Dalvi, Manoj; Giannikos, Christos; Gousgounis, Eleni - In: Macroeconomics and Finance in Emerging Market Economies 5 (2012) 1, pp. 94-107
This paper tests empirically Hong and Stein's theoretical finding, that in an environment of short sale constraints, investor disagreement over future equity prices leads to negatively skewed return distributions. This study uses data from the Indian equity market to examine the third and fourth...