On the informational effect of short-sales constraints: Evidence from the Tokyo Stock Exchange

Naoto Isaka
Additional contact information
Naoto Isaka: Meisei University

No 5, Discussion Papers from Meisei University, School of Economics

Abstract: Using a database of stock lending fees for Japanese centralized margin transactions, I show that short-sales constraints reduce the adjustment speed of stock prices to negative information before the announcements of revised earnings forecasts disclosed by firms in the Tokyo Stock Exchange from July 1998 to December 2001. I find that the cumulative abnormal returns (CARs) of the stocks with high short-sales costs are insensitive to negative information on preannouncement days, but the CARs of these stocks become significantly lower than the CARs of the stocks with low short-sales costs when the announcements reveal negative information to the public.

Pages: 33 pages
Date: 2007-01
References: Add references at CitEc
Citations: View citations in EconPapers (10)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mei:wpaper:5

Access Statistics for this paper

More papers in Discussion Papers from Meisei University, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Koji Yokota ().