Short sale constraints, correlation and market efficiency

DOI10.1515/BEJTE-2016-0085MaRDI QIDQ2098933zbMATH OpenOpenAlexWikidataFDO

Authors Christos I. Giannikos, Eleni Gousgounis

Publication date 22 November 2022

Published in The B.E. Journal of Theoretical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/bejte-2016-0085

zbMATH Keywords

correlationmarket efficiencyopinion dispersionshort sale constraints

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• The consequences of short-sale constraints on the stability of financial markets. With a foreword by Axel Wieandt and Sebastian Moenninghoff
• An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy*
• Short-sale constraints, information acquisition, and asset prices
• Informational efficiency under short sale constraints
• Welfare effects of short-sale constraints under heterogeneous beliefs

Cites work

• A note on Gale's example
• Complete and incomplete markets with short-sale constraints
• Short sales, destruction of resources, welfare
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Welfare effects of short-sale constraints under heterogeneous beliefs

Cited in

(15)

• Short-selling restrictions, takeovers and the wealth of long-run shareholders
• Short-sale constraints, information acquisition, and asset prices
• Does short sale restriction lower price efficiency when substitutes exist? Evidence from the Korean market
• Short sellers and the failures of financial intermediaries
• The effect of short selling and borrowing on market prices and traders' behavior
• Welfare effects of short-sale constraints under heterogeneous beliefs
• An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy*
• Informational efficiency under short sale constraints
• ENDOGENOUS SHORT-SALE CONSTRAINT, STOCK PRICES AND OUTPUT CYCLES
• The consequences of short-sale constraints on the stability of financial markets. With a foreword by Axel Wieandt and Sebastian Moenninghoff
• Short selling with margin risk and recall risk
• Impact of short-sales in stock market efficiency
• The Term Structure of Short Selling Costs
• Short selling, divergence of opinion and volatility in the corporate bond market
• Margins on short sales and equilibrium price indeterminacy

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