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	Provedor de dados 31 (2) Autor Charoenrook, Anchada (2) Daouk, Hazem (2) Palavra-chave Financial Economics (2) G12 (2) International finance (2) Aggregate market returns (1) C1 (1) Conditional Volatility (1) Conditional skewness (1) Cost of capital (1) G15 (1) Marketing (1) Predicting Skewness (1) Research Methods/ Statistical Methods (1) Short-sale constraints (1) Stock returns (1) Mais... Tipo do documento Working or Discussion Paper (2) Ano 2009 (2) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última A Study of Market-Wide Short-Selling Restrictions 31 Charoenrook, Anchada; Daouk, Hazem. This paper contributes empirical evidence to the on-going debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for the analysis of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to... Tipo: Working or Discussion Paper Palavras-chave: Short-sale constraints; Stock returns; Cost of capital; International finance; Financial Economics; G15; G12. Ano: 2009 URL: http://purl.umn.edu/51180 Conditional Skewness of Aggregate Market Returns 31 Charoenrook, Anchada; Daouk, Hazem. The skewness of the conditional return distribution plays a significant role in financial theory and practice. This paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic mechanisms underlying this predictability. In both developed and emerging markets, there is strong evidence that lagged returns predict skewness; returns are more negatively skewed following an increase in stock prices and returns are more positively skewed following a decrease in stock prices. The empirical evidence shows that the traditional explanations such as the leverage effect, the volatility feedback effect, the stock bubble model (Blanchard and Watson, 1982), and the fluctuating uncertainty theory (Veronesi,... Tipo: Working or Discussion Paper Palavras-chave: Conditional skewness; Conditional Volatility; Predicting Skewness; Aggregate market returns; International finance; Financial Economics; Marketing; Research Methods/ Statistical Methods; G12; C1. Ano: 2009 URL: http://purl.umn.edu/51181 Registros recuperados: 2 Primeira ... 1 ... Última

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