In Practice: Short Sale Restrictions Imply Higher Returns

CFA Institute, Asia-Pacific Research Exchange (ARX), April 2017

3 Pages Posted: 12 May 2017

See all articles by Danling Jiang

Danling Jiang

College of Business, Stony Brook University

Xiaoming Li

Massey University - School of Economics and Finance (Albany)

Date Written: April 25, 2017

Abstract

This in Practice piece gives a practitioner’s perspective on the article “The No-Short Return Premium” by Danling Jiang and Xiao-Ming Li, working paper.

Keywords: Short-Sale Regulation, Return Comovement, Limits to Arbitrage, Mispricing

JEL Classification: G02, G10, G12, G28

Suggested Citation

Jiang, Danling and Li, Xiaoming, In Practice: Short Sale Restrictions Imply Higher Returns (April 25, 2017). CFA Institute, Asia-Pacific Research Exchange (ARX), April 2017, Available at SSRN: https://ssrn.com/abstract=2958530

Danling Jiang

College of Business, Stony Brook University ( email )

306 Harriman Hall
Stony Brook, NY 11794
United States

HOME PAGE: http://sites.google.com/site/danlingjiang

Xiaoming Li (Contact Author)

Massey University - School of Economics and Finance (Albany) ( email )

Private Bag 102904
North Shore
Auckland, 0745
New Zealand
+64 9 4140800 ext. 43177 (Phone)
+64 9 441 8177 (Fax)

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