-
1
-
-
0003271002
-
Synchronization risk and delayed arbitrage
-
Abreu, D., and M. K. Brunnermeier, 2002, Synchronization risk and delayed arbitrage, Journal of Financial Economics 66, 341 360.
-
(2002)
Journal of Financial Economics
, vol.66
, pp. 341-360
-
-
Abreu, D.1
Brunnermeier, M.K.2
-
2
-
-
0037276441
-
Bubbles and crashes
-
Abreu, D., and M. K. Brunnermeier, 2003, Bubbles and crashes, Econometrica 71, 173 204.
-
(2003)
Econometrica
, vol.71
, pp. 173-204
-
-
Abreu, D.1
Brunnermeier, M.K.2
-
3
-
-
11544251374
-
Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange
-
Aitken, Michael, Alex Frino, Michael S. McCorry, and Peter L. Swan, 1998, Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange, Journal of Finance 53, 2205 2223.
-
(1998)
Journal of Finance
, vol.53
, pp. 2205-2223
-
-
Aitken, M.1
Frino, A.2
McCorry, M.S.3
Swan, P.L.4
-
4
-
-
0000961158
-
Arbitrage, short sales, and financial innovation
-
Allen, Franklin, and Douglas Gale, 1991, Arbitrage, short sales, and financial innovation, Econometrica 59, 1041 1068.
-
(1991)
Econometrica
, vol.59
, pp. 1041-1068
-
-
Allen, F.1
Gale, D.2
-
5
-
-
0004074032
-
An empirical investigation of short interest
-
Harvard Business School
-
Asquith, P., and L. Meulbroek, 1995, An empirical investigation of short interest, Working paper, Harvard Business School.
-
(1995)
Working Paper
-
-
Asquith, P.1
Meulbroek, L.2
-
6
-
-
33847079227
-
Corporate governance and conditional skewness in the world's stock markets
-
Bae, Kee-Hong, Chan-Woo Lim, and K. C. John Wei, 2006, Corporate governance and conditional skewness in the world's stock markets, Journal of Business 79, 2999 3028.
-
(2006)
Journal of Business
, vol.79
, pp. 2999-3028
-
-
Bae K.-Hong1
Lim C.-Woo2
John Wei, K.C.3
-
7
-
-
0040212676
-
Foreign speculators and emerging equity markets
-
Bekaert, Geert, and Campbell R. Harvey, 2000, Foreign speculators and emerging equity markets, Journal of Finance 55, 565 613.
-
(2000)
Journal of Finance
, vol.55
, pp. 565-613
-
-
Bekaert, G.1
Harvey, C.R.2
-
9
-
-
1642303187
-
Liquidity and financial market runs
-
Bernardo, Antonio, and Ivo Welch, 2004, Liquidity and financial market runs, Quarterly Journal of Economics 119, 135 158.
-
(2004)
Quarterly Journal of Economics
, vol.119
, pp. 135-158
-
-
Bernardo, A.1
Welch, I.2
-
10
-
-
84996561280
-
Short sales constraints, liquidity and price discovery: An empirical analysis on the Paris Bourse
-
Biais, Bruno, Christophe Bisiere, and Jean-Paul Decamps, 1999, Short sales constraints, liquidity and price discovery: An empirical analysis on the Paris Bourse, European Financial Management 5, 395 409.
-
(1999)
European Financial Management
, vol.5
, pp. 395-409
-
-
Biais, B.1
Bisiere, C.2
Decamps J.-Paul3
-
11
-
-
33744547506
-
Short sales in global perspective
-
Frank Fabozzi, ed. Wiley, New York
-
Bris, Arturo, William N. Goetzmann, and Ning Zhu, 2004, Short sales in global perspective, in Frank Fabozzi, ed The Theory and Practice of Short-Selling (Wiley, New York).
-
(2004)
The Theory and Practice of Short-Selling
-
-
Bris, A.1
Goetzmann, W.N.2
Zhu, N.3
-
12
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1 43.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
13
-
-
23444432864
-
Informational content of option volume prior to takeovers
-
Cao, Charles Q., Zhiwu Chen, and John M. Griffin, 2005, Informational content of option volume prior to takeovers, Journal of Business 78, 1073 1109.
-
(2005)
Journal of Business
, vol.78
, pp. 1073-1109
-
-
Cao, C.Q.1
Chen, Z.2
Griffin, J.M.3
-
15
-
-
30044441809
-
The world price of short selling
-
Cornell University
-
Charoenrook, Anchada, and Hazem Daouk, 2004, The world price of short selling, Working paper, Cornell University.
-
(2004)
Working Paper
-
-
Charoenrook, A.1
Daouk, H.2
-
16
-
-
0000218139
-
Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices
-
Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345 381.
-
(2001)
Journal of Financial Economics
, vol.61
, pp. 345-381
-
-
Chen, J.1
Hong, H.2
Stein, J.C.3
-
17
-
-
0000178282
-
Financial innovation and arbitrage pricing in frictional economies
-
Chen, Zhiwu, 1995, Financial innovation and arbitrage pricing in frictional economies, Journal of Economic Theory 65, 117 135.
-
(1995)
Journal of Economic Theory
, vol.65
, pp. 117-135
-
-
Chen, Z.1
-
18
-
-
34248157802
-
Viable costs and equilibrium prices in frictional securities markets
-
Chen, Zhiwu, 2001, Viable costs and equilibrium prices in frictional securities markets, Annals of Economics and Finance 2, 297 323.
-
(2001)
Annals of Economics and Finance
, vol.2
, pp. 297-323
-
-
Chen, Z.1
-
20
-
-
0035732388
-
Why do option introductions depress stock prices? A study of diminishing short sales constraints
-
Danielsen, B., and S. Sorescu, 2001, Why do option introductions depress stock prices? A study of diminishing short sales constraints, Journal of Financial and Quantitative Analysis 36, 451 484.
-
(2001)
Journal of Financial and Quantitative Analysis
, vol.36
, pp. 451-484
-
-
Danielsen, B.1
Sorescu, S.2
-
21
-
-
0040411194
-
"trading in the wind" with Guile: The troublesome matter of the short selling of shares in seventeenth century Holland
-
De Marchi, Neil and Paul Harrison, 1994, "Trading in the wind" with Guile: The troublesome matter of the short selling of shares in seventeenth century Holland, History of Political Economy Supplement 26, 47 65.
-
(1994)
History of Political Economy Supplement
, vol.26
, pp. 47-65
-
-
De Marchi, N.1
Harrison, P.2
-
22
-
-
0001675669
-
Constraints on short-selling and asset price adjustment to private information
-
Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277 311.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 277-311
-
-
Diamond, D.W.1
Verrecchia, R.E.2
-
23
-
-
0000883258
-
Securities lending, shorting and pricing
-
Duffie, Darrell, Nicholae Garleanu, and Lasse Heje Pedersen, 2002, Securities lending, shorting and pricing, Journal of Financial Economics 66, 307 339.
-
(2002)
Journal of Financial Economics
, vol.66
, pp. 307-339
-
-
Duffie, D.1
Garleanu, N.2
Heje Pedersen, L.3
-
24
-
-
84977707532
-
Option arbitrage in imperfect markets
-
Figlewski, Stephen, 1989, Option arbitrage in imperfect markets, Journal of Finance 44, 1289 1311.
-
(1989)
Journal of Finance
, vol.44
, pp. 1289-1311
-
-
Figlewski, S.1
-
25
-
-
84993650709
-
Options, short sales, and market completeness
-
Figlewski, Stephen, and Gwendolyn P. Webb, 1993, Options, short sales, and market completeness, Journal of Finance 48, 761 777.
-
(1993)
Journal of Finance
, vol.48
, pp. 761-777
-
-
Figlewski, S.1
Webb, G.P.2
-
26
-
-
0002357241
-
The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the U.S.
-
Foerster, Stephen R., and G.Andrew Karolyi, 1999, The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the U.S., Journal of Finance 54, 981 1014.
-
(1999)
Journal of Finance
, vol.54
, pp. 981-1014
-
-
Foerster, S.R.1
Karolyi G.Andrew2
-
27
-
-
0000774157
-
Stocks are special too: An analysis of the equity lending market
-
Geczy, Christopher C., David K. Musto, and Adam V. Reed, 2002, Stocks are special too: An analysis of the equity lending market, Journal of Financial Economics 66, 241 269.
-
(2002)
Journal of Financial Economics
, vol.66
, pp. 241-269
-
-
Geczy, C.C.1
Musto, D.K.2
Reed, A.V.3
-
28
-
-
0010274340
-
Assessing specification errors in stochastic discount factor models
-
Hansen, Lars Peter, and Ravi Jagannathan, 1997, Assessing specification errors in stochastic discount factor models, Journal of Finance 52, 557 590.
-
(1997)
Journal of Finance
, vol.52
, pp. 557-590
-
-
Hansen, L.P.1
Jagannathan, R.2
-
29
-
-
84937290579
-
Market frictions and consumption-based asset pricing
-
He, Hua, and David Modest, 1995, Market frictions and consumption-based asset pricing, Journal of Political Economy 103, 94 117.
-
(1995)
Journal of Political Economy
, vol.103
, pp. 94-117
-
-
He, H.1
Modest, D.2
-
30
-
-
0039372663
-
Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies
-
Hong, Harrison, Terence Lim, and Jeremy C. Stein, 2000, Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies, Journal of Finance 55, 265 295.
-
(2000)
Journal of Finance
, vol.55
, pp. 265-295
-
-
Hong, H.1
Lim, T.2
Stein, J.C.3
-
31
-
-
0038176749
-
Differences of opinion, short sales constraints and market crashes
-
Hong, Harrison, and Jeremy C. Stein, 2003, Differences of opinion, short sales constraints and market crashes, Review of Financial Studies 16, 487 525.
-
(2003)
Review of Financial Studies
, vol.16
, pp. 487-525
-
-
Hong, H.1
Stein, J.C.2
-
32
-
-
24044454681
-
Market frictions, price delay, and the cross-section of expected returns
-
Hou, Kewei, and Tobias J. Moskowitz, 2004, Market frictions, price delay, and the cross-section of expected returns, Review of Financial Studies 18, 981 1020.
-
(2004)
Review of Financial Studies
, vol.18
, pp. 981-1020
-
-
Hou, K.1
Moskowitz, T.J.2
-
33
-
-
34248190865
-
-
International Securities Services Association Handbook, ISSA, Zurich, Switzerland).
-
International Securities Services Association Handbook, 2002 (ISSA, Zurich, Switzerland).
-
(2002)
-
-
-
34
-
-
84877100059
-
Short sales constraints and stock returns
-
Jones, Charles, and Owen Lamont, 2002, Short sales constraints and stock returns, Journal of Financial Economics 66, 207 239.
-
(2002)
Journal of Financial Economics
, vol.66
, pp. 207-239
-
-
Jones, C.1
Lamont, O.2
-
35
-
-
0041077441
-
Efficient trading strategies in the presence of market frictions
-
Jouini, E., and H. Kallal, 2001, Efficient trading strategies in the presence of market frictions, Review of Financial Studies 14, 343 369.
-
(2001)
Review of Financial Studies
, vol.14
, pp. 343-369
-
-
Jouini, E.1
Kallal, H.2
-
36
-
-
84977314600
-
Put-call parity and market efficiency
-
Klemkosky, Robert C., and Bruce G. Resnick, 1979, Put-call parity and market efficiency, Journal of Finance 34, 1141 1155.
-
(1979)
Journal of Finance
, vol.34
, pp. 1141-1155
-
-
Klemkosky, R.C.1
Resnick, B.G.2
-
37
-
-
34248186658
-
Law and finance
-
La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R.W. Vishny, 1997, Law and finance, Journal of Political Economy 106, 1112 1155.
-
(1997)
Journal of Political Economy
, vol.106
, pp. 1112-1155
-
-
La Porta, R.1
Lopez-De-Silanes, F.2
Shleifer, A.3
Vishny, R.W.4
-
38
-
-
4043075627
-
Aggregate short interest and market valuations
-
Lamont, Owen, and Jeremy C. Stein, 2004, Aggregate short interest and market valuations, American Economic Review 94, 29 32.
-
(2004)
American Economic Review
, vol.94
, pp. 29-32
-
-
Lamont, O.1
Stein, J.C.2
-
39
-
-
0013020712
-
Can the market add and substract? Mispricing in tech stock carve-outs
-
Lamont, Owen, and Richard H. Thaler, 2003, Can the market add and substract? Mispricing in tech stock carve-outs, Journal of Political Economy 21, 227 268.
-
(2003)
Journal of Political Economy
, vol.21
, pp. 227-268
-
-
Lamont, O.1
Thaler, R.H.2
-
40
-
-
10044250986
-
Heterogeneous expectations and stock prices in segmented markets: Application to Chinese firms
-
Li, Lianfa, and Belton M. Fleisher, 2004, Heterogeneous expectations and stock prices in segmented markets: Application to Chinese firms, Quarterly Journal of Economics and Finance 44, 521 538.
-
(2004)
Quarterly Journal of Economics and Finance
, vol.44
, pp. 521-538
-
-
Li, L.1
Fleisher, B.M.2
-
41
-
-
0000621768
-
An econometric analysis of nonsynchronous trading
-
Lo, Andrew W., and A. Craig MacKinlay, 1990, An econometric analysis of nonsynchronous trading, Journal of Econometrics 45, 181 211.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 181-211
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
42
-
-
0001116758
-
Asset pricing in economies with frictions
-
Luttmer, Erzo G. P., 1996, Asset pricing in economies with frictions, Econometrica 64, 1429 1467.
-
(1996)
Econometrica
, vol.64
, pp. 1429-1467
-
-
Luttmer, E.G.P.1
-
43
-
-
33748776731
-
Short sales constraints, overvaluation, and the introduction of options
-
Securities and Exchange Commission
-
Mayhew, Stewart, and Vassil Mihov, 2004, Short sales constraints, overvaluation, and the introduction of options, Working paper, Securities and Exchange Commission.
-
(2004)
Working Paper
-
-
Mayhew, S.1
Mihov, V.2
-
45
-
-
0001373089
-
The information content of stock markets: Why do emerging markets have synchronous stock price movement?
-
and
-
Mørck, Randall, Bernard Yeung, and Wayne Yu, 2000, The information content of stock markets: Why do emerging markets have synchronous stock price movement? Journal of Financial Economics 58, 215 260.
-
(2000)
Journal of Financial Economics
, vol.58
, pp. 215-260
-
-
Mørck, R.1
Yeung, B.2
Yu, W.3
-
46
-
-
0142188086
-
DotCom mania: The rise and fall of internet stock prices
-
Ofek, Eli, and Matthew Richardson, 2003, DotCom mania: The rise and fall of internet stock prices, Journal of Finance 58, 1113 1137.
-
(2003)
Journal of Finance
, vol.58
, pp. 1113-1137
-
-
Ofek, E.1
Richardson, M.2
-
47
-
-
7444245569
-
Limited arbitrage and short sales restrictions: Evidence from the options markets
-
Ofek, Eli, Matthew Richardson, and Robert F. Whitelaw, 2004, Limited arbitrage and short sales restrictions: Evidence from the options markets, Journal of Financial Economics 74, 305 342.
-
(2004)
Journal of Financial Economics
, vol.74
, pp. 305-342
-
-
Ofek, E.1
Richardson, M.2
Whitelaw, R.F.3
-
48
-
-
0036123286
-
Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange
-
Poitras, Geoffrey, 2002, Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange, Pacific Basin Finance Journal 10, 141 162.
-
(2002)
Pacific Basin Finance Journal
, vol.10
, pp. 141-162
-
-
Poitras, G.1
-
50
-
-
49549135545
-
The arbitrage theory of capital asset pricing
-
Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341 360.
-
(1976)
Journal of Economic Theory
, vol.13
, pp. 341-360
-
-
Ross, S.A.1
-
51
-
-
0942288976
-
Overconfidence and speculative bubbles
-
Scheinkman, Jose, and Wei Xiong, 2003, Overconfidence and speculative bubbles, Journal of Political Economy 111, 1183 1219.
-
(2003)
Journal of Political Economy
, vol.111
, pp. 1183-1219
-
-
Scheinkman, J.1
Xiong, W.2
-
52
-
-
5544289979
-
Isaac le Maire en de Handle in Action der Oost-Indische Companie
-
van Dillen, J. G., 1930, Isaac Le Maire en de Handle in Action der Oost-Indische Companie, Economisch-historisch Jaarboek 16, 107 111.
-
(1930)
Economisch-historisch Jaarboek
, vol.16
, pp. 107-111
-
-
Van Dillen, J.G.1
|