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Short sales, institutional investors and the cross-section of stock returns

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Author Info
Nagel, Stefan

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 78 (2005)
Issue (Month): 2 (November)
Pages: 277-309
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Handle: RePEc:eee:jfinec:v:78:y:2005:i:2:p:277-309

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  1. Hirshleifer, David & Teoh, Siew Hong & Yu, Jeff Jiewei, 2009. "Short Arbitrage, Return Asymmetry And The Accrual Anomaly," MPRA Paper 16487, University Library of Munich, Germany. [Downloadable!]
  2. Jiang, Danling, 2006. "Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns," Working Paper Series 2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  3. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach," MPRA Paper 4995, University Library of Munich, Germany, revised 02 Feb 2009. [Downloadable!]
  4. Gerlinde Fellner & Erik Theissen, 2006. "Short Sale Constraints, Divergence of Opinion and Asset Values: Evidence from the Laboratory," Labsi Experimental Economics Laboratory University of Siena 009, University of Siena. [Downloadable!]
  5. Campbell, John Y & Ramadorai, Tarun & Schwartz, Allie, 2007. "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers 6390, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  6. John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2005. "Caught On Tape: Institutional Order Flow and Stock Returns," NBER Working Papers 11439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Han, Bing & Wang, Winghai, 2005. "Institutional Investment Constraints and Stock Prices," Working Paper Series 2004-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  8. Loh, Roger, 2008. "Investor Attention and the Underreaction to Stock Recommendations," Working Paper Series 2008-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  9. Hirshleifer, David & Teoh, Siew Hong & Yu, Jeff Jiewei, 2007. "Do short-sellers arbrtrage accrual-based return anomalies?," MPRA Paper 5510, University Library of Munich, Germany, revised 27 Oct 2007. [Downloadable!]
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