Short Sales Constraints and Momentum in Stock Returns
利用D'Avolio（2002）识别的股票特征构建卖空约束指数，发现该指数与卖空成本和未来收益负相关，并证明1984至2001年间动量收益的大小与卖空约束正相关，且主要由输家股驱动，表明卖空约束阻碍了动量套利。
Abstract: We show that stock characteristics identified by D’Avolio (2002) provide a reliable index of the mostly unobservable short sales constraints. Specifically, we find that this index is positively related to the level of short interest and to short selling costs implied by the disparity in prices in the options and stock markets, and is negatively related to future returns. Using this index, we show that the magnitude of momentum returns for the period 1984 to 2001 is positively related to short sales constraints, and loser stocks rather than winner stocks drive this result. We conclude that short sales constraints are important in preventing arbitrage of momentum in stock returns.