Informed Trading with a Short-Sale Prohibition

References

• Allen F, Morris S, Postlewaite A (1993) Finite bubbles with short sale constraints and asymmetric information. J. Econom. Theory 61(2):206–229.Crossref, Google Scholar
• Almazan A, Brown KC, Carlson M, Chapman DA (2004) Why constrain your mutual fund manager? J. Financial Econom. 73(2):289–321.Crossref, Google Scholar
• Asquith P, Pathak PA, Ritter JR (2005) Short interest, institutional ownership, and stock returns. J. Financial Econom. 78(2):243–276.Crossref, Google Scholar
• Bai Y, Chang EC, Wang J (2006) Asset prices under short-sale constraints. Working paper, Massachusetts Institute of Technology, Cambridge.Google Scholar
• Barlevy G, Veronesi P (2003) Rational panics and stock market crashes. J. Econom. Theory 110(2):234–263.Crossref, Google Scholar
• Beber A, Pagano M (2013) Short-selling bans around the world: Evidence from the 2007-09 crisis. J. Finance 68(1):343–381.Crossref, Google Scholar
• Blocher J, Reed AV, Van Wesep ED (2013) Connecting two markets: An equilibrium framework for shorts, longs, and stock loans. J. Financial Econom. 108(2):302–322.Crossref, Google Scholar
• Boehme RD, Danielsen BR, Sorescu SM (2006) Short-sale constraints, differences of opinion, and overvaluation. J. Financial. Quant. Anal. 41(2):455–487.Crossref, Google Scholar
• Boehmer E, Wu J (2013) Short selling and the price discovery process. Rev. Financial Stud. 26(2):287–322.Crossref, Google Scholar
• Boehmer E, Jones CM, Zhang X (2008) Which shorts are informed? J. Finance 63(2):491–527.Crossref, Google Scholar
• Boehmer E, Jones CM, Zhang X (2013) Shackling short sellers: The 2008 shorting ban. Rev. Financial Stud. 26(6):1363–1400.Google Scholar
• Bris A, Goetzmann WN, Zhu N (2007) Efficiency and the bear: Short sales and markets around the world. J. Finance 62(3):1029–1079.Crossref, Google Scholar
• Cao HH, Zhang HH, Zhou X (2007) Short-sale constraint, informational efficiency and asset price bias. Working paper, University of Texas at Dallas, Richardson.Google Scholar
• Chang EC, Cheng JW, Yu Y (2007) Short-sales constraints and price discovery: Evidence from the Hong Kong market. J. Finance 62(5):2097–2121.Crossref, Google Scholar
• Chen J, Hong H, Stein JC (2002) Breadth of ownerhip and stock returns. J. Financial Econom. 66(2–3):171–205.Crossref, Google Scholar
• Daniel K, Klos A, Rottke S (2017) Overpriced winners. Working paper, Columbia University, New York.Google Scholar
• Dechow PM, Hutton AP, Meulbroek L, Sloan RG (2001) Short-sellers, fundamental analysis, and stock returns. J. Financial Econom. 61(1):77–106.Crossref, Google Scholar
• Diamond DW, Verrecchia RE (1987) Constraints on short-selling and asset price adjustment to private information. J. Financial Econom. 18(2):277–311.Crossref, Google Scholar
• Diether KB, Lee K-H, Werner IM (2009a) It’s SHO time! Short-sale price tests and market quality. J. Finance 64(1):37–73.Crossref, Google Scholar
• Diether KB, Lee K-H, Werner IM (2009b) Short-sale strategies and return predictability. Rev. Financial Stud. 22(2):575–607.Google Scholar
• Division of Economic and Risk Analysis (2014) Short Sale Position and Transaction Reporting (U.S. Securities and Exchange Commission, Washington, DC).Google Scholar
• Duffie D (1996) Special repo rates. J. Finance 51(2):493–526.Crossref, Google Scholar
• Duffie D, Gârleanu N, Pedersen LH (2002) Securities lending, shorting, and pricing. J. Financial Econom. 66(2–3):307–339.Crossref, Google Scholar
• Engelberg JE, Reed AV, Ringgenberg MC (2012) How are shorts informed? Short sellers, news, and information processing. J. Financial Econom. 105(2):260–278.Crossref, Google Scholar
• Figlewski S (1981) The informational effects of restrictions on short sales: Some empirical evidence. J. Financial Quant. Anal. 16(4):463–476.Crossref, Google Scholar
• Gallmeyer M, Hollifield B (2008) An examination of heterogeneous beliefs with a short-sale constraint in a dynamic economy. Rev. Finance 12(2):323–364.Crossref, Google Scholar
• Grossman SJ, Stiglitz JE (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
• Hayashi F (2000) Econometrics (Princeton University Press, Princeton, NJ).Google Scholar
• Hong H, Stein JC (2003) Differences of opinion, short-sales constraints, and market crashes. Rev. Financial Stud. 16(2):487–525.Crossref, Google Scholar
• Jarrow R (1980) Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices. J. Finance 35(5):1105–1113.Crossref, Google Scholar
• Jones CM, Lamont OA (2002) Short-sale constraints and stock returns. J. Financial Econ. 66(2–3):207–239.Crossref, Google Scholar
• Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.Crossref, Google Scholar
• Leland HE (1992) Insider trading: Should it be prohibited? J. Political Econom. 100(4):859–887.Crossref, Google Scholar
• Lenkey SL (2014) Advance disclosure of insider trading. Rev. Financial Stud. 27(8):2504–2537.Crossref, Google Scholar
• Liu H, Wang Y (2019) Asset pricing implications of short-sale constraints in imperfectly competitive markets. Management Sci. 65(9):3949–4450.Link, Google Scholar
• Marin JM, Olivier JP (2008) The dog that did not bark: Insider trading and crashes. J. Finance 63(5):2429–2476.Crossref, Google Scholar
• Miller EM (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168.Crossref, Google Scholar
• Nezafat M, Schroder M, Wang Q (2017) Short-sale constraints, information acquisition, and asset prices. J. Econom. Theory 172:279–312.Crossref, Google Scholar
• Pálvölgyi D, Venter G (2015) Multiple equilibria in noisy rational expectations economies. Working paper, University of Cambridge, Cambridge, UK.Google Scholar
• Reed A, Saffi PAC, Van Wesep ED (2020) Short sales constraints and the diversification puzzle. Management Sci. Forthcoming.Google Scholar
• Reed AV (2013) Short selling. Annual Rev. Financial Econom. 5:245–258.Crossref, Google Scholar
• Saffi PAC, Sigurdsson K (2011) Price efficiency and short selling. Rev. Financial Stud. 24(3):821–852.Crossref, Google Scholar
• Senchack AJ Jr, Starks LT (1993) Short-sale restrictions and market reaction to short-interest announcements. J. Financial Quant. Anal. 28(2):177–194.Crossref, Google Scholar
• Spiegel M, Subrahmanyam A (1992) Informed speculation and hedging in a noncompetitive securities market. Rev. Financial Stud. 5(2):307–329.Crossref, Google Scholar
• Weitzner G (2017) The term structure of short selling costs. Working paper, University of Texas at Austin, Austin.Google Scholar
• Yuan K (2005) Asymmetric price movements and borrowing constraints: A rational expectations equilibrium model of crisis, contagion, and confusion. J. Finance 60(1):379–411.Crossref, Google Scholar
• Yuan K (2006) The price impact of borrowing and short-sale constraints. Working paper, University of Michigan, Ann Arbor.Google Scholar