Shortability and Asset Pricing Model: Evidence from The Hong Kong Stock Market

About this item

Title

Shortability and Asset Pricing Model: Evidence from The Hong Kong Stock Market

Content partner

Massey University

Collection

Massey Research Online

Description

This study explores how the violation of free short selling assumption affects the performance of CAPM and the Fama-French three-factor model, as existing studies show that short-sales constraints affect asset pricing of the stocks. Using data from the Hong Kong Stock Market which has unique regulations on short selling, we conduct both time-series and cross-sectional regression analyses to evaluate the performance of the two models under the short-sales-constraints and the no-constraints mar...

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Format

Research paper

Research format

Journal article

Date created

2017-12

Creator

Bai M / Li X-M / Qin Y

URL

https://hdl.handle.net/10179/16415

Related subjects

Asset pricing models / Short-sales constraints / Shortability factor / 0102 Applied Mathematics / 1502 Banking, Finance And Investment

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