 221 Thursday, August 5, 2004 11:13 AM H...

Ngày tải lên: 14/08/2014, 05:20

... 2004 11:14 AM 280 SHORT SELLING STRATEGIES based on quantitative and qualitative considerations, from the portfolio manager’s perspective in the identification of short selling candidates. In the ... (June 1990), pp. 273– 288 . 15 A.J. Senchack, Jr. and Laura T. Starks, Short- Sale Restrictions and Market Reac- tion to Short- Interest Announcements,” Journal of Financial and...

Ngày tải lên: 14/08/2014, 05:20