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Day Trading, Stale Pricing and Solutions
William N. Goetzmann
Yale School of Management
Simulated International Stale Price Profits 1990 – 1998Growth in $1 invested in two alternative strategies over the period 1-2-90 through 7-24-98. Buy and hold means equal-weighted investment in 112 Foreign Stock Funds listed on Morningstar. Day-Trading Strategy does not include redemption fees and transactions costs
Buy and Hold
Go Down Fighting: Short Seller vs. Firms
OWEN A. LAMONT
Efficiency and the Bear:Short Sales and Markets around the World
B: Existing owner of KKD
A borrows the stock from B
C: End investor
B sells the stock to C
B pays A interest on the collateral: ‘rebate’
A must leave collateral with B equal to 102%
of the market value of the share (additional 50%
if B is a U.S. broker-dealer)
A pays B a fee (netted against the rebate), plus all the dividends paid by KKD
1. The short sales indicator is a dummy variable that equals one whenever short selling is allowed and practiced in a given country and year, and zero otherwise.
2. ADR0 equals 1 if the observation corresponds to dual-listed stocks in countries where short sales are not allowed or not practiced, zero otherwise.
3. ADR1 equals 1 if the observation corresponds to dual-listed stocks in countries where short sales are allowed and practiced, zero otherwise.
Comovement Index: 1990 to 2001