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Handbook of Short Selling
- 1st Edition - August 31, 2011
- Editor: Greg N. Gregoriou
- Language: English
- Hardback ISBN:9 7 8 - 0 - 1 2 - 3 8 7 7 2 4 - 6
- Paperback ISBN:9 7 8 - 0 - 1 2 - 8 1 0 3 5 8 - 6
- eBook ISBN:9 7 8 - 0 - 1 2 - 3 8 7 7 2 5 - 3
This comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short se… Read more
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Request a sales quoteThis comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short selling by region, its consideration of the history and regulations of short selling, and its mixture of industry and academic perspectives clarify the uses of short selling and dispel notions of its destructive implications. With contributions from around the world, this volume sheds new light on the ways short selling uncovers market forces and can yield profitable trades.
- Combines academic and professional research on short selling in all major financial markets
- Emphasizes details about strategies, implementations, regulation, and tax advantages
- Chapters provide summaries for readers who want up-to-date maps of subject landscapes
Preface
Acknowledgments
About the Editor
Contributor Bios
Chapter 1. Short Sales and Financial Innovation
1.1. Introduction
1.2. Markets with Short Sales
1.3. Gains from Trade
1.4. Social Diversity, Volatility, and Default
1.5. Financial Innovation Creates Systemic Risks of Widespread Defaults
1.6. Introducing Graduated Reserves
1.7. Graduated Reserves Restore Stability and Prevent Default
1.8. Conclusion
Chapter 2. The Goldman Sachs Swaps Shop
2.1. Introduction
2.2. “Weapons of Mass Financial Destruction”
2.3. Key Sources of Relevant U.S. Securities Law
2.4. SEC v. Goldman Sachs & Co., et al.—The Complaint
2.5. Vampyroteuthis Infernalis—Collateral Consequences
2.6. Conclusion
Chapter 3. Off-Shore Short Sales after Morrison
3.1. Introduction
3.2. Goldman and Paulson Enter into a Marriage of Convenience
3.3. The Securities and Exchange Commission Charges Goldman and Tourre with Securities Fraud in Connection with ABACUS Structuring and Marketing
3.4. Climax: Dodd–Frank Affords the Securities and Exchange Commission Extraterritorial Jurisdiction
3.5. Conclusion—Tourre and His Cohorts Celebrate a Pyrrhic Victory
Chapter 4. Regulating Short Sales in the 21st Century
4.1. Introduction
4.2. U.S. Short Sale Regulation Background
4.3. Current Securities and Exchange Commission Regulation of Short Selling Activity
4.4. Conclusion
Chapter 5. Evolution of Short Selling Regulations and Trading Practices
5.1. Introduction
5.2. Literature Review
5.3. Historical Background on Short Selling
5.4. Short Selling and Financial Crisis
5.5. A Detailed Analysis of Short Selling in Recent Times
5.6. Conclusion
Chapter 6. Financing Techniques for Short Sellers
6.1. Introduction
6.2. Introducing the Repo Market for Fixed Income Securities
6.3. Length of Trades
6.4. Special Rate
6.5. The Repo Market in Bankruptcy
6.6. Haircuts and Margin Maintenance
6.7. Financing Equity Short Positions
6.8. In Lieu Payments and Other Rights
6.9. Financing Currency Short Positions
6.10. Financing Commodity Short Positions
6.11. Trading in the Lending Markets
6.12. Conclusion
Chapter 7. A Survey of Short Selling in Canada
7.1. Introduction
7.2. Current Regulations
7.3. Taxation of Short Sales
7.4. Recent Trends in Canada
7.5. Impact of Recent Short Sale Prohibition
7.6. Conclusion
Chapter 8. Are Restrictions on Short Selling Good? A Look at European Markets
8.1. Introduction
8.2. Short Selling Bans and Analysis of Market Reactions
8.3. Committee of European Securities Regulators Initiative and Its Impacts on Professional Equity Investments
8.4. Conclusion
Chapter 9. Short Selling, Clearing, and Settlement in Europe
9.1. Introduction
9.2. Short Selling and Settlement Risk
9.3. Settlement Discipline in Europe
9.4. Relation between Short Selling Market Discipline and Settlement Discipline
9.5. Impact of Short Selling and Fails on the Effectiveness of Settlement Discipline Measures
9.6. Conclusion
Chapter 10. The 2008 Emergency Regulation of Short Selling in the United Kingdom, United States, and Australia
10.1. Introduction
10.2. Objectives of Securities Regulation
10.3. Analysis of Emergency Responses
10.4. Types and Range of Initiatives
10.5. Conclusion
Chapter 11. Reflections on Short Selling Regulations in Western and Eastern Europe
11.1. Introduction
11.2. A Review of the National Regulatory Regimes in the European Union (EU)
11.3. The Case of Eastern Europe
11.4. The New European Commission's Draft Regulation
11.5. Conclusion
Chapter 12. Regulating Short Selling
12.1. Introduction
12.2. Theoretical Views of Short Selling Regulation
12.3. European Regulations after the Lehman Brothers Collapse
12.4. Regulatory Asymmetries and Arbitrage
12.5. Conclusion
Chapter 13. Do Option Prices Reveal Short Sale Restrictions Impact on Banks’ Stock Prices? The German Case*
13.1. Introduction
13.2. Literature Review
13.3. Methodology
13.4. Data
13.5. Do Options Prices Reveal Short Sale Restrictions?
13.6. Conclusion
Chapter 14. Short Selling in France during the Crisis, the Bans, and What Has Changed since the Euro Correction
14.1. Introduction
14.2. Literature Review
14.3. Regulatory Developments Concerning Short Selling in France
14.4. Statistics
14.5. Discussion
Chapter 15. The Chinese Real Estate Bubble
15.1. Introduction
15.2. Comparison with the United States
15.3. The Bubble in China
15.4. The Debt Deflation Model—Does It Apply to China?
15.5. The Stock Market—Forecasting the Bursting of the Bubble?
15.6. Problems in Shorting Chinese Stocks
15.7. Conclusion
Chapter 16. Introduction of Margin Trading and Short Selling in China's Securities Market
16.1. Introduction
16.2. The Disordered Warrant Price in China's Securities Market
16.3. Development of Margin Trading and Short Selling in China
16.4. Introduction and Interpretation of China's Key Rules on Margin Trading and Short Selling
16.5. Conclusion
Chapter 17. Impact of Short Selling on China Stock Prices
17.1. Introduction
17.2. Literature Review
17.3. Methodology
17.4. Sample and Hypotheses
17.5. Empirical Findings
17.6. Conclusion
Chapter 18. Short Selling the Real Estate Bubble in China
18.1. Introduction
18.2. Is There a Bubble in China's Real Estate Market?
18.3. How to Short Sell the Real Estate Bubble
18.4. Conclusion
Chapter 19. Impact of Macroeconomic Indicators on Short Selling
19.1. Introduction
19.2. Data and Brief Overview of Japanese Macroeconomic Indicators
19.3. Data and Methodology
19.4. Conclusion
Chapter 20. New Regulatory Developments for Short Selling in Asia
20.1. Introduction
20.2. Typical Short Selling Constraints
20.3. Examples of a Few Asian Countries
20.4. Recent Developments in China
20.5. Conclusion
Chapter 21. The Signaling of Short Selling Activity in Australia
21.1. Introduction
21.2. Literature Review
21.3. Data and Methodology
21.4. Findings
21.5. Conclusion
Chapter 22. Sourcing Securities for Short Sales
22.1. Introduction
22.2. Transactional Attributes of Securities Loans
22.3. Securities Loans and Short Sales
22.4. Securities Loans and Voting Rights
22.5. Legal Characterization of Securities Loans
22.6. Conclusion
Chapter 23. Short Selling in Emerging Markets
23.1. Introduction
23.2. Short Selling in Emerging Markets: Main Characteristics
23.3. Emerging Market Main Indicators
23.4. Conclusion
Chapter 24. Short Selling and the Problem of Market Maturity in Latin America
24.1. Introduction
24.2. Review of National Regulatory Regimes in Latin America
24.3. Previous Studies on Short Selling in Latin America
24.4. The Practice of Short Selling in Latin America
24.5. Conclusion
Chapter 25. Short Selling—The Ambrosia or Kryptonite of Emerging Markets?
25.1. Introduction
25.2. Emerging Market Benefits from Short Selling
25.3. Risk of Short Selling to an Emerging Market
25.4. Short Selling in BRIC Nations
25.5. Short Selling in Other Key Areas
25.6. Helpful Investor Mechanisms
25.7. Conclusion
Chapter 26. Short Selling Consistency in South Africa
26.1. Introduction
26.2. Johannesburg Stock Exchange and Financial Markets Regulation
26.3. South African Markets prior to and during the Global Financial Crisis
26.4. South African Short Selling Rules
26.5. Conclusion
Chapter 27. Short Selling in Russia
27.1. Introduction
27.2. Main Regulations and Practices
27.3. Empirical Analysis: A Comparison of Asset Allocation Strategies
27.4. Conclusion
Chapter 28. Performance Persistence of Short-Biased Hedge Funds
28.1. Introduction
28.2. What are Short-Biased Hedge Funds?
28.3. Past Performance of Short-Biased Hedge Funds
28.4. Future Performance of Short-Biased Hedge Funds
28.5. Asset Allocation and Short-Biased Hedge Funds
28.6. Conclusion
Chapter 29. An Empirical Analysis of Short-Biased Hedge Funds’ Risk-Adjusted Performance
29.1. Introduction
29.2. Literature Review
29.3. Data Analysis
29.4. Empirical Analysis: A Panel Approach
29.5. Conclusion
Chapter 30. Short Selling by Portfolio Managers
30.1. Introduction
30.2. Data Description
30.3. Research Question/Hypothesis
30.4. Methodology
30.5. Results
30.6. Conclusion
Chapter 31. Short Selling in an Asset Allocation Framework—The Search for Alpha
31.1. Introduction
31.2. A Stylized Example
31.3. Alpha Transportation in Practice
31.4. An Illustrative Example
31.5. Conclusion
Chapter 32. Machine Learning and Short Positions in Stock Trading Strategies
32.1. Introduction
32.2. Literature Review
32.3. Data and Methodology
32.4. Empirical Results
32.5. Conclusion
Chapter 33. Short Selling Stock Indices on Signals from Implied Volatility Index Changes
33.1. Introduction
33.2. Literature Review
33.3. Data and Methodology
33.4. Results
33.5. Conclusion
Chapter 34. Short Selling and the Equity Premium Puzzle
34.1. Introduction
34.2. Theory
34.3. Data
34.4. Impact of Short Selling in a Heterogeneous Group of Investors
34.5. Discussion
34.6. Conclusion
Chapter 35. Affine Term Structure Models and Short Selling
35.1. Introduction
35.2. Affine Term Structure Models
35.3. Macroeconomic Shocks Affecting Government Surpluses Are Affine
35.4. Some Evidence on Affine Term Structure Models
35.5. Risks of Sovereign Debt Rollover
35.6. How Multiple Equilibrium Works and How It Could Result in “Runs” on Government Issuances
35.7. Prohibition in Naked Short Selling: A Poor Workaround with Little Effective Consequences
35.8. Conclusion
Chapter 36. Short Sale Constraints in the Equity Market and the Term Structure of Interest Rates
36.1. Introduction
36.2. Data and Method
36.3. Main Findings
36.4. Conclusion and Policy Implications
Chapter 37. Short Selling Assessment Where Consumer Prices Involve Both Currency Trades and Weather Shocks
37.1. Introduction
37.2. Methodology
37.3. Data and Empirical Application
37.4. Conclusion
Chapter 38. Aggregate Short Selling during Earnings Seasons
38.1. Introduction
38.2. Data and Methodology
38.3. Empirical Results
38.4. Conclusion
Chapter 39. The Information Content of Short Selling before Macroeconomic Announcements
39.1. Introduction
39.2. Data Sources and Sample Details
39.3. Measures and Methods
39.4. Results
39.5. Conclusion
Index
- No. of pages: 624
- Language: English
- Edition: 1
- Published: August 31, 2011
- Imprint: Academic Press
- Hardback ISBN: 9780123877246
- Paperback ISBN: 9780128103586
- eBook ISBN: 9780123877253
GG
Greg N. Gregoriou
A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.
Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.
Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.
Affiliations and expertise
School of Business and Economics, State University of New York, Plattsburgh, NY, USARead Handbook of Short Selling on ScienceDirect