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 ...

short-selling prohibition has been one of the primary assumptions of markowitz mean-variance model. solving markowitz quadratic model creates investment efficient frontier by considering only two return and budget constraints. in order to develop a more realistic portfolio selection model, in this paper, a new mathematical model is developed to allow short-selling under some practical constrain...

Recent turmoil on global financial markets has led to a discussion on which policy measures should or could be taken to stabilize financial markets. One such a measure that resurfaced is the imposition of short-selling constraints. It is conjectured that these shortselling constraints reduce speculative trading and thereby have the potential to stabilize volatile financial markets. The purpose ...

In this paper we study delegated portfolio management when the manager’s ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. The risk-averse manager’s optimal effort is an increasing function of her share in the portfolio’s return. This resul...

This paper develops a model of information acquisition and portfolio choice under short-sale constraints. We show that short-sale constraints reduce information acquisition and both the constraints on short-selling and the reduced information acquisition affect investment decisions. The effects of short-sale constraints on investment decisions and asset prices are driven largely by the effects ...

This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a significant incremental contribution to the investment opportunity set when there is unrestricted short selling. However, no short selling cons...

We analyze the behavior of a monopolistic firm in general equilibrium when the firm’s decision are taken through shareholder voting. We show that, depending on the underlying distribution, rational voting may imply overproduction as well as underproduction, relative to the efficient level. Any initial distribution of shares is an equilibrium, if individuals do not recognize their influence on v...

We analyze the behavior of a monopolistic firm in general equilibrium when the firm’s decision are taken through shareholder voting. We show that, depending on the underlying distribution, rational voting may imply overproduction as well as underproduction, relative to the efficient level. Any initial distribution of shares is an equilibrium, if individuals do not recognize their influence on v...