Bartley R. Danielsen

TL;DR: In this paper, the authors examined the valuation effects of the interaction between differences of opinion and short sale constraints and found that stocks are not systematically overvalued when either one of these two conditions is not met.

TL;DR: In this paper, the authors provide evidence that the documented abnormal returns and changes in short interest around option listings are consistent with the mitigation of short sale constraints resulting from the option introduction, and that both the abnormal return and short interest changes around listing dates can be predicted using ex ante characteristics of the underlying stock.

TL;DR: In this paper, the authors examine the valuation effects of the interaction between differences of opinion and short sale constraints and find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously.

TL;DR: The authors examined the cross-sectional effects of idiosyncratic risk and dispersion of beliefs while controlling for short-sale constraints, and found that when short sale constraints are present, increased analyst dispersion and idiosyncratic volatility produce negative abnormal returns, consistent with Miller (1977).

TL;DR: In this article, the authors theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality.