Practitioner's Brief: Short-Sale Restrictions Imply Higher Returns

Tom Berry    Danling Jiang, Xiao- Ming Li
02 Apr 2017
Categories: Investment Management, Regulation

Country: Hong Kong

Summary:
WHAT’S THE INVESTMENT ISSUE? Short-sale restriction is an important form of limits to arbitrage. In markets with partial shortsale restrictions, some stocks can be sold short (shortable stocks) whereas others cannot (no-short stocks). The latter are more subject to mispricing because of greater limits to arbitrage. Mispricing can be a ......


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