Efficiency and the Bear: Short Sales and Markets around the World

Arturo Bris, William Goetzmann and Ning Zhu

Yale School of Management Working Papers from Yale School of Management

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

Date: 2004-09-01, Revised 2005-02-01
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