Open Universiteit

Please use this identifier to cite or link to this item: http://hdl.handle.net/1820/7897
Title: "De invloed van het short sale transactie verbod en de marktreactie."
Authors: Nuissenburg, D
Keywords: Short sale
Fama French model
CAPM-Model
Market model
overvaluation
Issue Date: 1-Jan-2016
Publisher: Open Universiteit Nederland
Abstract: In my research, I test the overall hypothesis regarding the overvaluation of shares during the short sale transaction ban. The hypothesis is derived from the research of Miller (1977) in which he presents his overpricing theory. Secondary the two sub-hypotheses are tested from the previous literature and are focused on the event. The first test results in overvaluation and the correlation between the market return and the market capitalization. In this selection I have compared risky stocks with less risky stocks. The portfolio’s play a significant role by comparing the results with the Market Model, the CAPM model and the Fama French model. The outcomes are different with the portfolios and show the impact of the short sale constraint on US companies on and during the event day.
URI: http://hdl.handle.net/1820/7897
Appears in Collections:MSc Management Science

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