Andrikopoulos, Panagiotis; Clunie, James; Siganos, Antonios - In: The European Journal of Finance 19 (2013) 1, pp. 19-35
This study uses stock lending data from Data Explorers to assess the impact of short-selling constraints on the profitability of eight investment strategies. Returns from unconstrained long--short portfolios are compared with those from ‘feasible’ portfolios, constrained to short-selling...