Short-sale restrictions and market reaction to short-interest announcements
Article Abstract:
A study has tested D.W. Diamond and R.E. Verrecchia's theory on short-selling constraints and asset price changes. They maintain that price adjustment will occur with short interest announcements if correlated with non-public information. The study tested stock market reaction to a sample of 2,419 stocks. Evidence confirms that stock prices fall for a short period around an announcement. However, a less negative effect was established for companies with tradable options.
Publication Name: Journal of Financial and Quantitative Analysis
Subject: Business
ISSN: 0022-1090
Year: 1993
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Can omitted risk factors explain the January effect? a stochastic dominance approach
Article Abstract:
A study has tested the theory that omitted risk factors account for the January effect of increased average stock returns in December and January. A stochastic dominance approach considered the distribution of stock returns between 1926-1991. Evidence suggests that changed perceptions of risk are unlikely to account for the January effect. Portfolio rebalancing, transaction costs and market effect may be more accountable.
Publication Name: Journal of Financial and Quantitative Analysis
Subject: Business
ISSN: 0022-1090
Year: 1993
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