IDEAS home Printed from https://ideas.repec.org/p/cir/cirwor/95s-29.html
   My bibliography  Save this paper

Heterogeneous Expectations, Short Sales Regulation and the Risk Return Relationship

Author

Listed:
  • Jean-François L'Her
  • Jean-Marc Suret

Abstract

No abstract is available for this item.

Suggested Citation

  • Jean-François L'Her & Jean-Marc Suret, 1995. "Heterogeneous Expectations, Short Sales Regulation and the Risk Return Relationship," CIRANO Working Papers 95s-29, CIRANO.
    • Handle: RePEc:cir:cirwor:95s-29
    as

    Download full text from publisher

    File URL: https://cirano.qc.ca/files/publications/95s-29.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Lintner, John, 1969. "The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(4), pages 347-400, December.
    3. Jean†François L'Her & Jean†Marc Suret, 1991. "The reaction of Canadian securities to revisions of earnings forecasts," Contemporary Accounting Research, John Wiley & Sons, vol. 7(2), pages 378-406, March.
    4. Jerome B. Detemple, 1990. "Financial Innovation, Values and Volatilities when Markets Are Incomplete*," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 15(1), pages 47-53, March.
    5. Barry, Christopher B. & Jennings, Robert H., 1992. "Information and Diversity of Analyst Opinion," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 169-183, June.
    6. Peterson, David & Peterson, Pamela, 1982. "The Effect of Changing Expectations upon Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(5), pages 799-813, December.
    7. Bhushan, Ravi, 1989. "Firm characteristics and analyst following," Journal of Accounting and Economics, Elsevier, vol. 11(2-3), pages 255-274, July.
    8. Jarrow, Robert A, 1980. "Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices," Journal of Finance, American Finance Association, vol. 35(5), pages 1105-1113, December.
    9. Mayshar, Joram, 1983. "On Divergence of Opinion and Imperfections in Capital Markets," American Economic Review, American Economic Association, vol. 73(1), pages 114-128, March.
    10. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-1168, September.
    11. Figlewski, Stephen, 1981. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(4), pages 463-476, November.
    12. Hal R. Varian, 1986. "Differences of opinion in financial markets," Proceedings, Federal Reserve Bank of St. Louis, pages 3-40.
    13. Barry, Christopher B. & Brown, Stephen J., 1985. "Differential Information and Security Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(4), pages 407-422, December.
    14. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
    15. David R. Peterson & Donald M. Waldman, 1984. "A Model Of Heterogeneous Expectations As A Determinant Of Short Sales," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(1), pages 1-16, March.
    16. Figlewski, Stephen & Webb, Gwendolyn P, 1993. "Options, Short Sales, and Market Completeness," Journal of Finance, American Finance Association, vol. 48(2), pages 761-777, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Lianfa & Fleisher, Belton M., 2004. "Heterogeneous expectations and stock prices in segmented markets: application to Chinese firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 521-538, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2002. "Breadth of ownership and stock returns," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 171-205.
    2. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
    3. Tanya Gulati & S. K. Bose & Supriyo Roy, 2017. "Short selling restrictions in 2005–2009 in Indian market and underpricing of initial public offerings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 116-135, January.
    4. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
    5. Ma, Chenghu & Hu, Jianqiang & Xu, Yifan, 2018. "Margins on short sales and equilibrium price indeterminacy," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 79-92.
    6. Stephen Morris, 1996. "Speculative Investor Behavior and Learning," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 111(4), pages 1111-1133.
    7. Jean†Franã‡Ois L'Her & Jean†Marc Suret, 1996. "Consensus, Dispersion and Security prices," Contemporary Accounting Research, John Wiley & Sons, vol. 13(1), pages 209-228, March.
    8. Fama, Eugene F. & French, Kenneth R., 2007. "Disagreement, tastes, and asset prices," Journal of Financial Economics, Elsevier, vol. 83(3), pages 667-689, March.
    9. Rui Li & Nan Li & Jiahui Li & Chongfeng Wu, 2018. "Short selling, margin buying and stock return in China market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(2), pages 477-501, June.
    10. Stephen L. Lenkey, 2021. "Informed Trading with a Short-Sale Prohibition," Management Science, INFORMS, vol. 67(3), pages 1803-1824, March.
    11. Lecce, Steven & Lepone, Andrew & McKenzie, Michael D. & Segara, Reuben, 2012. "The impact of naked short selling on the securities lending and equity market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 81-107.
    12. Autore, Don M. & Billingsley, Randall S. & Kovacs, Tunde, 2011. "The 2008 short sale ban: Liquidity, dispersion of opinion, and the cross-section of returns of US financial stocks," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2252-2266, September.
    13. Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018. "Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets," Research in Economics, Elsevier, vol. 72(1), pages 117-146.
    14. Shyu, Yih-Wen & Chan, Kam C. & Liang, Hsin-Yu, 2018. "Spillovers of price efficiency and informed trading from short sales to margin purchases in absence of uptick rule," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 163-183.
    15. Asjeet Lamba & Mohamed Ariff, 2006. "Short selling restrictions and market completeness: the Malaysian experience," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 385-393.
    16. Bai, Min & Li, Xiao-Ming & Qin, Yafeng, 2017. "Shortability and asset pricing model: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 15-29.
    17. Yaping Zhou & Xundi Diao & Dayong Lv, 2023. "Role of OTC options in stock price efficiency: Evidence from the Chinese market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4629-4655, December.
    18. Khan, Mostafa Saidur Rahim & Bremer, Marc & Kato, Hideaki Kiyoshi, 2018. "Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 48(C), pages 85-96.
    19. Callen, Jeffrey L. & Fang, Xiaohua, 2015. "Short interest and stock price crash risk," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 181-194.
    20. Jose Gutierrez & Steve Johnson & Robert Stretcher, 2018. "A synthesized model of short selling constraints and their impact on stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 191-210, January.

    More about this item

    Keywords

    Heterogeneous expectations; Short sales regulation; Dispersion of analysts' forecasts; Anticipations hétérogènes ; Réglementation des ventes à découvert ; Dispersion ; Prévision des analystes;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cir:cirwor:95s-29. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Webmaster (email available below). General contact details of provider: https://edirc.repec.org/data/ciranca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.