Short-Sale Constraints, Differences of Opinion, and Overvaluation
Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valua...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 2006-06, Vol.41 (2), p.455-487 |
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| container_end_page | 487 |
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| container_issue | 2 |
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| container_title | Journal of financial and quantitative analysis |
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| creator | Boehme, Rodney D. Danielsen, Bartley R. Sorescu, Sorin M. |
| description | Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met. |
| doi_str_mv | 10.1017/S0022109000002143 |
| format | Article |
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Stocks are not systematically overvalued when either one of these two conditions is not met.</description><subject>Analytical forecasting</subject><subject>Fees</subject><subject>Financial portfolios</subject><subject>Financial securities</subject><subject>Investor behavior</subject><subject>Investors</subject><subject>Modeling</subject><subject>Proxy reporting</subject><subject>Proxy statements</subject><subject>Quantitative analysis</subject><subject>Short sales</subject><subject>Stock prices</subject><subject>Valuation</subject><issn>0022-1090</issn><issn>1756-6916</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2006</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kE9Lw0AQxRdRsFY_gAch4NXozv7NHkurVSgUbfW6bDYbTW2TupsW_fYmptSDOJeB-b038xiEzgFfAwZ5M8OYEMAKt0WA0QPUA8lFLBSIQ9RrcdzyY3QSwuJHRXAPDWZvla_jmVm6aFiVofamKOtwFY2KPHfeldaFqMqj6booi6q8ikyZRdOt81uz3Ji6GZ2io9wsgzvb9T56vrudD-_jyXT8MBxMYstJUsepYJRYZShJGM5lTpNMMe5AEGYt55CnkoAVwmSGQgJWKZqqBDOGjWOWZLSPLru9a199bFyo9aLa-LI5qYmUijFCgTYq6FTWVyF4l-u1L1bGf2nAuv2U_vOpxnPReRahrvzeQKRgknDe8LjjRajd554b_66FpJJrMX7U4xd4YsM56FGjp7sMZpX6Int1v1H_T_ENGLmAvw</recordid><startdate>200606</startdate><enddate>200606</enddate><creator>Boehme, Rodney D.</creator><creator>Danielsen, Bartley R.</creator><creator>Sorescu, Sorin M.</creator><general>Cambridge University Press</general><general>University of Washington School of Business Administration, University of Utah David Eccles School of Business, and New York University Leonard N. 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| ispartof | Journal of financial and quantitative analysis, 2006-06, Vol.41 (2), p.455-487 |
| issn | 0022-1090 1756-6916 |
| language | eng |
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| source | Business Source Complete; JSTOR Archive Collection A-Z Listing; Cambridge University Press Journals Complete |
| subjects | Analytical forecasting Fees Financial portfolios Financial securities Investor behavior Investors Modeling Proxy reporting Proxy statements Quantitative analysis Short sales Stock prices Valuation |
| title | Short-Sale Constraints, Differences of Opinion, and Overvaluation |
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