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作者：Jones, CM; Lamont, OA
作者单位：University of Chicago; Columbia University; National Bureau of Economic Research
摘要：Stocks can be overpriced when short-sale constraints bind. We study the costs of shortselling equities from 1926 to 1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand is high. We find that stocks that are expensive to short or which enter the borrowing market have high valuations and low subsequent returns, consistent with the overpricing hypothesis. Size-adjust...
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作者：Krishnamurthy, A
作者单位：Northwestern University
摘要：I document the profits on a trade that is long the old 30-year Treasury bond and short the new 30-year Treasury bond, and is rolled over every auction cycle from June 1995 to November 1999. Despite the systematic convergence of the spread over the auction cycle, the average profits are close to zero. The difference in repo-market financing rates between the two bonds is a significant cost of carry in this trade. I show that variation in the bond/old-bond spread is driven by the Treasury supply...
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作者：Geczy, CC; Musto, DK; Reed, AV
作者单位：University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
摘要：With a year of equity loans by a major lender, we measure the effect of actual short-selling costs and constraints on trading strategies that involve short-selling. We find the loans of initial public offering (IPOs), DotCom, large-cap, growth and low-momentum stocks to be cheap relative to the strategies' documented profits and that investors who can short only stocks that are cheap and easy to borrow can enjoy at least some of the profits of unconstrained investors. Most IPOs are loaned on t...
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作者：D'Avolio, G
作者单位：Harvard University
摘要：To short a stock, an arbitrageur must first borrow it. This paper describes the market for borrowing and lending U.S. equities, emphasizing the conditions generating and sustaining short-sale constraints. A large institutional lending intermediary provided eighteen months (4/ 2000-9/2001) of data on loan supply (shortability), loan fees (specialness), and loan recalls. The data suggest that while loan market specials and recalls are rare on average, the incidence of these short-sale constraint...
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作者：Gromb, D; Vayanos, D
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting positions as a function of wealth. In our model, arbitrage activity benefits all investors because arbitrageurs supply liquidity to the market. However, arbitrageurs might fail to take a socially optimal lev...
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作者：Abreu, D; Brunnermeier, MK
作者单位：Princeton University
摘要：We argue that arbitrage is limited if rational traders face uncertainty about when their peers will exploit a common arbitrage opportunity. This synchronization risk-which is distinct from noise trader risk and fundamental risk-arises in our model because arbitrageurs become sequentially aware of mispricing and they incur holding costs. We show that rational arbitrageurs time the market rather than correct mispricing right away. This leads to delayed arbitrage. The analysis suggests that behav...
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作者：Duffie, D; Gârleanu, N; Pedersen, LH
作者单位：INSEAD Business School; Stanford University; New York University
摘要：We present a model of asset valuation in which short-selling requires searching for security lenders and bargaining over the lending fee. If lendable securities are difficult to locate, then the price of the security is initially elevated, and expected to decline. This price decline is to be anticipated, for example, after an initial public offering, and is increasing in the degree of heterogeneity of beliefs about the future value of the security. The prospect of lending fees may push the ini...
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作者：Chen, J; Hong, H; Stein, JC
作者单位：Harvard University; University of Southern California; Stanford University
摘要：We develop a stock market model with differences of opinion and short-sales constraints. When breadth is low-i.e., when few investors have long positions-this signals that the short-sales constraint is binding tightly, and that prices are high relative to fundamentals. Thus reductions in breadth should forecast lower returns. Using data on mutual fund holdings, we find that stocks whose change in breadth in the prior quarter is in the lowest decile of the sample underperform those in the top d...
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作者：Cohen, RB; Gompers, PA; Vuolteenaho, T
作者单位：Harvard University; Harvard University; National Bureau of Economic Research
摘要：A large body of literature suggests that firm-level stock prices underreact to news about future cash flows; i.e., shocks to a firm's expected cash flows are positively correlated with shocks to expected returns on its stock. We examine the joint behavior of returns, cash-flow news, and trading between individuals and institutions. Institutions buy shares from (sell shares to) individuals in response to positive (negative) cash-flow news, thus exploiting the underreaction phenomenon. Instituti...
