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REGULATORY INFLUENCES ON PORTFOLIO PERFORMANCE: SHORT SELLING AND REGULATION T
Author(s) -
Burgess Richard C.,
Tamarkin Maurry J.
Publication year - 1982
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1982.tb00624.x
Subject(s) - portfolio , ex ante , variance (accounting) , econometrics , modern portfolio theory , economics , actuarial science , business , financial economics , accounting , macroeconomics
Several models are developed to examine the portfolio effect of short selling. Three things are demonstrated in this study. First, that for many assets, short selling is a useful strategy for reducing risk when constructing mean‐variance efficient portfolios. Second, Regulation T can be used in combination with short selling to further improve expected portfolio performance. Third, the performance of the suggested models is superior to previously suggested allocation models. Ex ante and ex post tests are conducted to arrive at the above conclusions.