When R2 meets the short-sales constraints

We examine the short-selling in the Hong Kong stock market and find that, after the lift of short-sales constraint, the R2 increases, contradicting the traditional wisdom that R2 is a proxy of price inefficiency. Moreover, the change of R2 is from the decrease in idiosyncratic volatility.

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Year of publication:	2014
Authors:	Cai, Jinghan ; Xia, Le
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 3, p. 336-339
Publisher:	Elsevier
Subject:	Price efficiency \| Short-selling \| Idiosyncratic volatility

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Type of publication:	Article
Classification:	G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116201