Asset Pricing with Costly Short Sales
研究了一个动态一般均衡模型，其中卖空成本高昂且投资者信念异质，发现卖空成本导致现金流相同但交易安排不同的资产估值出现差异，并推导出包含内生贷款收益的定价公式。
We study a dynamic general equilibrium model with costly-to-short stocks and heterogeneous beliefs. Costly short sales drive a wedge between the valuation of assets that promise identical cash flows but that are subject to different trading arrangements. In particular, we show that the price of an asset is given by the risk-adjusted present value of its future cash flows, which include both dividends and an endogenous lending yield that we characterize explicitly. This valuation formula implies that stocks with low and high shorting costs should offer similar risk-return trade-off once returns are appropriately adjusted for lending revenues and thus, sheds light on recent empirical findings about the explanatory power of shorting costs in the cross-section of returns. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.01887 .