In the Chinese stock market, the regulatory agency lists qualified stocks on announcement date and permits investors to sell short on the effective date, a practice that allows us to directly study the impact of short sale constraints. Applying an event study to 511 additions, between February...

This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the...