Discovery Projects - Grant ID: DP0451719

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0451719

Funding Status
Closed

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Funded Activity Summary

Causes and Consequences of Short Selling for Equity Returns. Short selling involves holding negative quantities of an asset. As prices fall, the short position makes profit. Short selling is thought to reflect the market's expectation of future underperformance. This study aims to explore the determinants and consequences of short selling. In particular we aim to address the following: 1. Do short sales create excessive volatility? 2. Can we price the volatility associated with short selling in a modern risk management framework? 3. What factors underlie the volume of short sales? 4. Should we distinguish between long and short transactions, or is gross traded volume a sufficient measure of turnover?

Funded Activity Details

Start Date: 11-12-2003

End Date: 31-12-2007

Funding Scheme: Discovery Projects

Funding Amount: $180,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Finance | Financial Econometrics | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services | Financial Econometrics

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