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1、AssetPricesUnderShort-SaleConstraintsYangBai,EricC.ChangandJiangWang¤Firstdraft:October15,2003Thisdraft:January28,2006AbstractInthispaper,westudyhowshort-saleconstraintsa®ectassetpriceandmarkete±ciency.Weconsiderafullyrationalexpectationsequilibriummodel,inwhi
2、chinvestorstradefortworeasons,toshareriskandtospeculateonprivateinformation,buttheyfaceshort-saleconstraints.Short-saleconstraintslimitbothtypesoftrades,andthusreducetheallocationalandinformationale±ciencyofthemarket.Limitingshortsalesdrivenbyrisk-sharingsimpl
3、yshiftsthedemandfortheassetupwardsandconsequentlyitsprice.Weshowthatinthepresenceofinformationasymmetry,limitingshortsalesdrivenbyprivateinformationincreasestheuncertaintyabouttheassetasperceivedbyuninformedinvestors,whichreducesthedemandfortheasset.Whenthisin
4、formatione®ectdominates,short-saleconstraintsactuallycauseassetpricestodecreaseandpricevolatilitytoincrease.Moreover,weshowthatshort-saleconstraintscangiverisetodiscretepricedropsaccompaniedbyincreasesinvolatilitywhentheuncertaintyperceivedbyuninformedinvestor
5、ssurgesincertainstates.¤Bai(yangbai@business.hku.hk)andChang(ecchang@business.hku.hk)arefromtheSchoolofBusi-ness,UniversityofHongKong,andWang(wangj@mit.edu)isfromtheSloanSchoolofManagement,MIT,CCFRandNBER.1IntroductionNeo-classicalasset-pricingmodelsrelyonthea
6、ssumptionthatmarketparticipantscanbuy,sellandshortsellsecuritiesatnocost.Inpractice,shortsellingasecurityisnotasstraightforwardassimplesellingorbuying.Variouscostsandlegalandinstitutionalrestrictionsimposeconstraintsonshortselling.1Whereasexistingliteratureatt
7、ributetoshort-saleconstraintsasanontrivialfactorindeterminingassetprices(seeRubinstein(2004)forarecentsurvey),thenatureandthesigni¯canceoftheirimpactremaininconclusive.2Itisoftenhypothesizedthatshort-saleconstraintscauseoverpricing.Inanearlierpaper,Miller(1977
8、)arguesthatasshort-saleconstraintsmaykeepmorepessimisticinvestorsoutofthemarket,pricestendtore°ectamoreoptimisticvaluationthantheyotherwisewould.3Inamulti-periodsetting,Harrisonand
