Price Convexity and Skewness
构建模型，假设禁止卖空的投资者对公开信号精度存在分歧，得出均衡价格是信号的凸函数，并预测股价对好消息反应更大、收益率偏度与同期收益正相关而与滞后收益负相关等，实证支持了这些预测。
ABSTRACT This paper develops a model in which investors who are prohibited from short selling agree to disagree on the precision of a publicly observed signal. The model implies that the equilibrium price is a convex function of the public signal. The model predicts that (1) the stock price reacts more to good news than to bad news; (2) the skewness of stock returns is positively correlated with contemporaneous returns, but negatively correlated with lagged returns; (3) short sale constraints increase rather than decrease skewness; and (4) disagreement about information precision increases skewness. Empirical tests conducted find supportive evidence for all these predictions.