The impact of short selling on market efficiency : An analysis of short selling in Brazil

ISBN-13: 9783330767003 / Angielski / Miękka / 2017 / 56 str.

Daniel Dantas de Castro

Opis

This book studies how short-sale constraints affect price efficiency in Brazilian stocks. The study uses a data set with all equity loan deals done in Brazil between January 2009 and July 2011. The main findings are the mapping of efficiency stock characteristics (i.e. stocks with more liquidity, larger size and greater book-to-market); an evidence of efficiency risk premium paid for investors that keep price-inefficient stocks in their portfolio; a positive relation between short selling and price efficiency and the event study of tax arbitrage, where it's possible to check that price inefficiency is positively related to short selling during the payment of interest on net equity.

O autorze

Daniel Dantas de Castro completed his MSc. in Economic Theory with specialization in Finance in 2015 and his bachelor degree in Economics in 2010, both held at the Universidade de São Paulo, USP. In addition, he has 6 years of professional experience as a financial engineer focused on market risk, portfolio management and optimization tools.