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Working paper
Short Sale Constraints and Corporate Investment
In: Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
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Working paper
Short Sale Constraints, Correlation and Market Efficiency
In: The B.E. journal of theoretical economics, Band 18, Heft 2
ISSN: 1935-1704
Abstract
This paper models a market where short sales are prohibited and investors have heterogeneous beliefs on asset values. We show that short sale constraints may cause overpricing, the magnitude of which depends on not only investors' opinion dispersion on the value of the particular asset, but also on its correlation to other assets, as well as, the investors' opinion dispersion for the values of those other assets.
Convertible Arbitrage Price Pressure and Short-Sale Constraints
In: Financial Analysts Journal, Forthcoming
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The Pricing of Stock Ambiguity and Short-Sale Constraints
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Informed Trading, Short Sales Constraints and Futures' Pricing
In: Bank of Finland Research Discussion Paper No. 4/2000
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Effect of Short‐sale Constraints on Stock Price Manipulation
In: Pacific economic review, Band 18, Heft 2, S. 208-232
ISSN: 1468-0106
AbstractThis paper examines the effect of short‐sale constraints on the stock price manipulation of an insider, who is subject to mandatory disclosure rules. We show that the privately informed insider may manipulate by trading against his or her information when short selling is banned. We find that stock price movement is asymmetric in the sense that prices fall by a larger percentage than they rise. In addition, we prove that removing short‐sale constraints increases price volatility. Finally, we explore the welfare implications of short‐sale constraints.
Stock Mispricing, Differences of Opinion, and Short-Sale Constraints
In: FINANA-D-23-00938
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Short-Sale Constraints and Pricing Discrepancies between Stocks and Bonds
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Implementing Mean–variance Spanning Tests With Short-Sales Constraints
In: Journal of Investment Strategies, Band 12, Heft 2
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Asset Pricing Implications of Short-sale Constraints in Imperfectly Competitive Markets
In: Management Science, Band 2019, Heft (9)
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Stock Price Manipulation, Short-sale Constraints, and Breadth-return Relationship
In: Pacific-Basin Finance Journal, Forthcoming, https://doi.org/10.1016/j.pacfin.2021.101556
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