short selling and leverage

... Foreign Listing and Short Selling Short Selling Constraints and International Capital Flows Conclusion CHAPTER 14 Short Selling and Financial Puzzles Edward M Miller Divergence of Opinion and Risk Returns ... CHAPTER How Short Selling Expands the Investment Opportunity Set and Improves Upon Potential Portfolio Efficiency Steven L Jones and Glen Larsen Short Selling in Efficient Portfolios: The Theory and Its ... Long -Short 295 298 301 303 304 308 312 316 318 SECTION FOUR Short Selling and Market Efficiency CHAPTER 13 Short Sales in Global Perspective Arturo Bris, William N Goetzmann, and Ning Zhu Short...

Ngày tải lên: 14/08/2014, 05:20

... Shares Outstanding Short Interest Short Interest Percentage iShares S&P 500 Shares Outstanding Short Interest Short Interest Percentage DJIA DIAMONDS Shares Outstanding Short Interest Short Interest ... Shares Outstanding Short Interest Short Interest Percentage iShares Russell 2000 Shares Outstanding Short Interest Short Interest Percentage Vanguard Total Market VIPERS Shares Outstanding Short Interest ... short selling is critical to the argument because if the pessimists were willing and able to sell short, their short selling would eventually saturate the demand of the optimists Since in a short...

Ngày tải lên: 14/08/2014, 05:20

... 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 money by shorting stocks that ... Sweden, Malaysia, and Thailand Then there was a group of countries where short selling was allowed but apparently rarely practiced, including Argentina, 86 THEORY AND EVIDENCE ON SHORT SELLING Brazil, ... of such short selling opportunities suggests that there is merit to the idea of hedge funds (which try to take both long and short positions), and to mutual funds that take both long and short...

Ngày tải lên: 14/08/2014, 05:20

... (Aggarwal and Rivoli,33 Aggarwal, Leal, and Hernandez,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 and ... divergence of opinion with short selling restricted Implications of Short Selling and Divergence of Opinion for Investment Strategy 131 After I published the argument, Figlewski17 and Jarrow18 provided ... of Short Selling and Divergence of Opinion for Investment Strategy 133 tional estimate of the expected return would often wish to short the stocks in the absence of short sale constraints The short...

Ngày tải lên: 14/08/2014, 05:20

... measure of shorting demand is short interest, that is, the level of shares sold short Unfortunately, using short interest as a proxy for shorting demand is problematic, because the quantity of shorting ... intersection of supply and demand Demand for shorting should respond to both the cost and benefit of shorting the stock, so that stocks that are very costly to short will have low short interest Stocks ... impede short selling Since other chapters cover the mechanics of short selling and securities lending in more detail, I focus on some nonstandard constraints, including the political and legal...

Ngày tải lên: 14/08/2014, 05:20

... and (4) the legal and institutional restrictions on short selling Items 1, 2, and are normally referred to as the costs of short selling. 3 The most widely known constraints are the “uptick” and ... return and variance and thus hold mean-variance efficient portfolios Although the standard Sharpe-Lintner CAPM3 allows for short selling, the assumptions of homogeneous expectations and borrowing and ... to Gordon J Alexander, Short Selling and Efficient Sets,” Journal of Finance (September, 1993), pp 1497– 1506 In addition to addressing portfolio optimization with short selling and fractional...

Ngày tải lên: 14/08/2014, 05:20

... of Short- Selling and Exploitability of Short Information,” Journal of Portfolio Management (Winter 1994), pp 33–38 244 THEORY AND EVIDENCE ON SHORT SELLING Predicting Long-Term Returns With Short ... call, and shorting the stock 16 Stephen Figlewski and Gwendolyn P Webb, “Options, Short Sales, and Market Completeness,” Journal of Finance (June 1993), pp 761–777 The Information Content of Short ... accumulated short selling does, eventually, move prices in the direction of fundamentals Understanding the determinants of short interest may offer some insights into identifying short sale candidates...

Ngày tải lên: 14/08/2014, 05:20

... in Bull and Bear Markets (millions of dollars) Source: Bruce I Jacobs and Kenneth N Levy, “The Long and Short on Long -Short, ” Journal of Investing (Spring 1997) EXHIBIT 12.2 308 SHORT SELLING ... 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 LongShort,” The Journal of Investing ... long positions alone and another attributable to short positions alone Only jointly the long and short positions define the portfolio Rather than being measurable as long and short performances...

Ngày tải lên: 14/08/2014, 05:20

... Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable ... Islands Spain Finland Greece Hungary India Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable ... Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio 1994–1998...

Ngày tải lên: 14/08/2014, 05:20

... earned (and will continue to be earned) by identifying companies whose divisions and other assets appeal to different types of investors and selling the pieces off to them 388 SHORT SELLING AND ... with real-world obstacles to short selling Since divergence of opinion, uncertainty, and risk are correlated, this shortfall can be expected to 394 SHORT SELLING AND MARKET EFFICIENCY increase ... advisors, 43 short interest, 53, 56 short sales, purpose, 38 short sellers, safety protection features, 38–39 short selling, 37 trading costs, 51 risk management activity, effect, 49–51 short selling, ...

Ngày tải lên: 14/08/2014, 05:20

... Foreign Listing and Short Selling Short Selling Constraints and International Capital Flows Conclusion CHAPTER 14 Short Selling and Financial Puzzles Edward M Miller Divergence of Opinion and Risk Returns ... CHAPTER How Short Selling Expands the Investment Opportunity Set and Improves Upon Potential Portfolio Efficiency Steven L Jones and Glen Larsen Short Selling in Efficient Portfolios: The Theory and Its ... Long -Short 295 298 301 303 304 308 312 316 318 SECTION FOUR Short Selling and Market Efficiency CHAPTER 13 Short Sales in Global Perspective Arturo Bris, William N Goetzmann, and Ning Zhu Short...

Ngày tải lên: 14/08/2014, 09:21

... Shares Outstanding Short Interest Short Interest Percentage iShares S&P 500 Shares Outstanding Short Interest Short Interest Percentage DJIA DIAMONDS Shares Outstanding Short Interest Short Interest ... Shares Outstanding Short Interest Short Interest Percentage iShares Russell 2000 Shares Outstanding Short Interest Short Interest Percentage Vanguard Total Market VIPERS Shares Outstanding Short Interest ... short selling is critical to the argument because if the pessimists were willing and able to sell short, their short selling would eventually saturate the demand of the optimists Since in a short...

Ngày tải lên: 14/08/2014, 09:21

... 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 money by shorting stocks that ... Sweden, Malaysia, and Thailand Then there was a group of countries where short selling was allowed but apparently rarely practiced, including Argentina, 86 THEORY AND EVIDENCE ON SHORT SELLING Brazil, ... of such short selling opportunities suggests that there is merit to the idea of hedge funds (which try to take both long and short positions), and to mutual funds that take both long and short...

Ngày tải lên: 14/08/2014, 09:21

... (Aggarwal and Rivoli,33 Aggarwal, Leal, and Hernandez,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 and ... 81 Boehme, Danielson, and Sorescu, Short Sale Constraints and Overvaluation.” Implications of Short Selling and Divergence of Opinion for Investment Strategy 157 which short interest data were ... of Short Selling and Divergence of Opinion for Investment Strategy 133 tional estimate of the expected return would often wish to short the stocks in the absence of short sale constraints The short...

Ngày tải lên: 14/08/2014, 09:21

... measure of shorting demand is short interest, that is, the level of shares sold short Unfortunately, using short interest as a proxy for shorting demand is problematic, because the quantity of shorting ... intersection of supply and demand Demand for shorting should respond to both the cost and benefit of shorting the stock, so that stocks that are very costly to short will have low short interest Stocks ... extremely low subsequent returns These three cases are: short selling in the 1920s and 1930s; fights between short sellers and the companies they short; and Palm/3Com in the year 2000 I conclude with a...

Ngày tải lên: 14/08/2014, 09:21

... and (4) the legal and institutional restrictions on short selling Items 1, 2, and are normally referred to as the costs of short selling. 3 The most widely known constraints are the “uptick” and ... of Short- Selling and Exploitability of Short Information,” Journal of Portfolio Management (Winter 1994), pp 33–38 244 THEORY AND EVIDENCE ON SHORT SELLING Predicting Long-Term Returns With Short ... to Gordon J Alexander, Short Selling and Efficient Sets,” Journal of Finance (September, 1993), pp 1497– 1506 In addition to addressing portfolio optimization with short selling and fractional...

Ngày tải lên: 14/08/2014, 09:21

... impossibility) of establishing a short position; (3) the risk that the short position cannot be maintained; and (4) the legal and institutional restrictions on short selling Now we wish to more carefully ... their short sales 26 The legal and institutional restrictions, in item 4, constrain short selling, but they not represent a cost that an individual short seller actually faces 250 THEORY AND EVIDENCE ... monetary costs of short selling Jones and Lamont suggest that some other constraint on short selling must be limiting the arbitrage of this apparent opportunity The most obvious candidate is difficulty...

Ngày tải lên: 14/08/2014, 09:21

... Zealand, Norway, Philippines, Poland, Spain, Sweden, Thailand, and Turkey In three cases— Malaysia, Hong Kong, and Thailand—restrictions on short selling were removed and later re-enacted gradually.3 ... in Bull and Bear Markets (millions of dollars) Source: Bruce I Jacobs and Kenneth N Levy, “The Long and Short on Long -Short, ” Journal of Investing (Spring 1997) EXHIBIT 12.2 308 SHORT SELLING ... authorities, and as such it is liable to capital gains tax In Finland, transfer laws also place a serious burden on this activ- 330 SHORT SELLING AND MARKET EFFICIENCY ity In the Philippines and Turkey short...

Ngày tải lên: 14/08/2014, 09:21

... Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable ... Islands Spain Finland Greece Hungary India Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable ... Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio Shortable Nonshortable Ratio 1994–1998...

Ngày tải lên: 14/08/2014, 09:21

... earned (and will continue to be earned) by identifying companies whose divisions and other assets appeal to different types of investors and selling the pieces off to them 388 SHORT SELLING AND ... with real-world obstacles to short selling Since divergence of opinion, uncertainty, and risk are correlated, this shortfall can be expected to 394 SHORT SELLING AND MARKET EFFICIENCY increase ... advisors, 43 short interest, 53, 56 short sales, purpose, 38 short sellers, safety protection features, 38–39 short selling, 37 trading costs, 51 risk management activity, effect, 49–51 short selling, ...

Ngày tải lên: 14/08/2014, 09:21