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<p class=MsoNormal align=left style='text-align:left;text-autospace:none'><font
size=1 face=Arial><span lang=EN-US style='font-size:9.0pt;font-family:Arial'>Dear
All,<o:p></o:p></span></font></p>
<p class=MsoNormal align=left style='text-align:left;text-autospace:none'><font
size=1 face=Arial><span lang=EN-US style='font-size:9.0pt;font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal align=left style='text-align:left;text-autospace:none'><font
size=1 face=Arial><span lang=EN-US style='font-size:9.0pt;font-family:Arial'>This
Friday, Rossi will talk about a simple linear model he was working on last week
that explains the observed statistics in short sales data. Questions, suggestions
and pizza teeth are all welcomed.<o:p></o:p></span></font></p>
<p class=MsoNormal align=left style='text-align:left;text-autospace:none'><font
size=1 face=Arial><span lang=EN-US style='font-size:9.0pt;font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal align=left style='text-align:left;text-autospace:none'><font
size=1 face=Arial><span lang=EN-US style='font-size:9.0pt;font-family:Arial'>Abstract:<o:p></o:p></span></font></p>
<p class=MsoNormal align=left style='text-align:left;text-autospace:none'><font
size=1 face=Arial><span lang=EN-US style='font-size:9.0pt;font-family:Arial'>For
centuries, short sales have been either applauded as savior of devastating
market crashes or blamed as evil. Based on the weekly stock price analysis of
46 countries between 1990 and 2001, we conjecture a less efficient market when
short sales prohibited. A simple linear model depending on positive and
negative market returns are constructed and confirms with data statistics. This
model is also consistent with the conjecture of slow price discovery and
negative skewness in short sales restricted markets. Some intuitions and road
maps will be addressed. If time allowed, we would also talk about a
nonsynchronous trading model<o:p></o:p></span></font></p>
<p class=MsoNormal><font size=1 face=Arial><span lang=EN-US style='font-size:
9.0pt;font-family:Arial'>(Lo&MacKinlay) for price efficiency. We are
looking forward to your comments.<o:p></o:p></span></font></p>
<p class=MsoNormal><font size=1 face=Arial><span lang=EN-US style='font-size:
9.0pt;font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal><font size=1 face=Arial><span lang=EN-US style='font-size:
9.0pt;font-family:Arial'>Cong</span></font><font size=1 face=Arial><span
lang=EN-US style='font-size:9.0pt;font-family:Arial'><o:p></o:p></span></font></p>
<p class=MsoNormal><font size=1 face=Arial><span lang=EN-US style='font-size:
9.0pt;font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal><font size=2 face="Times New Roman"><span lang=EN-US><o:p> </o:p></span></font></p>
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