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Bullish/bearish/neutral strategies under short sale restrictions

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dc.contributor.authorBae, Kwangilko
dc.contributor.authorKang, Jangkooko
dc.contributor.authorLee, Soonheeko
dc.date.accessioned2016-12-01T04:52:26Z-
dc.date.available2016-12-01T04:52:26Z-
dc.date.created2016-11-21-
dc.date.created2016-11-21-
dc.date.issued2016-10-
dc.identifier.citationJOURNAL OF BANKING & FINANCE, v.71, pp.227 - 239-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10203/214452-
dc.description.abstractThis study investigates the effects of short sale restrictions by extending the model of Dridi and Germain (2004) and infers informed traders' strategies and the relation between order imbalance and price thereunder. The results are generally in line with the empirical evidence documented in the literature and are summarized as follows: First, seller-initiated trading incurs a greater price reaction. Second, short sale restrictions shift the skewness of asset returns. Third, the restrictions can stimulate investors to acquire information or increase each individual trader's order flow under the bullish and neutral signals as well as the bearish signal, which is yet to be explored empirically. (C) 2016 Elsevier B.V. All rights reserved-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectSTOCK RETURNS-
dc.subjectINVESTOR SENTIMENT-
dc.subjectPRICE EFFICIENCY-
dc.subjectORDER IMBALANCE-
dc.subjectSHORT SELLERS-
dc.subjectMARKET-
dc.subjectCONSTRAINTS-
dc.subjectINFORMATION-
dc.subjectDISCOVERY-
dc.subjectLIQUIDITY-
dc.titleBullish/bearish/neutral strategies under short sale restrictions-
dc.typeArticle-
dc.identifier.wosid000386407300015-
dc.identifier.scopusid2-s2.0-84978906292-
dc.type.rimsART-
dc.citation.volume71-
dc.citation.beginningpage227-
dc.citation.endingpage239-
dc.citation.publicationnameJOURNAL OF BANKING & FINANCE-
dc.identifier.doi10.1016/j.jbankfin.2016.07.005-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorBae, Kwangil-
dc.contributor.nonIdAuthorLee, Soonhee-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorShort sale-
dc.subject.keywordAuthorDirectional trading-
dc.subject.keywordAuthorEfficiency-
dc.subject.keywordAuthorSkewness-
dc.subject.keywordPlusSTOCK RETURNS-
dc.subject.keywordPlusINVESTOR SENTIMENT-
dc.subject.keywordPlusPRICE EFFICIENCY-
dc.subject.keywordPlusORDER IMBALANCE-
dc.subject.keywordPlusSHORT SELLERS-
dc.subject.keywordPlusMARKET-
dc.subject.keywordPlusCONSTRAINTS-
dc.subject.keywordPlusINFORMATION-
dc.subject.keywordPlusDISCOVERY-
dc.subject.keywordPlusLIQUIDITY-
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