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Heterogeneous Expectations, Short Sales Regulation and the Risk Return Relationship

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

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  • 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
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    File URL: https://cirano.qc.ca/files/publications/95s-29.pdf
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    References listed on IDEAS

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    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. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-1168, September.
    3. 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.
    4. 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.
    5. 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.
    6. Hal R. Varian, 1986. "Differences of opinion in financial markets," Proceedings, Federal Reserve Bank of St. Louis, pages 3-40.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Bhushan, Ravi, 1989. "Firm characteristics and analyst following," Journal of Accounting and Economics, Elsevier, vol. 11(2-3), pages 255-274, July.
    13. 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.
    14. 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.
    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.
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    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.

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    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

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