Efficiency and the Bear: Short Sales and Markets around the World

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  • 1 January 2004
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      • Published in RePEc
Abstract
We analyze cross-sectional and time series information from forty-six equity markets around the world, to consider whether short sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stock and market indices. We construct two measures of price efficiency that quantify the asymmetric response of indiv

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