10.29财务金融系系列讲座之128期
时间：2013年10月29日（周二）13:30
地点：史带楼303室
主持人：Dr. Yan Luo Department of Finance, School of Management, Fudan University
主题：Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market
演讲者：Dr. Jinjuan Ren Assistant Professor, Faculty of Business Administration, University of Macau
摘要: China launched a pilot scheme in March 2010 to lift the ban on short-selling and margin-trading for stocks on a designated list. We find that stocks experience negative returns when added to the list. After the ban is lifted, price efficiency increases while stock return volatility decreases. Panel data regressions reveal that intensified short-selling activities are associated with improved price efficiency. Short-sellers trade to eliminate overpricing by selling stocks with higher contemporaneous returns following a downward trend, and their trades predict future returns. In contrast, we find intensified margin-trading activities for stocks with lower contemporaneous returns, and these trades have no return predictive power.
财务金融系
2013-10-24
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