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Journal of Economics and Finance

Erschienen in:

13.05.2017

A synthesized model of short selling constraints and their impact on stock returns

verfasst von: Jose Gutierrez, Steve Johnson, Robert Stretcher

Erschienen in: Journal of Economics and Finance | Ausgabe 1/2018

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Abstract

This paper presents a synthesized model explaining the returns of short-sale constrained stocks. We combine short-sale constraints that were previously treated individually or in pairs into a more fully specified model. The model is also specified in generally falling versus generally rising markets, and in consideration of relative effects for large/mid-cap versus small/micro-cap firms. There is evidence that a more fully specified model provides additional insight with less factor omission bias than prior models. Beyond that, our results indicate asymmetric pricing differences between least versus most short-sale constrained stocks, sensitive to overall market direction.

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Titel: A synthesized model of short selling constraints and their impact on stock returns
verfasst von: Jose Gutierrez
Steve Johnson
Robert Stretcher
Publikationsdatum: 13.05.2017
Verlag: Springer US
Erschienen in: Journal of Economics and Finance / Ausgabe 1/2018
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-017-9393-y

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