“Short-Selling Constraints: The Asymmetric Role of Institutional Ownership, Relative Short Interest, Options and Dividends”

We assess the effect of four short-sale constraints on stock returns in isolation and in combination, in generally falling versus generally rising markets, and considering relative effects for large/mid cap versus small/micro cap firms. We find that across our variety of model specifications, there is substantial evidence that our more fully specified model provides considerable additional explanatory power. We also find that the constraint behavior is asymmetric when testing during generally falling versus generally rising markets, and that smalland micro-cap firms provide important effects when viewed separately. Our results provide substantive pricing differences based on our model specification. JEL Classification: G12; G14