TY  - BOOK
AU  - Jones,Charles M.
AU  - Lamont,Owen A.
ED  - National Bureau of Economic Research.
TI  - Short Sale Constraints and Stock Returns
T2  - NBER working paper series
PY  - 2001///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - October 2001; Hardcopy version available to institutional subscribers
N2  - Stocks can be overpriced when short sale constraints bind.  We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock.  Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand is high.  We find that stocks that are expensive to short or which enter the borrowing market have high valuations and low subsequent returns, consistent with the overpricing hypothesis. Size-adjusted returns are one to two percent lower per month for new entrants, and despite high costs it is profitable to short them
UR  - https://www.nber.org/papers/w8494
UR  - http://dx.doi.org/10.3386/w8494
ER  -