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Failures to deliver, short sale constraints, and stock overvaluation, Working Paper (2011)

by D Autore, T Boulton, M Braga-Alves
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Options-Implied Variance and Future Stock Returns

by Hui Guo, Buhui Qiu , 2012
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Center for Financial Studies Goethe-Universität House of Finance

by Gerlinde Fellner, Erik Theissen, Grüneburgplatz Frankfurt, Main Deutschl
"... The Center for Financial Studies is a nonprofit research organization, supported by an association of more than 120 banks, insurance companies, industrial corporations and public institutions. Established in 1968 and closely affiliated with the University of Frankfurt, it provides a strong link betw ..."
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The Center for Financial Studies is a nonprofit research organization, supported by an association of more than 120 banks, insurance companies, industrial corporations and public institutions. Established in 1968 and closely affiliated with the University of Frankfurt, it provides a strong link between the financial community and academia. The CFS Working Paper Series presents the result of scientific research on selected topics in the field of money, banking and finance. The authors were either participants in the Center´s Research Fellow Program or members of one of the Center´s Research
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...nclusion of a stock in thes"threshold list" (Diether et al. 2005), the rebate rate (Jones and Lamont 2002, Reed 2007, Ofekset al. 2004, Boehme et al. 2006, Cohen et al. 2005) and failures to deliver (=-=Autore et al. 2010b-=-,sDiether and Werner 2010). However, recent evidence on the amount of short selling (12.9% ofsNYSE volume in the period 2000 to 2004 as reported in Boehmer et al. 2008; 24% of NYSEs5sSome papers have ...

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