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This comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short selling by region, its consideration of the history and regulations of short selling, and its mixture of industry and academic perspectives clarify the uses of short selling and dispel notions of its destructive implications. With contributions from around the world, this volume sheds new light on the ways short selling uncovers market forces and can yield profitable trades. Combines academic and professional research on short selling in all major financial markets Emphasizes details about strategies, implementations, regulation, and tax advantages Chapters provide summaries for readers who want up-to-date maps of subject landscapes science......Page 1 Handbook of Short Selling......Page 2 Copyright......Page 3 Preface......Page 4 Acknowledgments......Page 6 About the Editor......Page 7 Contributor Bios......Page 8 1 Short Sales and Financial Innovation: How to Take the Good While Avoiding Widespread Default......Page 23 1.1 Introduction......Page 24 1.2 Markets with Short Sales......Page 25 1.3 Gains from Trade......Page 26 1.3.1 Market Equilibrium......Page 27 1.4 Social Diversity, Volatility, and Default......Page 28 1.6 Introducing Graduated Reserves......Page 29 1.8 Conclusion......Page 31 References......Page 32 2 The Goldman Sachs Swaps Shop: An Examination of Synthetic Short Selling through Credit Default Swaps and Implications of .........Page 34 2.1 Introduction......Page 35 2.1.1 Collateralized Debt Obligations......Page 36 2.1.2 Credit Default Swaps......Page 38 2.2 “Weapons of Mass Financial Destruction”......Page 39 2.2.1 Credit Default Swaps and the Sovereign Debt Crisis......Page 43 2.2.2 The Paulson “Put”......Page 46 2.3 Key Sources of Relevant U.S. Securities Law......Page 47 2.3.1 Derivatives Regulation—CDO and CDS......Page 49 2.3.2 “Short Sale” Definition Excludes CDS......Page 50 2.4 SEC v. Goldman Sachs & Co., et al.—The Complaint......Page 51 2.4.1 Securities and Exchange Commission Antifraud Enforcement Theories......Page 55 2.4.2 The Goldman Settlement......Page 56 2.4.3 Fab Fights Back during His 15 Minutes of Fame—The Answer......Page 58 2.4.4 The Key Legal Element: Materiality......Page 61 2.4.5 “Doing God’s Work”—Factual Rebuttals and Legal Defenses18......Page 63 2.5 Vampyroteuthis Infernalis—Collateral Consequences......Page 65 2.5.1 One Costly Debate—No Shortage of CDS Critics and Advocates......Page 68 2.6 Conclusion......Page 72 References......Page 74 Bibliography......Page 81 3 Off-Shore Short Sales after Morrison: Will the Securities and Exchange Commission Be Emboldened or Constrained?......Page 83 3.1 Introduction......Page 84 3.2 Goldman and Paulson Enter into a Marriage of Convenience......Page 85 3.3.1 Morrison Curbs Extraterritorial Application of Federal Securities Law......Page 89 3.3.2 Tourre Sought Judgment on the Pleadings Based on Morrison......Page 92 3.3.3 The SEC Opposition Advanced an Expansive and Malleable Morrison......Page 93 3.3.4 Tourre Retreats from Morrison and Colorfully Attacks the SEC Position as Encouraging “Judicial-Speculation-Made-Law”......Page 95 3.4 Climax: Dodd–Frank Affords the Securities and Exchange Commission Extraterritorial Jurisdiction......Page 96 3.4.1 Dodd–Frank as Deus ex Machina......Page 97 3.4.2 Dodd–Frank Codifies the “Conduct and Effects” Test and Gives Shape to an Expanded Enforcement Regime......Page 99 3.5 Conclusion—Tourre and His Cohorts Celebrate a Pyrrhic Victory......Page 100 Bibliography......Page 101 4 Regulating Short Sales in the 21st Century......Page 102 4.1 Introduction......Page 103 4.2.1 The Tick Test......Page 104 4.2.2 Tick Test Elimination and 2008 Temporary Emergency Rules......Page 105 4.3 Current Securities and Exchange Commission Regulation of Short Selling Activity......Page 106 4.3.1 The Rule 201 Price Test......Page 107 4.3.2 Public Disclosure by Institutional Investment Managers......Page 109 4.3.3 Borrowing and Delivery Requirements......Page 110 4.4 Conclusion......Page 111 References......Page 112 5 Evolution of Short Selling Regulations and Trading Practices......Page 113 5.1 Introduction......Page 114 5.2 Literature Review......Page 115 5.3 Historical Background on Short Selling......Page 116 5.4 Short Selling and Financial Crisis......Page 122 5.5.1 Descriptive Statistics......Page 123 5.5.2 Divergence of Opinion......Page 125 5.6 Conclusion......Page 127 References......Page 128 6 Financing Techniques for Short Sellers......Page 130 6.2 Introducing the Repo Market for Fixed Income Securities......Page 131 6.3 Length of Trades......Page 133 6.5 The Repo Market in Bankruptcy......Page 134 6.8 In Lieu Payments and Other Rights......Page 135 6.10 Financing Commodity Short Positions......Page 136 6.11 Trading in the Lending Markets......Page 137 Bibliography......Page 138 7 A Survey of Short Selling in Canada......Page 139 7.2 Current Regulations......Page 140 7.2.2 Naked Short Sales......Page 141 7.3 Taxation of Short Sales......Page 142 7.4.1 Short Selling as a Percentage of Trading Activity......Page 143 7.4.2 Comparative Trade Attributes of Short Sales......Page 144 7.4.4 Prevalence of Short Position Reporting......Page 145 7.5 Impact of Recent Short Sale Prohibition......Page 146 7.5.4 Review of Short Selling......Page 147 References......Page 148 8 Are Restrictions on Short Selling Good? A Look at European Markets......Page 150 8.1 Introduction......Page 151 8.2 Short Selling Bans and Analysis of Market Reactions......Page 152 8.3 Committee of European Securities Regulators Initiative and Its Impacts on Professional Equity Investments......Page 159 References......Page 160 9 Short Selling, Clearing, and Settlement in Europe: Relations and Implications......Page 161 9.1 Introduction......Page 162 9.2 Short Selling and Settlement Risk......Page 163 9.2.1 Understanding Fails: Determinants and Consequences of Fails......Page 164 9.2.2 Short Selling as a Potential Cause of Settlement Risk......Page 167 9.3.1 Measures to Prevent Fails......Page 169 9.3.3 Measures to Mitigate the Adverse Effects of Fails......Page 171 9.4 Relation between Short Selling Market Discipline and Settlement Discipline......Page 172 9.6 Conclusion......Page 176 References......Page 177 10 The 2008 Emergency Regulation of Short Selling in the United Kingdom, United States, and Australia......Page 179 10.1 Introduction......Page 180 10.2.1 Objectives of Individual Securities Regulators......Page 181 10.3.1 Definition of Short Sale and Title Issues......Page 182 10.3.2 Short Selling Is a Legitimate Practice But.........Page 184 10.4.1 Use of Disclosure-Based Initiatives......Page 185 10.4.3 Managing Settlement Risk......Page 186 10.5 Conclusion......Page 187 References......Page 188 11 Reflections on Short Selling Regulations in Western and Eastern Europe......Page 190 11.1 Introduction......Page 191 11.2 A Review of the National Regulatory Regimes in the European Union (EU)......Page 192 11.2.2 Belgium......Page 193 11.2.4 Finland......Page 194 11.2.6 Germany......Page 195 11.2.7 Greece......Page 196 11.2.10 Luxembourg......Page 197 11.2.14 Spain......Page 198 11.2.15 United Kingdom......Page 199 11.3 The Case of Eastern Europe......Page 200 11.4.1 The Draft Proposal......Page 202 11.4.2 Case Study: Porsche versus VW......Page 204 References......Page 206 12 Regulating Short Selling: The European Framework and Regulatory Arbitrage......Page 207 12.1 Introduction......Page 208 12.2 Theoretical Views of Short Selling Regulation......Page 209 12.3.1 Short Selling Regulation in the United Kingdom......Page 210 12.3.3 Short Selling Regulation in France......Page 212 12.4 Regulatory Asymmetries and Arbitrage......Page 213 References......Page 215 13 Do Option Prices Reveal Short Sale Restrictions Impact on Banks’ Stock Prices? The German Case......Page 217 13.1 Introduction......Page 218 13.2 Literature Review......Page 219 13.4 Data......Page 220 13.5 Do Options Prices Reveal Short Sale Restrictions?......Page 222 References......Page 225 14 Short Selling in France during the Crisis, the Bans, and What Has Changed since the Euro Correction......Page 227 14.1 Introduction......Page 228 14.2 Literature Review......Page 230 14.3 Regulatory Developments Concerning Short Selling in France......Page 232 14.4 Statistics......Page 233 14.4.1 The Effect of the Ban in France......Page 234 14.4.2 Comparison to Switzerland and Sweden......Page 235 14.5 Discussion......Page 239 References......Page 241 15 The Chinese Real Estate Bubble: Is It an Opportunity for Short Selling?......Page 242 15.1 Introduction......Page 243 15.2 Comparison with the United States......Page 245 15.3 The Bubble in China......Page 246 15.4 The Debt Deflation Model—Does It Apply to China?......Page 247 15.5 The Stock Market—Forecasting the Bursting of the Bubble?......Page 248 15.7 Conclusion......Page 253 References......Page 255 16 Introduction of Margin Trading and Short Selling in China’s Securities Market: The Case of Disordered Warrant Prices......Page 256 16.1 Introduction......Page 257 16.2 The Disordered Warrant Price in China’s Securities Market......Page 258 16.3 Development of Margin Trading and Short Selling in China......Page 265 16.4.1 Dealer Limits, Investor Limits, and Account Limits......Page 266 16.4.2 Margin Trading and Short Selling with Brokerage Firms’ Funds and Securities......Page 267 16.4.3 Underlying Stock Limits, Collateral Limits, and Margin Limits......Page 268 16.4.4 Certain Regulations of Trading: Tick Rule, Duration Limits, Amount Limits, and Naked Short Selling Limits......Page 269 16.5 Conclusion......Page 270 References......Page 271 17 Impact of Short Selling on China Stock Prices......Page 273 17.2.2 Impact of Short Selling on Asset Prices......Page 274 17.3 Methodology......Page 275 17.4 Sample and Hypotheses......Page 276 17.5 Empirical Findings......Page 277 References......Page 282 18 Short Selling the Real Estate Bubble in China......Page 283 18.2 Is There a Bubble in China’s Real Estate Market?......Page 284 18.3 How to Short Sell the Real Estate Bubble......Page 289 References......Page 290 19 Impact of Macroeconomic Indicators on Short Selling: Evidence from the Tokyo Stock Exchange......Page 291 19.1 Introduction......Page 292 19.2 Data and Brief Overview of Japanese Macroeconomic Indicators......Page 294 19.3.1 Granger Causality between Macroeconomic Variables and Short Selling......Page 299 19.3.2 Cointegration between Short Selling Volume and the Nikkei 225 Index......Page 301 19.4 Conclusion......Page 302 Data Appendix......Page 303 References......Page 304 20 New Regulatory Developments for Short Selling in Asia: A Review......Page 306 20.1 Introduction......Page 307 20.2 Typical Short Selling Constraints......Page 308 20.3.2 Korea......Page 309 20.3.4 Japan......Page 310 20.3.6 Australia......Page 311 20.3.9 India......Page 312 20.3.10 Malaysia......Page 313 20.4 Recent Developments in China......Page 314 20.5 Conclusion......Page 315 References......Page 316 21 The Signaling of Short Selling Activity in Australia......Page 317 21.1.1 Australian Regulation......Page 318 21.1.2 Signaling Theory......Page 319 21.2 Literature Review......Page 320 21.3 Data and Methodology......Page 324 21.4 Findings......Page 325 21.5 Conclusion......Page 328 References......Page 329 22 Sourcing Securities for Short Sales: The Proper Legal Characterization of Securities Loans......Page 330 22.2 Transactional Attributes of Securities Loans......Page 331 22.3 Securities Loans and Short Sales......Page 332 22.5 Legal Characterization of Securities Loans......Page 333 References......Page 336 23 Short Selling in Emerging Markets: A Comparison of Market Performance during the Global Financial Crisis......Page 338 23.1 Introduction......Page 339 23.2 Short Selling in Emerging Markets: Main Characteristics......Page 340 23.3 Emerging Market Main Indicators......Page 341 23.3.1 Market Performance during the Last Decade (2002–2010)......Page 343 23.4 Conclusion......Page 345 References......Page 350 24 Short Selling and the Problem of Market Maturity in Latin America......Page 352 24.1 Introduction......Page 353 24.2.1 Legality and Feasibility of Short Sales......Page 354 24.2.2 Review of Regulatory Regimes in Latin America......Page 355 24.3 Previous Studies on Short Selling in Latin America......Page 356 24.4 The Practice of Short Selling in Latin America......Page 357 24.4.2 Debt Markets......Page 358 24.4.3.1 Analysis of Latin American Stock Markets......Page 359 24.5 Conclusion......Page 362 References......Page 363 25 Short Selling—The Ambrosia or Kryptonite of Emerging Markets?......Page 364 25.1 Introduction......Page 365 25.2 Emerging Market Benefits from Short Selling......Page 366 25.3 Risk of Short Selling to an Emerging Market......Page 369 25.4.1 Brazil......Page 370 25.4.2 Russia......Page 371 25.4.4 China......Page 372 25.5.2 Indonesia......Page 373 25.6 Helpful Investor Mechanisms......Page 375 References......Page 377 26 Short Selling Consistency in South Africa......Page 380 26.3 South African Markets prior to and during the Global Financial Crisis......Page 381 26.4 South African Short Selling Rules......Page 383 References......Page 384 27 Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies......Page 386 27.2.1 Current Situation......Page 387 27.2.2 The Short Selling Ban in 2008 and 2009......Page 390 27.2.4 A Brief Summary of Russian Markets Risk and Performance Indicators......Page 391 27.3 Empirical Analysis: A Comparison of Asset Allocation Strategies......Page 392 27.4 Conclusion......Page 398 References......Page 399 28 Performance Persistence of Short-Biased Hedge Funds......Page 400 28.2 What Are Short-Biased Hedge Funds?......Page 401 28.3 Past Performance of Short-Biased Hedge Funds......Page 402 28.4 Future Performance of Short-Biased Hedge Funds......Page 407 28.5 Asset Allocation and Short-Biased Hedge Funds......Page 410 28.6 Conclusion......Page 414 29 An Empirical Analysis of Short-Biased Hedge Funds’ Risk-Adjusted Performance: A Panel Approach......Page 415 29.1 Introduction......Page 416 29.2 Literature Review......Page 419 29.3 Data Analysis......Page 421 29.4 Empirical Analysis: A Panel Approach......Page 424 29.5 Conclusion......Page 429 References......Page 431 30 Short Selling by Portfolio Managers: Performance and Risk Effects across Investment Styles......Page 433 30.1 Introduction......Page 434 30.1.2 What Is a Naked Short Sale?......Page 435 30.1.3 What Is the “Uptick” Rule?......Page 436 30.1.5 Recent Crisis......Page 437 30.2 Data Description......Page 439 30.3 Research Question/Hypothesis......Page 440 30.4 Methodology......Page 441 30.5.1 Does Short Selling Have an Overall Impact on Return across All Managers?......Page 443 30.5.2 Does Short Selling Have a Differential Return Impact for Specific Types of Managers?......Page 444 30.5.4 Does Short Selling Have a Differential Risk Impact for Specific Types of Managers?......Page 445 References......Page 446 31 Short Selling in an Asset Allocation Framework—The Search for Alpha......Page 448 31.2 A Stylized Example......Page 449 31.3 Alpha Transportation in Practice......Page 451 31.4.1 Transporting Fund of Funds Alpha......Page 455 31.4.2 Data......Page 456 31.4.3 Empirical Results......Page 457 References......Page 459 32 Machine Learning and Short Positions in Stock Trading Strategies......Page 461 32.1 Introduction......Page 462 32.2 Literature Review......Page 463 32.2.1 Support Vector Machines in Classification......Page 464 32.3 Data and Methodology......Page 466 32.3.1 Methodology......Page 467 32.4 Empirical Results......Page 468 32.5 Conclusion......Page 470 References......Page 471 33 Short Selling Stock Indices on Signals from Implied Volatility Index Changes: Evidence from Quantile Regression-Based Techniques......Page 473 33.1 Introduction......Page 474 33.2.1 Quantile Regression......Page 477 33.2.2 Kernel Quantile Regression......Page 478 33.2.3 Quantile Regression Forests......Page 479 33.3 Data and Methodology......Page 481 33.3.1 Trading Strategy......Page 482 33.4 Results......Page 483 33.5 Conclusion......Page 484 References......Page 485 34 Short Selling and the Equity Premium Puzzle......Page 487 34.1 Introduction......Page 488 34.2 Theory......Page 489 34.3 Data......Page 490 34.4 Impact of Short Selling in a Heterogeneous Group of Investors......Page 493 34.5 Discussion......Page 495 34.6 Conclusion......Page 496 References......Page 497 35 Affine Term Structure Models and Short Selling: The Liberal Case against Prohibitions......Page 498 35.1 Introduction......Page 499 35.2 Affine Term Structure Models......Page 500 35.3 Macroeconomic Shocks Affecting Government Surpluses Are Affine......Page 502 35.4 Some Evidence on Affine Term Structure Models......Page 503 35.5 Risks of Sovereign Debt Rollover......Page 504 35.6 How Multiple Equilibrium Works and How It Could Result in “Runs” on Government Issuances......Page 505 35.7 Prohibition in Naked Short Selling: A Poor Workaround with Little Effective Consequences......Page 506 Acknowledgment......Page 508 Bibliography......Page 509 36 Short Sale Constraints in the Equity Market and the Term Structure of Interest Rates......Page 510 36.2.1 Data Description......Page 511 36.2.2 Summary Statistics......Page 513 36.2.3 Empirical Method......Page 515 36.3.1 The Ban and Daily Innovations......Page 517 36.3.2 The Ban and Daily Volatility of Innovations......Page 519 36.3.3 The Ban and Daily Skewness of Innovations......Page 522 36.4 Conclusion and Policy Implications......Page 524 References......Page 526 37 Short Selling Assessment Where Consumer Prices Involve Both Currency Trades and Weather Shocks......Page 527 37.1 Introduction......Page 528 37.2.1 The Fixed Forgetting Factor......Page 531 37.2.2 VECM Modeling for an I(1) System......Page 532 37.3 Data and Empirical Application......Page 535 37.4 Conclusion......Page 538 References......Page 539 38 Aggregate Short Selling during Earnings Seasons......Page 540 38.1 Introduction......Page 541 38.2 Data and Methodology......Page 543 38.3 Empirical Results......Page 545 38.4 Conclusion......Page 551 References......Page 552 39 The Information Content of Short Selling before Macroeconomic Announcements......Page 554 39.1 Introduction......Page 555 39.2 Data Sources and Sample Details......Page 557 39.3 Measures and Methods......Page 558 39.4 Results......Page 560 39.5 Conclusion......Page 564 References......Page 565 A......Page 566 C......Page 567 E......Page 568 I......Page 569 M......Page 570 R......Page 571 S......Page 572 V......Page 573 Z......Page 574 Short sales and financial innovation : how to take the good while avoiding widespread default / Graciela Chichilnisky Goldman Sachs's short-sale swap shop / Edward Pekarek and Christopher Lufrano Off-shore short sales after Morrison : will the sec be emboldened or constrained? / Ed Pekarek and Soufiane Cherkaoui Regulating short sales in the U.S. in the 21st century / Houman B. Shadab The evolution of short selling regulations and trading practices in the US / Chinmay Jain, Pankaj K. Jain and Thomas H. McInish Financing techniques for short sellers / Stuart McCrary A survey of short sales in Canada / Camillo Lento and James Kozyra Are restrictions on short selling good? : a look on European markets / Mohamed El Hedi Arouri, Fredj Jawadi, Duc Khuong Nguyen Short selling and clearing settlement in Europe : relations and implications / Daniela Russo and Simonetta Rosati The 2008 emergency regulation of short selling in the US, UK, and Australia / Kym Sheehan Reflections on short selling regulations in Western and Eastern Europe / Jeannine Daniel and François-Serge Lhabitant Regulating short selling : the European framework(s) and the regulatory arbitrages / Giampaolo Gabbi and Paola Giovinazzo Do option prices reveal short-sale restrictions impact on banks' stock prices: the German case / Stefano Corradin, Marco Lo Duca, and Cristina Sommacampagna Short selling in France during the crisis : the bans and what has changed since the euro correction / Emmanuel Fragnière and Iliya Markov The Chinese real estate bubble : is it an opportunity for short-selling? / Peter Treadway and Michael C S Won Introduction of margin trading and short selling in China's securities market : the case of the disordered warrant prices / Wei Fan, Qingbin Meng, Liu Yang, Lingqing Xing and Sihai Fang The impact of short selling on China stock prices / Michael C. S. Wong and Kaiguo Zhou Short selling the real estate bubble in China / Kaiguo Zhou Impact of macro indicators on short selling : evidence from Tokyo stock exchange / M. Nihat Solakoglu and Mehmet Orhan The new regulatory development for short selling in Asia and Japan : a review reflections on short selling regulations in Western and Eastern Europe / Jeannine Daniel and François-Serge Lhabitant Short selling in Australia : the current state of play in practice and in regulation / John Simpson, Peter Mayall and Mathew Ratty Sourcing securities for short sales : the proper legal characterisation of securities loans in Australia / Paul U. Ali.

This comprehensive examination of short selling, which is a bet on stocks declining in value, explores the ways that this strategy drives financial markets. Its focus on short selling by region, its consideration of the history and regulations of short selling, and its mixture of industry and academic perspectives clarify the uses of short selling and dispel notions of its destructive implications. With contributions from around the world, this volume sheds new light on the ways short selling uncovers market forces and can yield profitable trades.

• Combines academic and professional research on short selling in all major financial markets
• Emphasizes details about strategies, implementations, regulation, and tax advantages
• Chapters provide summaries for readers who want up-to-date maps of subject landscapes