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The Effect Of The Ban On Short Selling On Market Efficiency And Volatility, Uwe Helmes, Julia Henker, Thomas Henker
The Effect Of The Ban On Short Selling On Market Efficiency And Volatility, Uwe Helmes, Julia Henker, Thomas Henker
Thomas Henker
We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the financial crisis, the ban on short selling of financial stocks on the Australian Stock Exchange lasted eight months, including both the tumultuous end of 2008 and the calmer period up to May 2009. Our control group consists of matched Canadian financial institutions which were unaffected by a short selling ban. We analyze the impact of …
Survivorship Bias And Alternative Explanations Of Momentum Effect, Julia Henker, Thomas Henker, Thanh Huynh
Survivorship Bias And Alternative Explanations Of Momentum Effect, Julia Henker, Thomas Henker, Thanh Huynh
Thomas Henker
This paper provides the first detailed examination of momentum effect in Australian equity market. In contrast to previous research, we find that momentum effect has not been present in Australian market since late 1970s. We argue that previous research found strong momentum effect because they assumed perfect foresight of future delisting or acquisitions in the sampling process. In addition, we find that Fama and French three-factor model cannot explain the mean momentum returns although it can fully rationalize the returns on winners and losers portfolios. Our findings raise awareness in the literature that momentum effect is not robust to different …