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Failure is an Option: Impediments to Short Selling and Options Prices
16 references·7 citing·48 second hopsampled
Failure is an Option: Impediments to Short Selling and Options Prices (2003)Failure is an Option: Impediments to Shor…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs (2003)Can the Market Add and Subtra…The market for borrowing stock (2002)The market for borrowing stockStocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Securities lending, shorting, and pricing (2002)Securities lending, shorting,…The Expiration of IPO Share Lockups (2001)The Expiration of IPO Share L…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…The market for corporate control (1983)The market for corporate cont…Merger bids, uncertainty, and stockholder returns (1983)Merger bids, uncertainty, and…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Squeezing Shorts Through Social Media Platforms (2021)Squeezing Shorts Through Soci…Notes on Bonds: Liquidity at All Costs in the Great Recession (2015)Notes on Bonds: Liquidity at …Options, short-sale constraints and market efficiency: A new perspective (2010)Options, short-sale constrain…A Dynamic Model for Hard-to-Borrow Stocks (2009)A Dynamic Model for Hard-to-B…Strategic delivery failures in U.S. equity markets (2005)Strategic delivery failures i…The relationship between short interest and stock returns in the Canadian market (2004)The relationship between shor…Short Sale Constraints, Overvaluation, and the Introduction of Options (2004)Short Sale Constraints, Overv…Mergers and the Market for Corporate Control (1965)Foundations of Finance. (1977)Efficient Capital Markets: II (1991)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Asset Growth and the Cross‐Section of Stock Returns (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The Pricing of Options on Assets with Stochastic Volatilities (1987)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)Management ownership and market valuation (1988)Agency Theory: An Assessment and Review (1989)A Survey of Corporate Governance (1997)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Bad Beta, Good Beta (2004)Short interest, institutional ownership, and stock returns (2005)Which Shorts Are Informed? (2007)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1983The market for corporate control4,145 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 2002The market for borrowing stock1,161 cited
  • 1983Merger bids, uncertainty, and stockholder returns922 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2002Securities lending, shorting, and pricing670 cited
  • 2003Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs660 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 2002Stocks are special too: an analysis of the equity lending market

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

546 cited
  • 2001The Expiration of IPO Share Lockups498 cited
  • Cited by

    • 2004Short Sale Constraints, Overvaluation, and the Introduction of Options61 cited
    • 2004The relationship between short interest and stock returns in the Canadian market59 cited
    • 2005Strategic delivery failures in U.S. equity markets58 cited
    • 2010Options, short-sale constraints and market efficiency: A new perspective57 cited
    • 2009A Dynamic Model for Hard-to-Borrow Stocks33 cited
    • 2015Notes on Bonds: Liquidity at All Costs in the Great Recession32 cited
    • 2021Squeezing Shorts Through Social Media Platforms30 cited