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Distribution of Ownership, Short Sale Constraints, and Market Efficiency: Evidence from Cross-Listed Stocks
16 references·5 citing·45 second hop
Distribution of Ownership, Short Sale Constraints, and Market Efficiency: Evidence from Cross-Listed Stocks (2010)Distribution of Ownership, Short Sale Con…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…What To Do (and Not to Do) with Time-Series Cross-Section Data (1995)What To Do (and Not to Do) wi…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations (1978)Speculative Investor Behavior…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory (2014)Short sale constraints, diver…Towards a program for financial stability (2011)Towards a program for financi…Failures to Deliver, Short Sale Constraints, and Stock Overvaluation (2011)Failures to Deliver, Short Sa…Trading Options and CDS on Stocks under the Short Sale Ban (2010)Trading Options and CDS on St…Do International Cross-Listings Still Matter? (2010)Do International Cross-Listin…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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. 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The challenges and opportunities of Social Media (2009)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

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  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
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  • 1980On the Estimation of Security Price Volatilities from Historical Data

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1,538 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • Cited by

    • 2011Failures to Deliver, Short Sale Constraints, and Stock Overvaluation38 cited
    • 2010Trading Options and CDS on Stocks under the Short Sale Ban38 cited
    • 2010Do International Cross-Listings Still Matter?31 cited
    • 2014Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory30 cited
    • 2011Towards a program for financial stability15 cited