The Effects of Short Sale Transaction Reinstating

• Main Authors: Mei-Hui Chang, 張美惠
• Other Authors: Chang-Chiun Cheng
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/gw9687

碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === The eligibility of securities for short sale transaction on Taiwan Stock Exchange is according with regulated conditions. In particular, the net worth per share on semi-annual or annual financial reports must be higher than face amounts of N.T. 10. Based on that regulation, we selected 47 sample companies from 2000 to 2007 to investigate the effects on stock returns for events of short sale transaction reinstating. There are two effects when reinstatement occurs, the bland effect is positive which means that the firms turn to better. On the other hand, the stocks are overvalued under short sale constraint which is negative. Tradeoff these effects, the significantly positively AR and CAR exists in the pre-event, but not in the post-event. Moreover, we also find the CAR is negatively correlated with dispersion of investor opinions in the long run only.