Illiquid assets require a return premium; illiquidity is also a limit-to-arbitrage. We find that Amihud’s (2002) illiquidity premium is significantly higher among underpriced stocks than among overpriced stocks. Excluding the most mispriced stocks leads to a higher and more reliably estimated...

We develop a model of temporary short-selling bans by extending the infinite-horizon speculative bubble model of Scheinkman and Xiong (2003). Our model predicts that a temporary short-selling ban leads to a price inflation that is the highest at the beginning of the ban and gradually converges...

We develop a model of temporary short-selling bans by extending the infinite-horizon speculative bubble model of Scheinkman and Xiong (2003). Our model predicts that a short-selling ban leads to a price inflation that is the highest at the beginning of the ban and gradually converges to zero at...

Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir...