An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy

113 citations recorded by the source corpus.

Citations in the corpus

In Short Supply: Short Sellers and Stock Returns (2015, unknown): “…specific anomalies, and conclude that the negative short-side returns for certain anomalies are larger for more constrained stocks (i.e. for firms with low institutional 5 For theoretical arguments, see Miller 1977, Diamond and Verrechia 1987, Gallmeyer and Hollifield 2008, and Blocher et al. 2013.”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “…and Mark (2000), David (2008), David and Veronesi (2002), Duffie, Garleânu, and Pedersen (2002), Dumas, Kurshev, and Uppal (2009), Gallmeyer (2000), Gallmeyer and Hollifield (2008), Kogan, Ross, Wang, and Westerfield (2006), Scheinkman and Xiong (2003), Veronesi (1999), Xiong and Yan (2010), Yan…”
The Real Effects of Short-Selling Constraints (2014, unknown): “(2)Finding that short-selling constraints do not affect the level of stock prices is consistent with the predictions in Diamond and Verrechia (1987), and Gallmeyer and Hollifield (2008). This effect could be due to the increase in the speed of price adjustment to information arrival (see, for exampl”
The Good News in Short Interest (2010, unknown): “Two more recent studies, one with a theoretical model ( Gallmeyer and Hollifield, 2008 ) and one with a series of experiments (Haruvy and Noussair, 2006), show that short sale constraints can cause both overvaluation and undervaluation.”