SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Fails-to-deliver, short selling, and market quality
16 references·7 citing·43 second hopsampled
Fails-to-deliver, short selling, and market quality (2014)Fails-to-deliver, short selling, and mark…Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis (2012)Short‐Selling Bans Around the…It's SHO Time! Short‐Sale Price Tests and Market Quality (2009)It's SHO Time! Short‐Sale Pri…Short-Sale Strategies and Return Predictability (2008)Short-Sale Strategies and Ret…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Bubbles and Crashes (2003)Bubbles and CrashesSynchronization risk and delayed arbitrage (2002)Synchronization risk and dela…Stocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…An Investigation of the Informational Role of Short Interest in the Nasdaq Market (2002)An Investigation of the Infor…Short-sellers, fundamental analysis, and stock returns (2001)Short-sellers, fundamental an…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Assessing the Quality of a Se…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket (2021)Valuation Uncertainty and Sho…Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze (2021)Market efficiency and limits …Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency? (2020)Why Do Short Selling Bans Inc…How Fast Should Trades Settle? (2020)How Fast Should Trades Settle?Successive short‐selling ban lifts and gradual price efficiency: evidence from China (2017)Successive short‐selling ban …ETF Short Interest and Failures-to-Deliver: Naked Short-Selling or Operational Shorting? (2017)ETF Short Interest and Failur…The Information Value of Stock Lending Fees: Are Lenders Price Takers? (2016)The Information Value of Stoc…The Cross-Section of Expected Stock Returns (1992)Contrarian Investment, Extrapolation, and Risk (1994)Earnings, Book Values, and Dividends in Equity Valuation* (1995)Investor psychology in capital markets: evidence and policy implications (2002)Short Selling and the Price Discovery Process (2012)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)How are shorts informed? (2012)Short interest and aggregate stock returns (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)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)The arbitrage theory of capital asset pricing (1976)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Price Efficiency and Short Selling (2010)Political Incentives to Suppress Negative Information: Evidence from Chinese Listed Firms (2014)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)The relationship between return and market value of common stocks (1981)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)The General Theory of Employment, Interest and Money. (1936)Information, trade and common knowledge (1982)Global Games and Equilibrium Selection (1993)Hedge Funds and the Technology Bubble (2004)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)Institutional Investors and the Informational Efficiency of Prices (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2003Bubbles and Crashes1,246 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2001Short-sellers, fundamental analysis, and stock returns783 cited
  • 2008Short-Sale Strategies and Return Predictability731 cited
  • 2012Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis649 cited
  • 2002An Investigation of the Informational Role of Short Interest in the Nasdaq Market633 cited
  • 2002Synchronization risk and delayed arbitrage551 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited
  • 1993Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement506 cited
  • 2009

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

It's SHO Time! Short‐Sale Price Tests and Market Quality
372 cited

Cited by

  • 2021Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze39 cited
  • 2020How Fast Should Trades Settle?30 cited
  • 2016The Information Value of Stock Lending Fees: Are Lenders Price Takers?27 cited
  • 2017ETF Short Interest and Failures-to-Deliver: Naked Short-Selling or Operational Shorting?24 cited
  • 2021Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket23 cited
  • 2017Successive short‐selling ban lifts and gradual price efficiency: evidence from China22 cited
  • 2020Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency?20 cited