a r t i c l e i n f o The literature on short-selling restrictions focusses mainly on a ban's impact on market efficiency, liquidity and overpricing. Surprisingly, little is known about the effects of short-sale constraints on herd behaviour. Since institutional investors have come to dominate mature stock markets and rely extensively on short sales, constraining these traders may influence the...

The overvaluation hypothesis (Miller 1977) predicts that a) stocks are overvalued when there are short selling restrictions and that b) the overvaluation is increasing in the degree of divergence of opinion. We design an experiment that allows us to test these predictions in the laboratory. Our results support the hypothesis that prices are higher in the presence of short selling constraints. T...

Recognizing the drawbacks of Value-at-Risk (VaR), researchers have advocated the use of Conditional Value-at-Risk (CVaR). However, the current popularity of VaR and Stress Testing (ST) among bank regulators raises the question of whether a risk management system based on both VaR and ST constraints is an effective alternative to a system based on CVaR. We show that when the VaR and ST bounds ar...

This paper examines the international diversification benefits subject to portfolio constraints—in particular, constraints on short selling. We show that the international diversification benefits remain substantial for U.S. equity investors when they are prohibited from short selling in emerging markets. This result is robust to investment restrictions on nonnative individuals. It is also unaf...

In this paper, we are examining the relationship between stock trading costs and commitment components and find both abnormal and normal commitments associated with these costs are associated. Moreover, stock trading costs have a greater influence by both abnormal and normal negative commitments more than positive commitments. Further analysis has shown that in general, investors are unable to ...

We consider the dynamic portfolio choice problem in a jump-diffusion model, where an investor may face constraints on her portfolio weights: for instance, no-short-selling constraints. It is a daunting task to use standard numerical methods to solve a constrained portfolio choice problem, especially when there is a large number of state variables. By suitably embedding the constrained problem i...

A common practice for stock-selling decision making is often concerned with liquidation of the security in a short duration. This is feasible when a relative smaller number of shares of a stock is treated. Selling a large position during a short period of time in the market frequently depresses the market, resulting in poor filling prices. In this work, liquidation strategies are considered for...

The purpose of this research is to determine the effect short-selling restrictions on corporate innovation investments China's publicly traded energy businesses. According external governance theory, it predicted that deregulation short selling serves as a monitoring role for businesses' investments, which are particularly vulnerable efficiency issues. Between 2010 and 2018, multiple linear reg...