Spanning with Short-Selling Restrictions
AbstractIn principle, the set of attainable payoff vectors is reduced if assets cannot be sold short. However, the authors show that the original space of payoff vectors is spanned despite short sale restrictions if there is one additional asset whose payoff is a positively weighted sum of the payoffs of the original assets. For example, this condition is automatically fulfilled if the original assets are stocks and the additional asset is an index future consisting of these stocks. Copyright 1993 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 48 (1993)
Issue (Month): 2 (June)
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- Michael R. Powers & David M. Schizer & Martin Shubik, 2003.
"Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales,"
Cowles Foundation Discussion Papers
1413, Cowles Foundation for Research in Economics, Yale University.
- David M. Schizer & Michael R. Powers & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers ysm356, Yale School of Management.
- Michael McKenzie & Olan T. Henry, 2007. "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series 1001, The University of Melbourne.
- Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013. "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 53-71.
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