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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
16 references·16 citing·35 second hopsampled
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets (2003)Limited Arbitrage and Short Sales Restric…Theory of rational option pricing (2005)Theory of rational option pri…Why constrain your mutual fund manager? (2004)Why constrain your mutual fun…DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)DotCom Mania: The Rise and Fa…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…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,…Breadth of ownership and stock returns (2002)Breadth of ownership and stoc…A Survey of Behavioral Finance (2002)A Survey of Behavioral FinanceThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The American Put Option Valued Analytically (1984)The American Put Option Value…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…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…A factor model for option returns (2022)A factor model for option ret…Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns (2020)Mispricing, Short-Sale Constr…Information Content of Aggregate Implied Volatility Spread (2020)Information Content of Aggreg…Early option exercise: Never say never (2016)Early option exercise: Never …Market sentiment in commodity futures returns (2015)Market sentiment in commodity…The Shorting Premium and Asset Pricing Anomalies (2014)The Shorting Premium and Asse…. . . and the Cross-Section of Expected Returns (2014). . . and the Cross-Section o…Volatility spreads and earnings announcement returns (2013)Volatility spreads and earnin…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…A Mathematical Theory of Financial Bubbles (2013)A Mathematical Theory of Fina…Banning short sales and market quality: The UK’s experience (2012)Banning short sales and marke…The Short of It: Investor Sentiment and Anomalies (2011)The Short of It: Investor Sen…Risk-Neutral Skewness: Return Predictability and Its Sources (2008)Risk-Neutral Skewness: Return…Short Sales Constraints and Momentum in Stock Returns (2006)Short Sales Constraints and M…Capital Gains Tax Overhang and Price Pressure (2006)Capital Gains Tax Overhang an…Supply and Demand Shifts in the Shorting Market (2005)Supply and Demand Shifts in t…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)Essays in the Theory of Risk-Bearing. (1972)Differences of Opinion Make a Horse Race (1993)Chapter 18 A survey of behavioral finance (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Common risk factors in the returns on stocks and bonds (1993)Short sales, institutional investors and the cross-section of stock returns (2005)Dividend Policy, Growth, and the Valuation of Shares (1961)Prospect theory: An analysis of decision under risk (1988)Up Close and Personal: Investor Sophistication and the Disposition Effect (2006)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Housing supply and housing bubbles (2008)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)Option pricing: A simplified approach (1979)Perspectives on Behavioral Finance: Does "Irrationality" Disappear with Wealth? Evidence from Expectations and Actions (2003)Is value riskier than growth? (2005)The Behavior of Individual Investors (2013)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 2002A Survey of Behavioral Finance1,181 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 2002The market for borrowing stock1,161 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 2002Securities lending, shorting, and pricing670 cited
  • 2003Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs660 cited
  • 2004Why constrain your mutual fund manager?569 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited

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Cited by

  • 2006Capital Gains Tax Overhang and Price Pressure144 cited
  • 2014. . . and the Cross-Section of Expected Returns140 cited
  • 2013The Joint Cross Section of Stocks and Options135 cited
  • 2014The Shorting Premium and Asset Pricing Anomalies118 cited
  • 2013A Mathematical Theory of Financial Bubbles110 cited
  • 2015Market sentiment in commodity futures returns108 cited
  • 2012Banning short sales and market quality: The UK’s experience104 cited
  • 2005Supply and Demand Shifts in the Shorting Market99 cited
  • 2022A factor model for option returns92 cited
  • 2011The Short of It: Investor Sentiment and Anomalies91 cited
  • 2008Risk-Neutral Skewness: Return Predictability and Its Sources81 cited
  • 2006Short Sales Constraints and Momentum in Stock Returns78 cited
  • 2020Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns65 cited
  • 2013Volatility spreads and earnings announcement returns62 cited
  • 2020Information Content of Aggregate Implied Volatility Spread47 cited
  • 2016Early option exercise: Never say never44 cited