Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan

被引：1

作者：

Khan, Mostafa Saidur Rahim ^{[1
]}

Bremer, Marc ^{[2
]}

Kato, Hideaki Kiyoshi ^{[1
]}

机构：

[1] Nagoya Univ, Grad Sch Econ, Chikusa Ku, Furo Cho, Nagoya, Aichi 4648601, Japan

[2] Nanzan Univ, Sch Business Adm, Showa Ku, 18 Yamazato Cho, Nagoya, Aichi 4668673, Japan

来源：

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES | 2018年 / 48卷

关键词：

Short-sales; Centralized securities lending; Recall risk; Overvaluation; Pricing; EQUITY LENDING MARKET; STOCK RETURNS; SHORT-SELLERS; OPTIONS MARKETS; RESTRICTIONS; INFORMATION; OPINION; EFFICIENCY; OWNERSHIP;

D O I：

10.1016/j.jjie.2017.11.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the significance of short-sales constraints in the presence of a centralized lendable securities market in Japan. We find evidence that a centralized lendable securities market experiences lower short sales constraints. The cost of borrowing stock is found to be lower in Japan's centralized lendable securities market compared with a non-centralized lendable securities market. We also find evidence that recall risk is lower in a centralized lendable securities market. Additionally, there is evidence that stocks are not systematically overvalued in the presence of the centralized lendable securities market. These results are robust when alternative measures of short-sales constraints are considered.

引用

页码：85 / 96

页数：12

共 29 条

[1] Short-sales constraints and market quality: Evidence from the 2008 short-sales bans
Frino, Alex
Lecce, Steven
Lepone, Andrew
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2011, 20 (04) : 225 - 236
[2] Short-sales constraints and price discovery: Evidence from the Hong Kong market
Chang, Eric C.
Cheng, Joseph W.
Yu, Yinghui
[J]. JOURNAL OF FINANCE, 2007, 62 (05): : 2097 - 2121
[3] Differences of opinion, short-sales constraints, and market crashes
Hong, H
Stein, JC
[J]. REVIEW OF FINANCIAL STUDIES, 2003, 16 (02): : 487 - 525
[4] Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market
Bai, Min
Qin, Yafeng
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2014, 26 : 98 - 122
[5] Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket
Patatoukas, Panos N.
Sloan, Richard G.
Wang, Annika Yu
[J]. MANAGEMENT SCIENCE, 2022, 68 (01) : 608 - 634
[6] When R2 meets the short-sales constraints
Cai, Jinghan
Xia, Le
[J]. ECONOMICS LETTERS, 2014, 125 (03) : 336 - 339
[7] Short-sales and stock price crash risk: Evidence from an emerging market
Ni, Xiaoran
Zhu, Weikang
[J]. ECONOMICS LETTERS, 2016, 144 : 22 - 24
[8] TOXIC NEIGHBORS: FORECLOSURES AND SHORT-SALES SPILLOVER EFFECTS FROM THE CURRENT HOUSING-MARKET CRASH
Daneshvary, Nasser
Clauretie, Terrence M.
[J]. ECONOMIC INQUIRY, 2012, 50 (01) : 217 - 231
[9] Short sales constraints and price adjustments to earnings announcements: Evidence from the Hong Kong market
Bai, Min
Qin, Yafeng
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2015, 42 : 304 - 315
[10] Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
Mazin A. M. Al Janabi
[J]. Annals of Operations Research, 2013, 205 : 109 - 139

← 1 2 3 →