作者：Hugonnier, Julien; Prieto, Rodolfo
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); INSEAD Business School
摘要：We study a dynamic general equilibrium model with costly-to-short stocks and heterogeneous beliefs. Costly short sales drive a wedge between the valuation of assets that promise identical cash flows but that are subject to different trading arrangements. In particular, we show that the price of an asset is given by the risk-adjusted present value of its future cash flows, which include both dividends and an endogenous lending yield that we characterize explicitly. This valuation formula implie...
作者：Barardehi, Yashar; Bird, Andrew; Karolyi, Stephen; Ruchti, Thomas
作者单位：Chapman University System; Chapman University; United States Department of the Treasury; Office of the Comptroller of the Currency; United States Department of the Treasury; Office of Financial Research
摘要：Despite strong theoretical predictions based on disagreement, limited empirical evidence links short-selling restrictions to higher prices. We test this relationship using quasi-experimental methods based on rule 201, a threshold-based policy that restricts aggressive short selling when intraday returns cross -10%. When comparing stocks on either side of the threshold in the same hour of trading, we find that the restriction leads to 8% lower short-sale volume and 35 basis points higher daily ...
