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Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors?
16 references·1 citing·42 second hop
Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors? (2015)Why Can Margin Requirements Increase Vola…Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis (2012)Short‐Selling Bans Around the…Margin-based Asset Pricing and Deviations from the Law of One Price (2011)Margin-based Asset Pricing an…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Short-Sale Constraints, Differences of Opinion, and Overvaluation (2006)Short-Sale Constraints, Diffe…Short interest, institutional ownership, and stock returns (2005)Short interest, institutional…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)DotCom Mania: The Rise and Fa…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…An Equilibrium Model with Restricted Stock Market Participation (1998)An Equilibrium Model with Res…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…The Effect of Investment Literacy on the Likelihood of Retail Investor Margin Trading and Having a Margin Call (2021)The Effect of Investment Lite…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Continuous Auctions and Insider Trading (1985)Liquidity Risk and Expected Stock Returns (2001)The High‐Volume Return Premium (2001)Liquidity and Asset Prices (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)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Market liquidity as a sentiment indicator (2004)Short sales, institutional investors and the cross-section of stock returns (2005)Efficient Capital Markets: II (1991)The Limits of Arbitrage (1995)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)On Persistence in Mutual Fund Performance (1997)Which Shorts Are Informed? (2007)Short-Sale Strategies and Return Predictability (2008)Short Selling and the Price Discovery Process (2012)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 2005Short interest, institutional ownership, and stock returns1,012 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited
  • 2002Securities lending, shorting, and pricing670 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 2012Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis649 cited
  • 1998An Equilibrium Model with Restricted Stock Market Participation591 cited
  • 2006

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Short-Sale Constraints, Differences of Opinion, and Overvaluation
563 cited

Cited by

  • 2021The Effect of Investment Literacy on the Likelihood of Retail Investor Margin Trading and Having a Margin Call15 cited