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
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://icfpub.som.yale.edu/publications/2608 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to icfpub.som.yale.edu:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: Efficiency and the Bear: Short Sales and Markets Around the World (2007)
Working Paper: Efficiency and the Bear: Short Sales and Markets around the World (2004)
Working Paper: Efficiency and the Bear: Short Sales and Markets around the World (2003)
Working Paper: Efficiency and the Bear: Short Sales and Markets around the World (2003)
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:ysm:somwrk:ysm327

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().