Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets

C. Hueng

Applied Financial Economics, 2006, vol. 16, issue 10, 707-716

Abstract: The difficulty of short-selling stocks in the Chinese markets conforms to the assumption of the 'Differences-of-Opinion' theory and therefore, provides an empirical framework for testing the theory. The results show evidence supporting the theory: heavier trading predicts a more negatively skewed return.

Date: 2006
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DOI: 10.1080/09603100500426697

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