Short selling and equity returns with full information dissemination

Panayotis Alexakis

International Journal of Monetary Economics and Finance, 2011, vol. 4, issue 2, 150-171

Abstract: This paper sheds further light on whether short selling can be associated with negative returns in the spot market. It provides evidence for the case of the capital market of the Athens Exchange (ATHEX) that is empirically tested for the first time, during the period 2003–2007. This market possesses certain interesting characteristics, as along with constrained sales it entailed the rare feature of wide short sales transparency. The empirical findings indicate that short selling is associated with subsequent negative abnormal stock returns for the heavily sold short stocks of this market.

Keywords: short selling; spot markets; excess returns; abnormal returns; equity returns; information dissemination; negative returns; capital markets; Athens Exchange; ATHEX; Greece; constrained sales; short sales; transparency; short stocks; stock exchanges; monetary economics; finance. (search for similar items in EconPapers)
Date: 2011
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