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《Journal of Financial Research》 2009-04
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Short Sale Restriction,Heterogeneous Beliefs and Stock Price Crash in China

CHEN Guojin Zhang Yijun  
Based on Hong and Stein(2003)heterogeneous beliefs model,this paper employs Conditional Logit with Fixed Effect(CLFE) model to investigate the relationship between heterogeneous beliefs and the crash of individual stocks in the Chinese stock markets with short sale restriction.The results indicate that the crash phenomenon is more likely to occur when the more serious heterogeneous beliefs exist among investors.We suggest that the crash phenomenon will decrease and the market will be more stable if we take the measures to reduce differences of opinion among investors and the relaxation of short sales.
【Fund】: 教育部人文社科基金项目(08JA790019);; 福建省社科规划项目(2008B045)支持
【CateGory Index】: F832.51;F224
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