Keywords
Short selling maring trading and market efficiency
Abstract
My dissertation contains three essays on short-selling, margin trading, and market efficiency. The first essay uses a unique exogenous event, the introduction of short selling in the Chinese stock market, to examine the direct link between idiosyncratic risk and short selling. Based on Shleifer and Vishny (1997), I hypothesize that idiosyncratic risk deters arbitrageurs with negative information from taking short positions in overvalued stocks. Consequently, the stocks with high idiosyncratic risk are more overvalued at the onset of the introduction of short sale and perform worse in the subsequent period. The second essay examines the impact of the introduction of margin trading and short selling in the Chinese stock market on market quality. The third essay examines the relationship between short selling and SEO discount under the SEC’s amendment to Rule 105. If the amendment is binding, the short-selling prior to seasoned equity offering (SEO) should correctly reflect negative information and promote price efficiency. Thus the winner’s curse problem during SEO process is reduced and the value discount of a SEO should be less
Notes
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Graduation Date
2012
Semester
Fall
Advisor
Gatchev, Vladimir
Degree
Doctor of Philosophy (Ph.D.)
College
College of Business Administration
Degree Program
Business Administration; Finance
Format
application/pdf
Identifier
CFE0004614
URL
http://purl.fcla.edu/fcla/etd/CFE0004614
Language
English
Release Date
12-15-2017
Length of Campus-only Access
5 years
Access Status
Doctoral Dissertation (Open Access)
Subjects
Business Administration -- Dissertations, Academic, Dissertations, Academic -- Business Administration
STARS Citation
Wang, Song, "Three Essays On Short-selling, Margin Trading And Market Efficiency" (2012). Electronic Theses and Dissertations. 2384.
https://stars.library.ucf.edu/etd/2384