When R2 meets the short-sales constraints

Jinghan Cai and Le Xia

Economics Letters, 2014, vol. 125, issue 3, 336-339

Abstract: We examine the short-selling in the Hong Kong stock market and find that, after the lift of short-sales constraint, the R2 increases, contradicting the traditional wisdom that R2 is a proxy of price inefficiency. Moreover, the change of R2 is from the decrease in idiosyncratic volatility.

Keywords: R2; Price efficiency; Short-selling; Idiosyncratic volatility (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:3:p:336-339

DOI: 10.1016/j.econlet.2014.09.033

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