Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets

By Eli Ofek, Matthew P. Richardson, Robert F. Whitelaw. 2004

395 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9bee741049b6137b12dc1ddff3911122193450e8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Lasse Heje Pedersen
2. Haim Mendelson
3. Y. Amihud
4. Stefan Nagel
5. Hyun Song Shin
6. Avanidhar Subrahmanyam
7. Amit Goyal
8. Alok Kumar

In Economics and Econometrics

1. Stefan Nagel
2. Y. Amihud
3. Lasse Heje Pedersen
4. Haim Mendelson
5. Arvind Krishnamurthy
6. Darrell Duffie
7. Maik Schmeling
8. Nicolae Gârleanu

In Finance

1. Lasse Heje Pedersen
2. Haim Mendelson
3. Stefan Nagel
4. Y. Amihud
5. Avanidhar Subrahmanyam
6. Hyun Song Shin
7. Arvind Krishnamurthy
8. Amit Goyal

Citations in the corpus

• Option Strategies: Good Deals and Margin Calls (2009, neutral): “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.”
• Short Interest, Institutional Ownership, and Stock Returns (2005, neutral): “Rubinstein (2004) surveys the theoretical literature on short sales and the connection between short sales and stock returns.”
• Liquidity and Asset Prices (2005, positive): “The put–call parity is sometimes violated when it is difficult to sell short, implying that a stock trades at a higher price than a synthetic stock created in the option market (Ofek et al., 2004).”
• Cross-Section of Option Returns and Volatility (2009, neutral): “18See for example Figlewski (1989), George and Longstaff (1993), Gould and Galai (1974), Ho and Macris (1984), Ofek, Richardson, and Whitelaw (2004), Santa-Clara and Saretto (2005), and Swidler and Diltz (1992).”
• What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, neutral): “Our main approach is based on the option’s moneyness, which is also used in Ofek et al. (2004).”
• Is There Price Discovery in Equity Options (2013, neutral): “Unsurprisingly, this is a lower frequency than was found in the studies of put-call parity violations by Kamara and Miller (1995) and Ofek, Richardson, and Whitelaw (2004) that use data from earlier periods when the options markets were less liquid.”
• Go Down Fighting: Short Sellers vs. Firms (2012, neutral): “Indirect costs of shorting can come from options as in Figlewski and Webb (1993), Sorescu (2000), Lamont and Thaler (2003), and Ofek, Richardson, and Whitelaw (2004).”
• Volatility Spreads and Expected Stock Returns (2009, neutral): “Ofek et al. (2004) argue that such violations could arise if irrational investors move stock”
• Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, neutral): “…French, 1993: MKT, SMB, and HML.) In comparison, if value-weighted decile portfolios are first formed for each individual anomaly ranking, and then the returns on those portfolios are combined with equal weights across the 11 anomalies, the corresponding spread between the extreme deciles is 0.86%.”
• Investor Sentiment and Option Prices (2008, neutral): “4 See, for example, Figlewski (1989), Figlewski and Green (1999), Bollen and Whaley (2004), and Ofek, Richardson, and Whitelaw (2004).”