Search Results - subject:"Short Selling Constraints"

Solving heterogeneous-belief asset pricing models with short-selling constraints and many agents

Hatcher, Michael - In: Macroeconomic dynamics 28 (2024) 8, pp. 1715-1738

Persistent link: https://www.econbiz.de/10015154399

Pederzoli, Paola - 2018

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The methodology takes the form of a trading strategy, a skewness swap. The return on the strategy shows a significant positive skewness risk premium in individual stocks. The risk premium...

Persistent link: https://www.econbiz.de/10011899675

Towards a general theory of the stock market

Fender, John - 2016

shares are held exclusively by 'irrational' agents and rational agents cannot exploit the overvaluation because of short-selling … constraints. It is also argued that heterogeneous rational expectations may help explain some features of stock market behaviour. …

Persistent link: https://www.econbiz.de/10012058889

Towards a general theory of the stock market

Fender, John - 2016

Persistent link: https://www.econbiz.de/10012010417

Accrual components and stock trading costs

Lei, Qianhua - In: China Journal of Accounting Research 6 (2013) 4, pp. 287-300

greater influence on stock trading costs than positive accruals because of short-selling constraints in the Chinese stock … negative, thus leading to an asymmetric effect on trading costs between positive and negative accruals in the face of short-selling … constraints in the Chinese stock market. …

Persistent link: https://www.econbiz.de/10011936965