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Three Essays on Short-selling, Maring Trading and Market Efficiency

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Date Issued:
2012
Abstract/Description:
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.
Title: Three Essays on Short-selling, Maring Trading and Market Efficiency.
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Name(s): Wang, Song, Author
Gatchev, Vladimir, Committee Chair
Chen, Honghui, Committee CoChair
Schnitzlein, Charles, Committee Member
Hofler, Richard, Committee Member
University of Central Florida, Degree Grantor
Type of Resource: text
Date Issued: 2012
Publisher: University of Central Florida
Language(s): English
Abstract/Description: 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.
Identifier: CFE0004614 (IID), ucf:49941 (fedora)
Note(s): 2012-12-01
Ph.D.
Business Administration, Dean's Office CBA
Doctoral
This record was generated from author submitted information.
Subject(s): Short-selling -- Maring Trading and Market Efficiency
Persistent Link to This Record: http://purl.flvc.org/ucf/fd/CFE0004614
Restrictions on Access: campus 2017-12-15
Host Institution: UCF

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