The Volume Return Relationship Under Asymmetry of Info and Short Sales Prohibitions

摘要: This study examines the behaviour of stock prices in presence asymmetric information, when market participants are prohibited from short selling. We model volume high or low signals observed by insiders, who unable to sell unless they own stock. demonstrate that adjust good news on and bad volume; furthermore, we show speed adjustment is greater news, is, price falls more quickly a lower equilibrium than it rises corresponding news. Under mild conditions microstructure, there positive intertemporal correlation between return, with leading; additional lead result. The primary anomaly tested an empirical stocks trading Stock Exchange Thailand, where sales prohibited.