The rise of China and fivefold growth of its stock market over the past decade have fueled a
growing literature on this market in financial economics. On the corporate side, researchers …

Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

abstract The efficient markets theory reached the height of its dominance in academic circles
around the 1970s. Faith in this theory was eroded by a succession of discoveries of …

Using a large sample of US public firms, we find robust evidence that short interest is
positively related to one-year ahead stock price crash risk. The evidence is consistent with …

We develop a stock market model with differences of opinion and short-sales constraints.
When breadth is low—ie, when few investors have long positions—this signals that the short …

We analyze cross‐sectional and time‐series information from 46 equity markets around the
world to consider whether short sales restrictions affect the efficiency of the market and the …

This paper explores a model based on agents with heterogenous beliefs facing short sales
restrictions, and its explanation for the rise, persistence, and eventual fall of Internet stock …

Stocks can be overpriced when short-sale constraints bind. We study the costs of short-
selling equities from 1926 to 1933, using the publicly observable market for borrowing stock …

Firms with low ratios of fundamentals (such as earning and book values) to market values
are known to have systematically lower future stock returns. We document that short-sellers …

This article presents a study of how stock price efficiency and return distributions are affected
by short-sale constraints. The study is based on a global dataset, from 2005 to 2008, that …