This paper examines the effects of introducing and removing short sale constraints and margin requirements on a stock market using a multiagent simulation model. We focused on the influence of these kinds of restrictions on daily price volatility and on traders long-run wealth distribution. We performed analysis both in a closed market and in an open market, where there is random cash inflow or...

One widely accepted idea is that high lending fees predict negative returns, since capture information held by short sellers on the demand side. Tradition sees supply side as passive, with stock lenders acting price takers. Recent evidence, however, shows are not truly passive. This paper analyzes Brazilian loan market, disentangling shifts in shorting and curves to understand mechanism linking...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with logtruncated-double-exponential jump-amplitude distribution in returns and exponential jumpamplitude distribution in volatility for...

This study demonstrates an investigation of the external corporate governance effect short selling mechanisms on firm value in Chinese context. The family businesses is also examined as a moderator relationship between short-selling and value. Using panel data analysis listed companies, this paper tests total sample 22,468 firm-year observations from Shanghai Shenzhen Stock Exchange 2009 to 201...

3 We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) 4 and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting 5 (MA) framework. Features of the MA framework include an MA structure of portfolios, 6 a definition of risk as the probability of failing to reach the threshold level in each mental 7 account, and attitudes toward risk ...