Table 9 Salience effect and short-sale...

Table 9

Salience effect and short-sale bans

Model	(1)	(2)	(3)	(4)
SHORT	−0.018	−0.018	−0.039	−0.038
SHORT	(−2.28)	(−2.16)	(−3.39)	(−3.27)
SENT		0.001		0.002
SENT		(0.21)		(0.39)
VKOSPI			0.006	0.005
VKOSPI			(0.77)	(0.70)
IRISK	−0.014	0.012	−1.155	−1.081
IRISK	(−0.02)	(0.01)	(−1.06)	(−0.98)
ASIZE	0.005	0.006	0.031	0.032
ASIZE	(0.43)	(0.47)	(1.82)	(1.86)
DVOL	0.000	0.000	0.000	0.000
DVOL	(1.30)	(1.20)	(1.97)	(1.83)
AMIH	−1.060	−1.052	−1.823	−1.847
AMIH	(−1.33)	(−1.32)	(−2.00)	(−2.02)

Model	(1)	(2)	(3)	(4)
SHORT	−0.018	−0.018	−0.039	−0.038
SHORT	(−2.28)	(−2.16)	(−3.39)	(−3.27)
SENT		0.001		0.002
SENT		(0.21)		(0.39)
VKOSPI			0.006	0.005
VKOSPI			(0.77)	(0.70)
IRISK	−0.014	0.012	−1.155	−1.081
IRISK	(−0.02)	(0.01)	(−1.06)	(−0.98)
ASIZE	0.005	0.006	0.031	0.032
ASIZE	(0.43)	(0.47)	(1.82)	(1.86)
DVOL	0.000	0.000	0.000	0.000
DVOL	(1.30)	(1.20)	(1.97)	(1.83)
AMIH	−1.060	−1.052	−1.823	−1.847
AMIH	(−1.33)	(−1.32)	(−2.00)	(−2.02)

Note(s): This table presents the coefficients from time-series regressions of the monthly returns of the High-minus-Low ST portfolio on market characteristics. The SHORT dummy equals one for months in which a market-wide short-sale ban was in effect in the Korean stock market, and zero otherwise. Control variables include dummy variables for high investor sentiment (SENT) and high market uncertainty (VKOSPI). We also control for market-wide measures of limits to arbitrage, constructed as cross-sectional averages of idiosyncratic risk (IRISK), firm size (ASIZE), trading volume (DVOL), and illiquidity (AMIH). Newey and West (1987) t-statistics with 12 lags are shown in parentheses. The sample consists of all common stocks listed on KOSPI and KOSDAQ from March 2005 to December 2024

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