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Costly Long-Short Strategies Under Short-Sale Constraints: Chinese Evidence
Lu,Timothy (Jun)1; Ren,Jinjuan2; Zhao,Yan3
2018-12-01
Source PublicationInternational Review of Finance
ISSN14682443 1369412X
Volume18Issue:4Pages:743-751
AbstractLong-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
Language英语
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Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorRen,Jinjuan
Affiliation1.Peking University—HSBC Business School,,Shenzhen,China
2.Faculty of Business Administration,University of Macau,,China
3.Lion Fund Management,HuaNan Group,,GuangZhou,China
Corresponding Author AffilicationFaculty of Business Administration
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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