Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints
研究了借贷约束和卖空约束在投资者异质信念和风险厌恶下的联合效应，发现约束虽不同时生效，但其预期效应导致无风险利率和夏普比率在临界状态内生跳跃，且卖空禁令可能降低股价、增加波动性。
Abstract This paper studies the joint effect of borrowing and short-sale constraints under heterogeneous beliefs and risk aversions. Although the constraints never simultaneously bind in equilibrium, interesting economics emerge in the anticipatory effects of potentially future binding constraints. In particular, the risk-free rate and Sharpe ratio experience endogenous jumps at a critical state, where two equilibria coexist. Moreover, a short-sale ban can lead to a lower stock price and higher volatility depending on the relative tightness between the constraints, and tightening the borrowing constraint during a short-sale ban can also make returns more volatile.