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نتیجه جستجو - Short sales

تعداد مقالات یافته شده: 2
ردیف عنوان نوع
1 Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets
خطر مزاجی و بازگشت های موردانتظار سهام: شواهدی از بازارهای بورس چین-2018
We estimate idiosyncratic tail risk according to the extreme value theory. Both portfolio analyses and cross-sectional regressions suggest a significant negative relationship between the idiosyncratic tail risk and the expected returns in Chinese stock markets after controlling for other risk measures including size, book-to-market ratio, beta, momentum, short-term reversals, liquidity, idiosyncratic volatility, downside beta, co-skewness, co-kurtosis, idiosyncratic skewness, idiosyncratic kurtosis, value at risk and maximum daily returns. Turnover explains the negative effect of the idiosyncratic tail risk in Chinese stock markets where individual investors dominate the markets and short sales are constrained.
keywords: Idiosyncratic tail risk| Extreme value theory| Idiosyncratic volatility| Return predictability
مقاله انگلیسی
2 Short selling around the expiration of IPO share lockups
فروش کوتاه درطی انقضای توقیف های سهام IPO-2018
We are the first to examine daily short selling activity around the expiration of IPO share lockups. We find that short selling increases before the lockup expiration date and declines afterward, and the level of short selling is higher in stocks of venture capital (VC)- and private equity (PE)-backed IPOs than other IPOs. Unlike VC-backed IPO stocks, PE-backed IPO stocks do not experience a negative return or a trading volume jump on the lockup expiration date. PE investors do not reduce percentage ownership in the IPO firm as much as VC investors do after lockup expirations. Short selling in PE- and VC-backed IPO stocks prior to the lockup expiration date can predict PE and VC ownership reduction but not the stock returns after the lockup expires. In contrast, short selling in stocks of the IPO firms without a PE or VC investor can predict stock returns after the lockup expires.
keywords: Short sales |Initial public offerings (IPOs)|Share lockup expiration |Venture capital (VC) |Reverse leveraged buyout (RLBO) |Private equity (PE)
مقاله انگلیسی
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