Short-Sale Constraints, Differences of Opinion, and Overvaluation
检验Miller假说，发现同时存在投资者意见分歧和卖空限制的股票会被显著高估，而仅满足其中一个条件时则不会。
Abstract Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met.