2005.7.27
Seminar Title: Efficiency and the Bear: Short Sales and Markets around the World
Time: 2:00pm-3:30am , Wednesday, July 27, 2005
Language: English
Speaker: Professor Ning Zhu of University of California-Davis

Paper Abstract: We analyze cross-sectional and time series information from forty seven equity markets around the world, to consider whether short？Csales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach developed in Mørck et al. (2000) we find significantly more cross-sectional variation in equity returns in markets where short selling is feasible and practiced, controlling for a host of other factors. This evidence is consistent with more efficient price discovery at the individual security level. A common conjecture by regulators is that short？Csales restrictions can reduce the relative severity of a market panic. We test this conjecture by examining the skewness of market returns. We find weak evidence that in markets where short selling is either prohibited or not practiced, market returns display significantly less negative skewness. However, at the individual stock level, short sales restrictions appear to make no difference.