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Effects of short-sale restrictions |
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| Authors: | R.Corwin Grube William L. Beedles |
| Affiliation: | University of Kansas, USA;University of Kansas, USA |
| Abstract: | A recently developed simplified portfolio construction scheme is used here to compare empirically the characteristics of optimal equity holdings with and without restrictions on the sale of borrowed securities. Among other results, unrestricted portfolios are found to have less overall risk, and more return per unit of portfolio risk, than positions restricted to long-only holdings. |
| Keywords: | Address correspondence to: William L. Beedles School of Business University of Kansas Lawrence KS 66045 USA. |
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