| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8494 |
| 来源ID | Working Paper 8494 |
| Short Sale Constraints and Stock Returns | |
| Charles M. Jones; Owen A. Lamont | |
| 发表日期 | 2001-10-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand is high. We find that stocks that are expensive to short or which enter the borrowing market have high valuations and low subsequent returns, consistent with the overpricing hypothesis. Size-adjusted returns are one to two percent lower per month for new entrants, and despite high costs it is profitable to short them. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8494 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566098 |
| 推荐引用方式 GB/T 7714 | Charles M. Jones,Owen A. Lamont. Short Sale Constraints and Stock Returns. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8494.pdf（956KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
