Cai, Jinghan; Xia, Le - In: Economics Letters 125 (2014) 3, pp. 336-339
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.