The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Short-Sale Constraints, Differences of Opinion, and Overvaluation
Abstract
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.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
Multifactor Explanations of Asset Pricing Anomalies
FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
Brown, S. J., & Warner, J. B. (1985) · Journal of Financial Economics · doi:10.1016/0304-405x(85)90042-x · Cited by 6,488
RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
Miller, E. M. (1977) · The Journal of Finance · doi:10.1111/j.1540-6261.1977.tb03317.x · Cited by 3,701
Fama (1998) · doi:10.1016/s0304-405x(98)00026-9 · Cited by 2,576
Differences of Opinion and the Cross Section of Stock Returns
Diether, K. B., Malloy, C. J., & Scherbina, A. (2002) · The Journal of Finance · doi:10.1111/0022-1082.00490 · Cited by 2,139
Toward an Implied Cost of Capital
Gebhardt, W. R., Lee, C. M. C., & Swaminathan, B. (2001) · Journal of Accounting Research · doi:10.1111/1475-679x.00007 · Cited by 2,000
Constraints on short-selling and asset price adjustment to private information
Diamond, D. W., & Verrecchia, R. E. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90042-0 · Cited by 1,919
Cited by
Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media
Chen, H., De, P., Hu, Y. (., & Hwang, B.-H. (2014) · Review of Financial Studies · doi:10.1093/rfs/hhu001 · Cited by 1,251
Metadata
- Authors
- Boehme, R. D., Danielsen, B. R., & Sorescu, S. M.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2006-06
- Volume
- 41
- Issue
- 2
- Pages
- 455-487
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W2065754958
- Cited by
- 561
- References
- 30
- FWCI
- 44.28
- Type
- journal article
- Language
- en
- Open access
- closed
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