Stocks can be overpriced when short-sale constraints bind. We study the costs of short-selling equities from 1926 to 1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting

Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand

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This year, the government of China approved the launch of index futures, margin trading, and short selling of stocks. The trial program for short selling rolled out with 90 stocks in the program as of March 31, 2010. In this paper, we explore the effect of the relaxation of short sale constraints

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

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 to share risk and to speculate on private information in the presence of short-sale constraints. Short-sale constraints

This paper investigates the effects of short sale constraints on asset prices and trading volume in an asymmetric information rational expectations framework. We classify short sale constraints into two types: short restrictions and proceeds restrictions. The first limits the amount that traders

This study explores how trading constraints such as borrowing and short-sale constraints affect asset prices in the presence of asymmetric information. In a symmetric information environment, borrowing and short-sale constraints exacerbate downward and upward price movements, respectively. However

The remaining errors are mine. Robust Arbitrage with a Short-Sale Constraint This paper gives conditions that guarantee that a credit-constrained arbitrageur can make a sure pro¯t even if the markets are incomplete and the existing mispricing can temporarily widen. The conditions are derived

Studying a large sample of publicly available data on failures to deliver, we find that stocks reaching threshold levels of failures become significantly overvalued. Where short sale constraints are especially binding, we report extreme overpricing and subsequent reversals. These findings support