When R^sup 2 ^meets the short-sales constraints

When R^sup 2 ^meets the short-sales constraints

We examine the short-selling in the Hong Kong stock market and find that, after the lift of short-sales constraint, the R2 increases, contradicting the traditional wisdom that R2 is a proxy of price inefficiency. Moreover, the change of R2 is from the decrease in idiosyncratic volatility.

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Veröffentlicht in:Economics letters 2014-12, Vol.125 (3), p.336
Hauptverfasser: Cai, Jinghan, Xia, Le
Format: Artikel
Sprache:eng
Schlagworte:
Efficient markets
Securities markets
Short sales
Stock prices
Studies
Volatility
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Zusammenfassung:We examine the short-selling in the Hong Kong stock market and find that, after the lift of short-sales constraint, the R2 increases, contradicting the traditional wisdom that R2 is a proxy of price inefficiency. Moreover, the change of R2 is from the decrease in idiosyncratic volatility.
ISSN:0165-1765
1873-7374