Review of Financial Studies Vol. 24 No. 3 2011
Price Efficiency and Short Selling
open access
Abstract
This article presents a study of how stock price efficiency and return distributions are affected by short-sale constraints. The study is based on a global dataset, from 2005 to 2008, that includes more than 12,600 stocks from 26 countries. We present two main findings. First, lending supply has a significant impact on efficiency. Stocks with higher short-sale constraints, measured as low lending supply, have lower price efficiency. Second, relaxing short-sales constraints is not associated with an increase in either price instability or the occurrence of extreme negative returns.
- DOI
- 10.1093/rfs/hhq124
- Volume
- 24
- Issue
- 3
- Pages
- 821-852
- Language
- en
- Sources
- openalex crossref