Min Bai

Citation

Thesis Title
Short-sales constraints and asset pricing

Read article at Massey Research Online:

Mr Bai investigated the relationship between short-selling constraints and asset pricing in stock markets. He found that: (1) stocks banned for short sales earn higher than average abnormal returns; (2) some firm characteristics are important in raising/lowering stock returns when the stocks change from being shortable to being non-shortable, and so need to be taken into account when pricing the stocks; (3) it is inappropriate to apply the existing asset pricing models in research that involves assets and markets facing short-sale constraints; and (4) augmenting existing asset-pricing models with the shorting-restriction-related factor would improve the accuracy of estimating the cost of equity capital in markets where short sales are restricted. His findings contribute to the literature and have important implications for both practitioners and academics.  

Supervisors
Professor Xiaoming Li
Professor Liping Zou