Aggregate Short Interest and Market Valuations

By O. Lamont, Jeremy C. Stein. 2004

214 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/62159c5c1a035155166220a3e38cf9e60a37ee65

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Citations in the corpus

Short Interest, Institutional Ownership, and Stock Returns (2005, background): “This hypothesis originates with Miller (1977), and its cross-sectional predictions have motivated many recent empirical studies.”
An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy (2008, unknown): “The market prices of risk in our model are consistent with the one period models with heterogeneous beliefs and short-sale constraints in Lintner (1969), Miller (1977), and Jarrow (1980).”
Asset Prices Under Short-Sale Constraints (2006, background): “For aU < x1, where x1 is given in (35), we have”
Retail Short Selling and Stock Prices (2016, background): “institutions from short selling overpriced stocks, as argued in Lamont and Stein (2004). Retail short sellers also could benefit from a lack of competition from other retail traders with poor access to short selling.”
The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “(JEL G02, G12, G14, G23) Acknowledgments We are grateful to Malcolm Baker, Zahi Ben-David, John Campbell, Sergey Chernenko, Lauren Cohen, Karl Diether, Robin Greenwood, Joel Hasbrouck, David Hirshleifer (the executive editor), Harrison Hong, Jakub Jurek, Johnny Kang, Jonathan Lewellen, Antti Petajis”
Which Shorts Are Informed (2008, unknown): “Lamont and Stein (2004) find that aggregate short interest is extrapolative, reacting to past price moves, but has no predictive power for future market moves.”
Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars. (2014, result): “More recently Baker and Wurgler (2000) find that the equity share of new issuance predicts the performance of the market, while Lettau and Ludvigson (2001) and Lamont and Stein (2004) find similar results using the consumption-wealth-ratio and aggregate short interest.”
A Study of Market-Wide Short-Selling Restrictions (2005, unknown): “com/press_room_short_selling_history.html for a review of the history of short-sale policy debates. 2 The U.S. stock market started prohibiting short sales on a down tick in 1931. In 1932, brokers were required to obtain written authorization from their clients before lending shares. Short sales are”
Short sales, institutional investors and the cross-section of stock returns (2005, unknown): “…sophisticated investors (hedge funds) were riding the bubble, holding long positions in stocks with extreme valuation levels during the time before March 2000, and they argue that short-sale constraints were not the crucial limit to arbitrage during this period (see, also, Lamont and Stein, 2004).”
Who Believes the Hype? An Experimental Examination of how Language Affects Investor Judgments (2011, result): “As we discuss in the Conclusion section, these findings may help to explain the counter-intuitive findings of Lamont and Stein (2004) that short interest tends to decline during market run-ups.”
Costly short -selling and stock price adjustment to earnings announcements (2002, background): “Even though Lamont and Stein (2004) find evidence suggesting short sellers are not attempting to correct aggregate mispricings, Charoenrook and Daouk (2005) show that allowing short selling improves aggregate market quality in 11 countries.”
Option Strategies: Good Deals and Margin Calls (2009, unknown): “A second branch of this literature, including Figlewski and Webb (1993), Danielsen and Sorescu (2001), Jones and Lamont (2002), Lamont and Stein (2004), and Ofek, Richardson, and Whitelaw (2004), focuses explicitely on short-sale constraints and their relation to mispricing.”
Belief Disagreements and Collateral Constraints (2013, background): “In addition to the mentioned papers, an incomplete list includes Jones and Lamont (2001), Chen, Hong and Stein (2002), Diether, Malloy and Scherbina (2002), Ofek and Richardson (2003), Lamont and Stein (2004).”