EconPapers    
Economics at your fingertips  
 

A synthesized model of short selling constraints and their impact on stock returns

Jose Gutierrez (), Steve Johnson () and Robert Stretcher ()
Additional contact information
Jose Gutierrez: Sam Houston State University
Steve Johnson: Sam Houston State University
Robert Stretcher: Sam Houston State University

Journal of Economics and Finance, 2018, vol. 42, issue 1, No 9, 210 pages

Abstract: Abstract This paper presents a synthesized model explaining the returns of short-sale constrained stocks. We combine short-sale constraints that were previously treated individually or in pairs into a more fully specified model. The model is also specified in generally falling versus generally rising markets, and in consideration of relative effects for large/mid-cap versus small/micro-cap firms. There is evidence that a more fully specified model provides additional insight with less factor omission bias than prior models. Beyond that, our results indicate asymmetric pricing differences between least versus most short-sale constrained stocks, sensitive to overall market direction.

Keywords: Short-sell constraints; Asymmetry; Relative short interest; Institutional ownership; Options; Dividends (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G17 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s12197-017-9393-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9393-y

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/s12197-017-9393-y

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-20
Handle: RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9393-y