| Author: | Karpoff, J. M. |
| Title: | Costly short sales and the correlation of returns with volume |
| Journal: | Journal of Financial Research
1988 : FALL, VOL. 11, No. 3, p.173-188 |
| Index terms: | STOCHASTIC PROCESSES MONEY MARKETS ASSET VALUATION |
| Language: | eng |
| Abstract: | An explanation is proposed concerning the empirical correlation between returns and trading volume in some financial markets, based on the notion that short positions are more costly than long positions in these markets. A stochastic market model. The effect of costly short sales. Test of the costly short sales hypothesis. Two Tables and two Figures illustrate the study. |
SCIMA