Option Introduction, Short Sale Constraints and the Speed of Stock Price Adjustment to Negative News

2008 ◽  
Author(s):  
Blake Phillips
Keyword(s):  
Stock Price ◽  
Price Adjustment ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Negative News ◽  
Stock Price Adjustment

Effect of Short-sale Constraints on Stock Price Manipulation

2013 ◽  
Vol 18 (2) ◽  
pp. 208-232 ◽  
Author(s):  
Junfeng Qiu ◽  
Yongli Zhang
Keyword(s):  
Stock Price ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Price Manipulation

Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market

2005 ◽  
Vol 08 (01) ◽  
pp. 31-51 ◽  
Author(s):  
Chia-Cheng Ho ◽  
Chin-Chuan Lee ◽  
Chien-Ting Lin ◽  
C. Edward Wang
Keyword(s):  
Stock Price ◽  
Direct Evidence ◽  
Practical Implication ◽  
Emerging Market ◽  
Seasoned Equity Offerings ◽  
Price Adjustment ◽  
Equity Offerings ◽  
Stock Return Volatility ◽  
Using Data ◽  
Stock Price Adjustment

Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information content of SEOs are likely to induce larger trading activity and subsequent higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock price adjustment. However, the relations among liquidity, volatility and price movements appear to rely on how SEOs are conducted. A practical implication is that managers may influence liquidity and stock price movement through their choice of SEOs issuing methods.

scholarly journals Analyst Downgrades, Short Sale Constraints, And Intra-Day Stock Price Efficiency

2015 ◽  
Vol 31 (4) ◽  
pp. 1343
Author(s):  
Kevin Zhao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Efficiency ◽  
Price Response ◽  
Short Sale Constraints ◽  
Short Sale ◽  
New Information ◽  
After Hours ◽  
And Control ◽  
The Impact

This paper studies the impact of short sale constraints on stock price efficiency upon arrival of analyst downgrades. Examining the speed of which stock price response to analyst downgrades for pilot (short sale non-constrained) stocks and control (short sale constrained) stocks in an intra-day setting, I find evidence supporting the hypothesis that short sale constrains hamper intra-day stock price efficiency. For after-hours downgrades, pilot stocks respond quickly, with virtually all of the price response incorporated by the following open, while control stocks take an extra five minutes after opening to fully reflect the new information. For during-hour downgrades, the negative information is partially incorporated into pilot stock prices up to two hours before the recommendation is released, while control stocks take up to an hour and a half after the release to impound the information into stock price, confirming that short sale constraints lower stock price efficiency.

ENDOGENOUS SHORT-SALE CONSTRAINT, STOCK PRICES AND OUTPUT CYCLES

1997 ◽  
Vol 1 (1) ◽  
pp. 228-254 ◽  
Author(s):  
HAROLD H. ZHANG
Keyword(s):  
Risk Aversion ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Time Preference ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Price Movements ◽  
Negative Shock ◽  
Stock Price Movements

This study examines the effect of short-sale constraints on a stock market, in particular, on stock prices, trading volume, and the relationship between stock price movements and output cycles. The economic model features incomplete markets and heterogeneous agents. The short-sale constraint is endogenously determined in the economy and is a function of agents' risk aversion, time preference, and exogenous driving forces. The dynamic model is solved using a policy function iteration algorithm. We find that, for an array of reasonable time-preference parameters and risk-aversion coefficients, the short sale limits range from 27 to 45% of total outstanding shares. Imposing short-sale constraints causes stock prices to move upward. Trading volume is high when some agents have a large amount of stock holdings but incur a negative shock on their nonfinancial income and is low when some agents have few stock holdings and also incur a negative shock to their nonfinancial income. Stock prices are found to be countercyclical and the expected stock returns are procyclical. These countercyclical stock-price movements are shown to be related to the imposition of a short-sale constraint.

Sign in / Sign up

Export Citation Format

Share Document