We examine how short sellers affect corporate disclosures using a natural experiment. From May 2005 to July 2007, the SEC implemented a pilot program by randomly selecting one third of Russell 3000 stocks and removing the short sale price tests for these stocks (referred to as pilot firms), leading to lower short-selling constraint, without changing the requirement for other firms (referred to ...

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets held in large positions. The cost of the no-shortselling constraint increases dramatically with the num...

This article reconsiders the theory of existence of efficient allocations and equilibria when consumption sets are unbounded below under the assumption that agents have incomplete preferences. It is motivated by an example in the theory of assets with short-selling where there is risk and ambiguity. Agents have Bewley’s incomplete preferences. As an inertia principle is assumed in markets, equi...

We show that firm-level short interest predicts negative returns for individual stocks during economic expansions, while aggregate short interest predicts negative market returns during recessions. Viewing short sellers as informed traders, these findings are consistent with Kacperczyk, Van Nieuwerburgh, and Veldkamp’s (2016) model in which rational yet cognitively constrained traders optimally...

We study the price-evolution of stocks that are subject to restrictions on short-selling, generically referred to as hard-to-borrow. Such stocks are either subject to regulatory short-selling restrictions or have insufficient float available for lending. Traders with short positions risk being “bought-in”, in the sense that their positions may be closed out by the clearing firm at market prices...

The proliferation of both online and bricks and mortar outlet stores underscores the observation that secondary markets are readily accessible to retailers of short-life-cycle products. These secondary markets provide recourse channels for retailers to sell excess inventory of outof-favor items at reduced prices when overstocking occurs in a primary market. We study the problem of determining w...

In this paper, we solve a general problem of optimizing a portfolio in a futures markets framework, extending the previous work of Galluccio et al. [Physica A 259, 449 (1998)]. We allow for long buying/short selling of a relatively large number of assets, assuming a fixed level of margin requirement. Because of non-linearity in the constraint, we derive a multiple equilibrium solution, in a siz...

This paper deals with the question: do some food systems engender a more positive social environment than others, and does this matter? The pressure to generate financial capital from food production is enormous, especially for a country like Australia, and financial imperatives clearly drive choice of food production methods. Many have argued that environmental costs of food production are har...