Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market
利用香港市场只有指定股票可卖空的独特规则，分析股票被加入可卖空名单后的价格变化，发现卖空限制导致股票高估，且投资者意见分歧越大时高估越明显，支持Miller的乐观模型。
ABSTRACT Short‐sales practices in the Hong Kong stock market are unique in that only stocks on a list of designated securities can be sold short. By analyzing the price effects following the addition of individual stocks to the list, we find that short‐sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed.