Short-sale constraints and stock returns
نویسندگان
چکیده
منابع مشابه
Predicting Short Term Stock Returns
As the capital markets evolve and expand, more and more data is being created daily. This explosion of data has made the flow of information much more efficient. As market participants act on this information flow, it drives market prices to more efficient values, . One of the driving forces in this march to efficiency, is the application of various algorithmic learning techniques on both marke...
متن کاملCapacity Constraints, Profit Margins and Stock Returns
This paper studies the e¤ects of capacity utilization on accounting pro t margins and stock returns. Since accounting pro t margins represent the average pro t per unit and not the economists concept of unit contribution margin, the marginal/variable pro t per unit, a rm with idle capacity can increase its pro t margins by increasing sales (output). However, if the rm is operating at full ca...
متن کاملOverconfidence , Short - Sale Constraints , and Bubbles ∗
Motivated by the behavior of internet stock prices in 1998-2000, we present a continuous time equilibrium model of bubbles where overconfidence generates agreements to disagree among agents about asset fundamentals. With a short-sale constraint, an asset owner has an option to sell the asset to other agents when they have more optimistic beliefs. This re-sale option has a recursive structure, t...
متن کاملAsset Prices Under Short-Sale Constraints
In this paper, we study how short-sale constraints affect asset price and market efficiency. We consider a fully rational expectations equilibrium model, in which investors trade for two reasons, to share risk and to speculate on private information, but they face short-sale constraints. Short-sale constraints limit both types of trades, and thus reduce the allocational and informational effici...
متن کاملEndogenous Short-sale Constraint, Stock Prices and Output Cycles
This study examines the effect of short-sale constraints on a stock market, in particular, on stock prices, trading volume, and the relationship between stock price movements and output cycles. The economic model features incomplete markets and heterogeneous agents. The short-sale constraint is endogenously determined in the economy and is a function of agents’ risk aversion, time preference, a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2002
ISSN: 0304-405X
DOI: 10.1016/s0304-405x(02)00224-6