Jiang, Danling; Peterson, David R.; Doran, James S. - In: Journal of Empirical Finance 28 (2014) C, pp. 36-59
Using three natural experiments, we test the hypothesis that investor overconfidence produces overpricing of high idiosyncratic volatility stocks in the presence of binding short-sale constraints. We study three events: IPO lockup expirations, option introductions, and the 2008 short-sale ban on...