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Impact of Short Sale Constraints on Pricing of Restricted Stocks

  • Hai Lin
  • Zhenlong Zheng
Conference paper

Abstract

This paper introduces the short sale constraints into the consumption-portfolio choice of the investor and studies the pricing of restricted stocks under the short sale constraints. The results show that the short sale constraints have a significant impact on the value of restricted stocks.

Keywords

Asset Price MARKOV Decision Process Initial Public Offering Market Portfolio Liquid Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media B.V. 2008

Authors and Affiliations

  • Hai Lin
    • 1
  • Zhenlong Zheng
    • 2
  1. 1.Department of Finance and Wangyanan Institute for Studies in EconomicsXiamen UniversityXiamen,361005China
  2. 2.Department of FinanceXiamen UniversityXiamen,361005China

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