Short-Sale Constraints, Differences of Opinion, and Overvaluation

By Rodney D Boehme, Bartley R. Danielsen, Sorin M. Sorescu. Journal of Financial and Quantitative Analysis, 2006

534 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b0ed2b54f186263b1860f40684522ba517cca620

How researchers see this paper

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

In Accounting

In Finance

Citations in the corpus

The Good News in Short Interest (2010, methodology): “If this is correct, then based on previous studies such as Chen et al. (2003) and Boehme et al. (2006), we might expect such stocks to significantly underperform once prices incorporate short sellers’ information.”
The Role of Accounting Conservatism in the Equity Market: Evidence from Seasoned Equity Offerings (2013, unknown): “studies (Boehme et al. 2006; Officer et al. 2009) also use idiosyncratic return volatility as both an”
Empirical cross-sectional asset pricing: a survey (2011, background): “However, Boehme et al. (2006) argue that both difference in opinion and short-sale constraints are necessary preconditions of Miller’s model.”
How Do Diversity of Opinion and Information Asymmetry Affect Acquirer Returns (2007, background): “However, several recent papers use idiosyncratic volatility as a proxy for diversity of opinion (see Gebhardt, Lee, and Swaminathan (2001); Danielsen and Sorescu, (2001) Diether, Malloy, and Scherbina (2002); Boehme, Danielsen, and Sorescu (2006) ).”
Asset Prices Under Short-Sale Constraints (2006, background): “From Equations (13), (16) and the market-clearing condition (7), we can solve for the equilibrium price P ∗:”
Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market (2007, unknown): “Standard deviation of daily returns and trading volume are also used by Danielsen and Sorescu (2001) and Boehme et al. (2006).”
Asset Pricing in China's Domestic Stock Markets: Is There a Logic? (2007, background): “…that short sales are not allowed in China and the diversity of opinions is large, as indicated by the large turnover.33 Indeed, using U.S. data, Boehme et al. (2006b) find that for stocks with strong short-sale constraints, there is a negative relationship between idiosyncratic risk and…”