No Access

Conditioned Responses towards Measures Relating to the Capital Cost of Short Sellers: Evidence from Taiwan

Chih-Hsiang Chang

National University of Kaohsiung, Kaohsiung, Taiwan

Corresponding author.

Search for more papers by this author

and

Wen-Shan Chiang

National University of Kaohsiung, Kaohsiung, Taiwan

Search for more papers by this author

https://doi.org/10.1142/S0219091514500192Cited by:2 (Source: Crossref)

Abstract

This study draws on classical conditioning to explain how investors react to short sale-related measures. Our results reveal that measures related to the capital cost of short sellers cause a conditioned response among investors. This explains how investors actually perceive and relate to short sale-related measures and shows that many measures fail to achieve the expected results. Additionally, the conditioned response to measures related to the capital cost of short sellers reveals investor sentiment about the adjustment of short sale margin requirements.

Keywords:

References

L. F. Ackert and G. Athanassakos , Journal of Banking and Finance 29 , 1729 ( 2005 ) . Crossref, Web of Science, Google Scholar
P. Asquith , P. A. Pathak and J. R. Ritter , Journal of Financial Economics 78 , 243 ( 2005 ) . Crossref, Web of Science, Google Scholar
M. Baker and J. C. Stein , Journal of Financial Markets 7 , 271 ( 2004 ) . Crossref, Web of Science, Google Scholar
M. Baker and J. Wurgler , Journal of Finance 61 , 1645 ( 2006 ) . Crossref, Web of Science, Google Scholar
H. Berkman et al. , Journal of Financial Economics 92 , 376 ( 2009 ) . Crossref, Web of Science, Google Scholar
R. P. Bey and L. J. Johnson , Journal of Portfolio Management 32 , 92 ( 2006 ) . Crossref, Web of Science, Google Scholar
Bird, R, DFS Choi and D Yeung (2013). Market uncertainty, market sentiment, and the post-earnings announcement drift. Review of Quantitative Finance and Accounting, doi: 10.1007/s11156-013-0364-x . Google Scholar
B. M. Blau , B. F. Van Ness and R. A. Van Ness , Financial Management 38 , 603 ( 2009 ) . Crossref, Web of Science, Google Scholar
B. M. Blau and C. Wade , Review of Quantitative Finance and Accounting ( 2013 ) . Google Scholar
N. P. B. Bollen and J. A. Busse , Journal of Financial and Quantitative Analysis 41 , 915 ( 2006 ) . Crossref, Web of Science, Google Scholar
G. W. Brown and M. T. Cliff , Journal of Empirical Finance 11 , 1 ( 2004 ) . Crossref, Web of Science, Google Scholar
S. J. Brown and J. B. Warner , Journal of Financial Economics 14 , 3 ( 1985 ) . Crossref, Web of Science, Google Scholar
C. H. Chang and K. C. Chan , International Review of Economics and Finance 20 , 733 ( 2011 ) . Crossref, Web of Science, Google Scholar
E. C. Chang , J. W. Cheng and Y. Yu , Journal of Finance 62 , 2097 ( 2007 ) . Crossref, Web of Science, Google Scholar
J. Chen , H. Hong and J. C. Stein , Journal of Financial Economics 66 , 171 ( 2002 ) . Crossref, Web of Science, Google Scholar
J. H. Chen et al. , Review of Quantitative Finance and Accounting 21 , 303 ( 2003 ) . Crossref, Google Scholar
S. E. Christophe , M. G. Ferri and J. Hsieh , Journal of Financial Economics 95 , 85 ( 2010 ) . Crossref, Web of Science, Google Scholar
W. I. Chuang and H. C. Lee , Pacific-Basin Finance Journal 18 , 521 ( 2010 ) . Crossref, Web of Science, Google Scholar
K. H. Chung and C. Chuwonganant , Financial Management 33 , 47 ( 2004 ) . Web of Science, Google Scholar
S. J. Ciccone , Journal of Behavioral Finance 12 , 158 ( 2011 ) . Crossref, Web of Science, Google Scholar
B. R. Danielsen and S. M. Sorescu , Journal of Financial and Quantitative Analysis 36 , 451 ( 2001 ) . Crossref, Web of Science, Google Scholar
B. R. Danielsen , R. A. Van Ness and R. S. Warr , Journal of Business Finance and Accounting 36 , 1273 ( 2009 ) . Crossref, Web of Science, Google Scholar
F. A. De Roon , T. E. Nijman and B. J. M. Werker , Journal of Finance 56 , 721 ( 2001 ) . Crossref, Web of Science, Google Scholar
R. Ding and P. Cheng , Journal of International Financial Markets, Institutions, and Money 21 , 419 ( 2011 ) . Crossref, Web of Science, Google Scholar
T. Feldman , Journal of Behavioral Finance 11 , 211 ( 2010 ) . Crossref, Web of Science, Google Scholar
A. Y. Gu and C. Yang , Review of Pacific Basin Financial Markets and Policies 10 , 469 ( 2007 ) . Link, Google Scholar
A. M. Hibbert , R. T. Daigler and B. Dupoyet , Journal of Banking and Finance 32 , 2254 ( 2008 ) . Crossref, Web of Science, Google Scholar
T. Hirose , H. K. Kato and M. Bremer , Pacific-Basin Finance Journal 17 , 41 ( 2009 ) . Crossref, Web of Science, Google Scholar
Z. Huang , O. Hu and B. S. Liao , Review of Pacific Basin Financial Markets and Policies 13 , 71 ( 2010 ) . Link, Google Scholar
C. M. Jones and O. A. Lamont , Journal of Financial Economics 66 , 207 ( 2002 ) . Crossref, Web of Science, Google Scholar
G. Kaplanski and H. Levy , Journal of Financial Economics 95 , 174 ( 2010 ) . Crossref, Web of Science, Google Scholar
M. Kaustia and S. Knupfer , Journal of Finance 63 , 2679 ( 2008 ) . Crossref, Web of Science, Google Scholar
I. Kirsch et al. , Journal of Clinical Psychology 60 , 369 ( 2004 ) . Crossref, Web of Science, Google Scholar
A. Kumar and C. M. C. Lee , Journal of Finance 61 , 2451 ( 2006 ) . Crossref, Web of Science, Google Scholar
A. Kurov , Journal of Banking and Finance 34 , 139 ( 2010 ) . Crossref, Web of Science, Google Scholar
S. T. Lau and T. H. Mclnish , Pacific-Basin Finance Journal 3 , 485 ( 1995 ) . Crossref, Google Scholar
C. A. Li and C. C. Yeh , Review of Pacific Basin Financial Markets and Policies 14 , 429 ( 2011 ) . Link, Google Scholar
I. P. Pavlov , Conditional Reflexes ( Dover Publications , New York , 1927 ) . Google Scholar
R. Rescorla , Journal of Comparative and Physiological Psychology 82 , 137 ( 1973 ) . Crossref, Web of Science, Google Scholar
R. J. Shiller , Brookings Papers on Economic Activity 2 , 457 ( 1984 ) . Crossref, Google Scholar
K. L. Womack , Journal of Finance 51 , 137 ( 1996 ) . Crossref, Web of Science, Google Scholar
C. Wu , Q. Li and K. C. J. Wei , Review of Quantitative Finance and Accounting 7 , 119 ( 1996 ) . Crossref, Google Scholar