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Short-sale constraints and stock returns
10 references·16 citing·37 second hopsampled
Short-sale constraints and stock returns (2002)Short-sale constraints and stock returnsThe market for borrowing stock (2002)The market for borrowing stockBreadth of ownership and stock returns (2002)Breadth of ownership and stoc…Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Characteristics, Covariances,…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIConstraints 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…Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis (2012)Short‐Selling Bans Around the…Short Sellers and Financial Misconduct (2010)Short Sellers and Financial M…Short-Sale Strategies and Return Predictability (2008)Short-Sale Strategies and Ret…Valuation in Over-the-Counter Markets (2007)Valuation in Over-the-Counter…Supply and Demand Shifts in the Shorting Market (2007)Supply and Demand Shifts in t…Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market (2007)Short‐Sales Constraints and P…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Short-Sale Constraints, Differences of Opinion, and Overvaluation (2006)Short-Sale Constraints, Diffe…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Disagreement, tastes, and asset prices (2006)Disagreement, tastes, and ass…DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)DotCom Mania: The Rise and Fa…Chapter 15 Anomalies and market efficiency (2003)Chapter 15 Anomalies and mark…Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs (2003)Can the Market Add and Subtra…Stocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…Securities lending, shorting, and pricing (2002)Securities lending, shorting,…Anomalies and Market Efficiency (2002)Anomalies and Market Efficien…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Pricing of Options and Corporate Liabilities (1973)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)On Persistence in Mutual Fund Performance (1997)In Search of Attention (2011)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)Short interest, institutional ownership, and stock returns (2005)Which Shorts Are Informed? (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Measuring abnormal performance (1992)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Bad Beta, Good Beta (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Replicating Anomalies (2018)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 2002The market for borrowing stock1,161 cited
  • 2000Characteristics, Covariances, and Average Returns: 1929 to 19971,100 cited

Cited by

  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2008Short-Sale Strategies and Return Predictability731 cited
  • 2006Disagreement, tastes, and asset prices689 cited
  • 2002Securities lending, shorting, and pricing

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

670 cited
  • 2003Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs660 cited
  • 2012Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis649 cited
  • 2010Short Sellers and Financial Misconduct573 cited
  • 2006Short-Sale Constraints, Differences of Opinion, and Overvaluation563 cited
  • 2002Anomalies and Market Efficiency547 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited
  • 2007Valuation in Over-the-Counter Markets526 cited
  • 2003Chapter 15 Anomalies and market efficiency503 cited
  • 2007Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market484 cited
  • 2007Supply and Demand Shifts in the Shorting Market478 cited