Fabozzi F. J. (editor) - Short Selling, Strategies, Risks, and
Rewards, John Wiley & Sons, Inc. -2004- 435p.
Foreword ix.
Clifford S. Asness.
Preface xiv.
About the Editor xv.
Contributing Authors xvi.
Introduction.
Frank J. Fabozzi, Steven L. Jones, and Glen Larsen.
The Mechanics of Short Selling.
Mechanics of the Equity Lending Market.
Jeff Cohen, David Haushalter, and Adam V. Reed.
The Lending Process.
Lenders.
Borrowers.
The Determinants of Rebate Rates.
Conclusion.
Shorting Using Futures and Options.
Frank J. Fabozzi.
Futures Contracts.
Equity Options.
Summary.
Is Selling ETFs Short a Financial Extreme Sport?
Gary L. Gastineau.
What Are the Most Important Safety Features.
Protecting ETF Short Sellers?
How Do ETFs Work in Risk Management Applications?
Who Owns ETF Shares?
Will It Always Be Possible to Borrow ETF Shares at.
Low-Cost for Risk Management Applications?
What Is the Effect of Short Selling and Risk Management.
Activity on ETF Trading Volume and Trading Costs?
Are Risk Management Applications and Heavy ETF Share Trading.
Desirable for Fund Shareholders and Fund Advisors?
What Is the Significance of the Short Interest for.
Growth in ETF Assets?
Conclusion.
Theory and Evidence on Short Selling.
Restrictions on Short Selling and Exploitable Opportunities for Investors.
Edward M. Miller.
Demand and Supply Curves Arguments.
The Patte of Stock Prices Over Time with.
Uninformed Investors.
The Bounded Efficient Markets Hypothesis.
Conclusions.
Implications of Short Selling and Divergence of Opinion for Investment Strategy.
Edward M. Miller.
Interaction of Divergence of Opinion and Short Selling Restrictions.
Empirical Tests.
Conclusions.
Short Sale Constraints and Overpricing.
Owen A. Lamont.
Short Sale Constraints.
The Overpricing Hypothesis.
Costs of Shorting.
Go Down Fighting.
Com/Palm.
Tech Stock Mania and Short Sale Constraints.
Summary.
How Short Selling Expands the Investment Opportunity Set and.
Improves Upon Potential Portfolio Efficiency.
Steven L. Jones and Glen Larsen.
Short Selling in Efficient Portfolios: The Theory and.
Its Practical Implications.
The Empirical Evidence on Short Positions in Ex Post.
Efficient Portfolios.
Concluding Remarks and Practical Implications for Investors.
The Information Content of Short Sales.
Steven L. Jones and Glen Larsen.
Short Sales: Reporting, Frequency, and Constraints.
Academic Theory versus the Technical Analyst’s View.
The Empirical Evidence.
Conclusions and Implications for Investors.
Short Selling Strategies.
Spotting Clues in Qs.
Ron Gutfleish and Lee Atzil.
Looking for the Easier Fight.
Putting on the Green Eyeshades.
So What? It’s Only Accounting.
How Do You Find these Cases?
Diagnosis.
Keeping Your Shorts On.
Tales from the Front Lines: Three Examples.
Summary.
The Economic Profit Approach to Short Selling.
James A. Abate and James L. Grant.
Short Selling in the Theory of Finance.
Tenets of Good and Bad Companies.
Positive NPV: Discovery of Good Companies.
Negative NPV: Discovery of Bad Companies.
Zero NPV: Wealth Neutral Companies.
Case Studies.
Role of the Value/Capital Ratio.
Invested Capital Growth.
Managerial and Investor Implications.
Matrix of Good and Bad Companies.
Reconciling Market Implied Growth.
Summary.
Long-Short Equity Portfolios.
Bruce I. Jacobs and Kenneth N. Levy.
Constructing a Market Neutral Portfolio.
The Importance of Integrated Optimization.
Adding Back a Market Retu.
Some Conces Addressed.
Evaluating Long-Short.
Short Selling and Market Efficiency.
Short Sales in Global Perspective.
Arturo Bris, William N. Goetzmann, and Ning Zhu.
Short Sales Restrictions Around the World.
Foreign Listing and Short Selling.
Short Selling Constraints and Inteational Capital Flows.
Conclusion.
Short Selling and Financial Puzzles.
Edward M. Miller.
Divergence of Opinion and Risk.
Retus to Beta.
Implications for Value Additivity.
Conclusions.
INDEX.
Foreword ix.
Clifford S. Asness.
Preface xiv.
About the Editor xv.
Contributing Authors xvi.
Introduction.
Frank J. Fabozzi, Steven L. Jones, and Glen Larsen.
The Mechanics of Short Selling.
Mechanics of the Equity Lending Market.
Jeff Cohen, David Haushalter, and Adam V. Reed.
The Lending Process.
Lenders.
Borrowers.
The Determinants of Rebate Rates.
Conclusion.
Shorting Using Futures and Options.
Frank J. Fabozzi.
Futures Contracts.
Equity Options.
Summary.
Is Selling ETFs Short a Financial Extreme Sport?
Gary L. Gastineau.
What Are the Most Important Safety Features.
Protecting ETF Short Sellers?
How Do ETFs Work in Risk Management Applications?
Who Owns ETF Shares?
Will It Always Be Possible to Borrow ETF Shares at.
Low-Cost for Risk Management Applications?
What Is the Effect of Short Selling and Risk Management.
Activity on ETF Trading Volume and Trading Costs?
Are Risk Management Applications and Heavy ETF Share Trading.
Desirable for Fund Shareholders and Fund Advisors?
What Is the Significance of the Short Interest for.
Growth in ETF Assets?
Conclusion.
Theory and Evidence on Short Selling.
Restrictions on Short Selling and Exploitable Opportunities for Investors.
Edward M. Miller.
Demand and Supply Curves Arguments.
The Patte of Stock Prices Over Time with.
Uninformed Investors.
The Bounded Efficient Markets Hypothesis.
Conclusions.
Implications of Short Selling and Divergence of Opinion for Investment Strategy.
Edward M. Miller.
Interaction of Divergence of Opinion and Short Selling Restrictions.
Empirical Tests.
Conclusions.
Short Sale Constraints and Overpricing.
Owen A. Lamont.
Short Sale Constraints.
The Overpricing Hypothesis.
Costs of Shorting.
Go Down Fighting.
Com/Palm.
Tech Stock Mania and Short Sale Constraints.
Summary.
How Short Selling Expands the Investment Opportunity Set and.
Improves Upon Potential Portfolio Efficiency.
Steven L. Jones and Glen Larsen.
Short Selling in Efficient Portfolios: The Theory and.
Its Practical Implications.
The Empirical Evidence on Short Positions in Ex Post.
Efficient Portfolios.
Concluding Remarks and Practical Implications for Investors.
The Information Content of Short Sales.
Steven L. Jones and Glen Larsen.
Short Sales: Reporting, Frequency, and Constraints.
Academic Theory versus the Technical Analyst’s View.
The Empirical Evidence.
Conclusions and Implications for Investors.
Short Selling Strategies.
Spotting Clues in Qs.
Ron Gutfleish and Lee Atzil.
Looking for the Easier Fight.
Putting on the Green Eyeshades.
So What? It’s Only Accounting.
How Do You Find these Cases?
Diagnosis.
Keeping Your Shorts On.
Tales from the Front Lines: Three Examples.
Summary.
The Economic Profit Approach to Short Selling.
James A. Abate and James L. Grant.
Short Selling in the Theory of Finance.
Tenets of Good and Bad Companies.
Positive NPV: Discovery of Good Companies.
Negative NPV: Discovery of Bad Companies.
Zero NPV: Wealth Neutral Companies.
Case Studies.
Role of the Value/Capital Ratio.
Invested Capital Growth.
Managerial and Investor Implications.
Matrix of Good and Bad Companies.
Reconciling Market Implied Growth.
Summary.
Long-Short Equity Portfolios.
Bruce I. Jacobs and Kenneth N. Levy.
Constructing a Market Neutral Portfolio.
The Importance of Integrated Optimization.
Adding Back a Market Retu.
Some Conces Addressed.
Evaluating Long-Short.
Short Selling and Market Efficiency.
Short Sales in Global Perspective.
Arturo Bris, William N. Goetzmann, and Ning Zhu.
Short Sales Restrictions Around the World.
Foreign Listing and Short Selling.
Short Selling Constraints and Inteational Capital Flows.
Conclusion.
Short Selling and Financial Puzzles.
Edward M. Miller.
Divergence of Opinion and Risk.
Retus to Beta.
Implications for Value Additivity.
Conclusions.
INDEX.