| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17099 |
| DP17099 Asset pricing with costly short sales | |
| Julien Hugonnier; Rodolfo Prieto; Theodoros Evgeniou | |
| 发表日期 | 2022-03-10 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We study a dynamic equilibrium model with costly-to-short stocks and heteroge- neous beliefs. The closed-form solution to the model shows that costly short sales drive a wedge between the valuation of assets that promise identical cash flows but are subject to different trading arrangements. Specifically, we show that the price of an asset is given by the risk-adjusted present value of future cash flows which include both dividends and an endogenous lending yield. This formula implies that returns satisfy a modified capital asset pricing model and sheds light on recent findings about the explanatory power of lending fees in the cross-section of returns. In particular, we show that once returns are appropriately adjusted for lending fees, stocks with low and high shorting costs offer similar risk-return tradeoffs. |
| 主题 | Financial Economics |
| 关键词 | Shorting costs Securities lending Heterogeneous beliefs Dynamic equilibrium |
| URL | https://cepr.org/publications/dp17099 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546071 |
| 推荐引用方式 GB/T 7714 | Julien Hugonnier,Rodolfo Prieto,Theodoros Evgeniou. DP17099 Asset pricing with costly short sales. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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