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Costly Long-Short Strategies Under Short-Sale Constraints: Chinese Evidence
Lu, Timothy (Jun)1; Ren, Jinjuan2; Zhao, Yan3
2018-12
Source PublicationINTERNATIONAL REVIEW OF FINANCE
ISSN1369-412X
Volume18Issue:4Pages:743-751
Abstract

Long-short portfolios based on market anomalies are subject to ubiquitous short-sale constraints. Few studies directly quantify the impact of shorting on long-short strategies, largely due to the complexity of the shorting practice. We examine the Chinese market, in which the scope of the short-sale constraint and the shorting cost are clearly specified. Among size, value, and momentum strategies, we find that only size earns significant profits before short-sale constraints are considered. Imposing the scope of short-sale constraint by selling only shortable stocks does not materially change the profits. Deducting shorting costs, however, essentially wipes off all the profits of long-short portfolios.

DOI10.1111/irfi.12160
URLView the original
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000452059800009
PublisherWILEY
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Peking Univ, HSBC Business Sch, Shenzhen, Peoples R China;
2.Univ Macau, Fac Business Adm, E22-4079,Ave Univ, Taipa, Macau, Peoples R China;
3.Lion Fund Management, HuaNan Grp, Guangzhou, Guangdong, Peoples R China
Recommended Citation
GB/T 7714
Lu, Timothy ,Ren, Jinjuan,Zhao, Yan. Costly Long-Short Strategies Under Short-Sale Constraints: Chinese Evidence[J]. INTERNATIONAL REVIEW OF FINANCE,2018,18(4):743-751.
APA Lu, Timothy ,Ren, Jinjuan,&Zhao, Yan.(2018).Costly Long-Short Strategies Under Short-Sale Constraints: Chinese Evidence.INTERNATIONAL REVIEW OF FINANCE,18(4),743-751.
MLA Lu, Timothy ,et al."Costly Long-Short Strategies Under Short-Sale Constraints: Chinese Evidence".INTERNATIONAL REVIEW OF FINANCE 18.4(2018):743-751.
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