Asset Pricing with Costly Short Sales

The authors thank Adem Atmaz (discussant), Snehal Banerjee, Pierre Collin Dufresne, Kent Daniel, Jérôme Detemple, Itamar Dreschler (discussant), Bernard Dumas, Philip Dybvig, Sergei Glebkin, Ahmed Guecioueur, Maarten Meeuwis (discussant), Johannes Muhle-Karbe, Joël Peress, Stephen Ross, Raman Uppal, and Junyuan Zou as well as audiences at Boston University, Ecole Supérieure des Sciences Economiques et Commerciales, Institut Européen d’Administration des Affairs, Universidad de los Andes, the 9th Advanced Mathematical Methods for Finance Conference 2019, the 2020 North American Winter Meeting of the Econometric Society, the 2020 Swiss Finance Institute Research Days, the 2022 EUROFIDAI-ESSEC Paris December Finance Meeting, and European Finance Association 2020 for constructive comments. A preliminary version of this article was circulated under the alternative title “Costly short sales and nonlinear asset pricing.”