The impact of short selling on market efficiency - Daniel Dantas de Castro - Bog

This book studies how short-sale constraints affect price efficiency in Brazilian stocks. The study uses a data set with all equity loan deals done in Brazil between January 2009 and July 2011. The main findings are the mapping of efficiency stock characteristics (i.e. stocks with more liquidity, larger size and greater book-to-market); an evidence of efficiency risk premium paid for investors that keep price-inefficient stocks in their portfolio; a positive relation between short selling and price efficiency and the event study of tax arbitrage, where it¿s possible to check that price inefficiency is positively related to short selling during the payment of interest on net equity.