Costly Long-Short Strategies Under Short-Sale Constraints: Chinese Evidence
Lu,Timothy (Jun)1; Ren,Jinjuan2; Zhao,Yan3
Source PublicationInternational Review of Finance
ISSN14682443 1369412X
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.
URLView the original
Fulltext Access
Citation statistics
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.
Related Services
Recommend this item
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Lu,Timothy (Jun)]'s Articles
[Ren,Jinjuan]'s Articles
[Zhao,Yan]'s Articles
Baidu academic
Similar articles in Baidu academic
[Lu,Timothy (Jun)]'s Articles
[Ren,Jinjuan]'s Articles
[Zhao,Yan]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Lu,Timothy (Jun)]'s Articles
[Ren,Jinjuan]'s Articles
[Zhao,Yan]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.