Jiang, Danling; Peterson, David R.; Doran, James S. - In: Journal of Empirical Finance 28 (2014) C, pp. 36-59
idiosyncratic volatility stocks in the presence of binding short-sale constraints. We study three events: IPO lockup expirations …, option introductions, and the 2008 short-sale ban on financial firms. Consistent with our prediction, we show that when short-sale … that biased investor beliefs and binding short-sale constraints contribute to idiosyncratic volatility overpricing. …