Constraints on short-selling and asset price adjustment to private information
This paper models effects of short-sale constraints on the speed of adjustment (to private information) of security prices. Constraints eliminate some informative trades, but do not bias prices upward. Prohibiting traders from shorting reduces the adjustment speed of prices to private information, e...
Gespeichert in:
| Veröffentlicht in: | Journal of financial economics 1987-06, Vol.18 (2), p.277-311 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 311 |
|---|---|
| container_issue | 2 |
| container_start_page | 277 |
| container_title | Journal of financial economics |
| container_volume | 18 |
| creator | Diamond, Douglas W. Verrecchia, Robert E. |
| description | This paper models effects of short-sale constraints on the speed of adjustment (to private information) of security prices. Constraints eliminate some informative trades, but do not bias prices upward. Prohibiting traders from shorting reduces the adjustment speed of prices to private information, especially to bad news. Non-prohibitive costs can have the reverse effect, but this is unlikely. Implications are developed about return distributions on information announcement dates. Periods of inactive trade are shown to impart a downward bias to measured returns. An unexpected increase in the short-interest of a stock is shown to be bad news. |
| doi_str_mv | 10.1016/0304-405X(87)90042-0 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_231725202</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>0304405X87900420</els_id><sourcerecordid>1295988458</sourcerecordid><originalsourceid>FETCH-LOGICAL-c574t-ca5c2949bafd908e2d2f5c4e646d65d6943b684c0326a4c4455e4de773c579a43</originalsourceid><addsrcrecordid>eNp9UMFuGyEQRVUq1XH7Bz2smkt72AbYYYFLpcpq2kZRe0mk3hCB2QbLBgewpfx92bjKLUEaBj2992Z4hLxn9DOjbDynA4UeqPjzUclPmlLgPX1FFkxJ3XMp4YQsnihvyGkpa9qOFHpBfq1SLDXbEGvpUuzKXcq1L7jZhPi3s9F3thSs3S4Hh531632pW4y1q2nGDrZiF-KU8tbWkOJb8nqym4Lv_vclubn4dr360V_9_v5z9fWqd0JC7Z0VjmvQt3bymirknk_CAY4w-lH4UcNwOypwdOCjBQcgBIJHKYem1xaGJflw9N3ldL_HUs067XNsIw0fmOSCU95IZ8-RGNdCKwVCNRYcWS6nUjJOpv1ra_ODYdTM8Zo5OzNnZ5Q0j_E2aEkuj7KMO3RPGkRcTyE25GAGy1S7HuaHbtLBhla81W7usiGMmbu6bWZfjmbYMjsEzKa4gNGhDxldNT6Fl7f5B6ksmjo</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1295988458</pqid></control><display><type>article</type><title>Constraints on short-selling and asset price adjustment to private information</title><source>RePEc</source><source>Elsevier ScienceDirect Journals</source><source>Periodicals Index Online</source><creator>Diamond, Douglas W. ; Verrecchia, Robert E.</creator><creatorcontrib>Diamond, Douglas W. ; Verrecchia, Robert E.</creatorcontrib><description>This paper models effects of short-sale constraints on the speed of adjustment (to private information) of security prices. Constraints eliminate some informative trades, but do not bias prices upward. Prohibiting traders from shorting reduces the adjustment speed of prices to private information, especially to bad news. Non-prohibitive costs can have the reverse effect, but this is unlikely. Implications are developed about return distributions on information announcement dates. Periods of inactive trade are shown to impart a downward bias to measured returns. An unexpected increase in the short-interest of a stock is shown to be bad news.</description><identifier>ISSN: 0304-405X</identifier><identifier>EISSN: 1879-2774</identifier><identifier>DOI: 10.1016/0304-405X(87)90042-0</identifier><identifier>CODEN: JFECDT</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Asked price ; Assets ; Bid price ; Constraints ; Impacts ; Information ; Mathematical models ; Prices ; Private ; Rational expectations ; Short sales ; Spread ; Stock prices ; Valuation</subject><ispartof>Journal of financial economics, 1987-06, Vol.18 (2), p.277-311</ispartof><rights>1987</rights><rights>Copyright Elsevier Sequoia S.A. Jun 1987</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c574t-ca5c2949bafd908e2d2f5c4e646d65d6943b684c0326a4c4455e4de773c579a43</citedby><cites>FETCH-LOGICAL-c574t-ca5c2949bafd908e2d2f5c4e646d65d6943b684c0326a4c4455e4de773c579a43</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/0304-405X(87)90042-0$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3536,3993,27848,27903,27904,45974</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejfinec/v_3a18_3ay_3a1987_3ai_3a2_3ap_3a277-311.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Diamond, Douglas W.</creatorcontrib><creatorcontrib>Verrecchia, Robert E.</creatorcontrib><title>Constraints on short-selling and asset price adjustment to private information</title><title>Journal of financial economics</title><description>This paper models effects of short-sale constraints on the speed of adjustment (to private information) of security prices. Constraints eliminate some informative trades, but do not bias prices upward. Prohibiting traders from shorting reduces the adjustment speed of prices to private information, especially to bad news. Non-prohibitive costs can have the reverse effect, but this is unlikely. Implications are developed about return distributions on information announcement dates. Periods of inactive trade are shown to impart a downward bias to measured returns. An unexpected increase in the short-interest of a stock is shown to be bad news.</description><subject>Asked price</subject><subject>Assets</subject><subject>Bid price</subject><subject>Constraints</subject><subject>Impacts</subject><subject>Information</subject><subject>Mathematical models</subject><subject>Prices</subject><subject>Private</subject><subject>Rational expectations</subject><subject>Short sales</subject><subject>Spread</subject><subject>Stock prices</subject><subject>Valuation</subject><issn>0304-405X</issn><issn>1879-2774</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1987</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><sourceid>K30</sourceid><recordid>eNp9UMFuGyEQRVUq1XH7Bz2smkt72AbYYYFLpcpq2kZRe0mk3hCB2QbLBgewpfx92bjKLUEaBj2992Z4hLxn9DOjbDynA4UeqPjzUclPmlLgPX1FFkxJ3XMp4YQsnihvyGkpa9qOFHpBfq1SLDXbEGvpUuzKXcq1L7jZhPi3s9F3thSs3S4Hh531632pW4y1q2nGDrZiF-KU8tbWkOJb8nqym4Lv_vclubn4dr360V_9_v5z9fWqd0JC7Z0VjmvQt3bymirknk_CAY4w-lH4UcNwOypwdOCjBQcgBIJHKYem1xaGJflw9N3ldL_HUs067XNsIw0fmOSCU95IZ8-RGNdCKwVCNRYcWS6nUjJOpv1ra_ODYdTM8Zo5OzNnZ5Q0j_E2aEkuj7KMO3RPGkRcTyE25GAGy1S7HuaHbtLBhla81W7usiGMmbu6bWZfjmbYMjsEzKa4gNGhDxldNT6Fl7f5B6ksmjo</recordid><startdate>19870601</startdate><enddate>19870601</enddate><creator>Diamond, Douglas W.</creator><creator>Verrecchia, Robert E.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>North-Holland in collaboration with the Graduate School of Management, University of Rochester</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>GHEHK</scope><scope>JQCIK</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19870601</creationdate><title>Constraints on short-selling and asset price adjustment to private information</title><author>Diamond, Douglas W. ; Verrecchia, Robert E.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c574t-ca5c2949bafd908e2d2f5c4e646d65d6943b684c0326a4c4455e4de773c579a43</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1987</creationdate><topic>Asked price</topic><topic>Assets</topic><topic>Bid price</topic><topic>Constraints</topic><topic>Impacts</topic><topic>Information</topic><topic>Mathematical models</topic><topic>Prices</topic><topic>Private</topic><topic>Rational expectations</topic><topic>Short sales</topic><topic>Spread</topic><topic>Stock prices</topic><topic>Valuation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Diamond, Douglas W.</creatorcontrib><creatorcontrib>Verrecchia, Robert E.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 08</collection><collection>Periodicals Index Online Segment 33</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Diamond, Douglas W.</au><au>Verrecchia, Robert E.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Constraints on short-selling and asset price adjustment to private information</atitle><jtitle>Journal of financial economics</jtitle><date>1987-06-01</date><risdate>1987</risdate><volume>18</volume><issue>2</issue><spage>277</spage><epage>311</epage><pages>277-311</pages><issn>0304-405X</issn><eissn>1879-2774</eissn><coden>JFECDT</coden><abstract>This paper models effects of short-sale constraints on the speed of adjustment (to private information) of security prices. Constraints eliminate some informative trades, but do not bias prices upward. Prohibiting traders from shorting reduces the adjustment speed of prices to private information, especially to bad news. Non-prohibitive costs can have the reverse effect, but this is unlikely. Implications are developed about return distributions on information announcement dates. Periods of inactive trade are shown to impart a downward bias to measured returns. An unexpected increase in the short-interest of a stock is shown to be bad news.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0304-405X(87)90042-0</doi><tpages>35</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 1987-06, Vol.18 (2), p.277-311 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_231725202 |
| source | RePEc; Elsevier ScienceDirect Journals; Periodicals Index Online |
| subjects | Asked price Assets Bid price Constraints Impacts Information Mathematical models Prices Private Rational expectations Short sales Spread Stock prices Valuation |
| title | Constraints on short-selling and asset price adjustment to private information |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-21T22%3A59%3A32IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Constraints%20on%20short-selling%20and%20asset%20price%20adjustment%20to%20private%20information&rft.jtitle=Journal%20of%20financial%20economics&rft.au=Diamond,%20Douglas%20W.&rft.date=1987-06-01&rft.volume=18&rft.issue=2&rft.spage=277&rft.epage=311&rft.pages=277-311&rft.issn=0304-405X&rft.eissn=1879-2774&rft.coden=JFECDT&rft_id=info:doi/10.1016/0304-405X(87)90042-0&rft_dat=%3Cproquest_cross%3E1295988458%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1295988458&rft_id=info:pmid/&rft_els_id=0304405X87900420&rfr_iscdi=true |