search query: @author Jones, C. M. / total: 3
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| Author: | Jones, C. M. Lamont, O. A. |
| Title: | Short-sale constraints and stock returns |
| Journal: | Journal of Financial Economics
2002 : DEC, VOL. 66:2-3, p. 207-239 |
| Index terms: | Economic history Stock markets Stock returns Short selling Securities |
| Freeterms: | Short-sale constraints |
| Language: | eng |
| Abstract: | The authors 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. They 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-adjusted returns are 1-2 % lower per month for new entrants, and despite high costs it is profitable to short them. |
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