Chemin de Bellerive 28
Institutional Affiliation: IMD
NBER Working Papers and Publications
|February 2003||Efficiency and the Bear: Short Sales and Markets around the World|
with William N. Goetzmann, Ning Zhu: w9466
We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach developed in Morck et.al. (2000) we find significantly more cross-sectional variation in equity returns in markets where short selling is feasible and practiced, controlling for a host of other factors. This evidence is consistent with more efficient price discovery at the individual security level. A common conjecture by regulators is that short-selling restrictions can reduce the relative severity of a market panic. We test this conjecture by examining the skewness of market returns. We find that...
Published: Goetzmann, William and Arturo Bris. "Efficiency and the Bear: Short Sales and Markets around the World." The Journal of Finance 62, 3 (June 2007): 1029-1079 citation courtesy of
|December 2001||The Optimal Concentration of Creditors|
with Ivo Welch: w8652
There are situations in which dispersed creditors (e.g., public creditors) have more difficulties and higher costs when collecting their claims in financial distress than concentrated creditors (e.g., banks). Under this assumption, our model predicts that measures of debt concentration relate [a] positively to creditors' chosen aggregate debt collection expenditures; [b] positively to management's chosen expenditures to avoid paying; [c] positively to total net litigation costs/waste in financial distress; and [d] positively to accomplished claim recovery by creditors (to which we present some preliminary favorable empirical evidence). Under additional assumptions, measures of debt concentration relate [e] positively to intrinsic firm quality; [f] positively to creditor monitoring and nega...
Published: Bris, Arturo and Ivo Welch. "The Optimal Concentration Of Creditors," Journal of Finance, 2005, v60(5,Oct), 2193-2212. citation courtesy of