2 research outputs found
Impacts of short selling restrictions on stocks traded at Borsa İstanbul
Ankara : The Department of Management, İhsan Doğramacı Bilkent University, 2014.Thesis (Master's) -- Bilkent University, 2014.Includes bibliographical references leaves 69-72.This study investigates impacts of short sale restrictions, particularly uptick rule
which was repealed at 02.01.2014, on returns of stocks traded at Borsa Istanbul
between January 2012 and March 2014. Firstly, time-series regressions are
conducted to test the performance of the Fama - French (1993) three-factor model
with four different portfolios, sorted according to their short sale volume ratio
before and after repeal of uptick rule. The results show that in the after period
portfolio consisting of heavily shorted stocks has the only significant and negative
Jensen’s alpha. This indicates that after repeal of uptick rule heavily shorted stocks
underperform probably because of reflection of the pessimists’ beliefs as short
positions which drive asset prices down unnecessarily. Secondly, an additional
short sale factor (SS), is calculated and regressed as an fourth explanatory variable
in Fama-French model in an attempt to determine the common risk factors that
capture the variation in stock returns before and after repeal of uptick rule. This
study explores that while short sale factor (SS) substitutes size factor before repeal
of uptick rule it doesn’t replace size factor after repeal of uptick rule and gains
independent explanatory power from size.Çakın, TuğbaM.S