rent controls and rental housing quality a note on the effects of new york city s old controls rent controls are used in many cities throughout the united states and many other countries there is a lengthy literature on the conceptual effects of rent controls this is not surprising given the size of housing in the u s asset base and the political importance attached to homeownership and quality housing it is surprising how little evidence there is on many of the supposed effects of rent controls the evidence on these impacts is relatively slim for a variety of reasons first the data needed to document some of the predicted impacts are not good for example it is difficult to measure effective maintenance inputs and it is costly to obtain any such data on a wide variety of buildings convincing ceteris paribus experiments are difficult to perform because there typically are many other factors for which it is hard to control additionally the negative theoretical implications appear to be so clear that many economists may not have felt much need to quantify the extent of the damage nevertheless there is some evidence on the influences of rent controls from studies estimating the price elasticity of the supply of structures economists have estimated the likely effect of rent controls on the supply of new structures in a city rydell et al lo and fallis and smith 3 have

measuring the affordability of home ownership typical measures of the affordability of home ownership are based on aggregate data that ignore the distribution of incomes and wealth and the range of house prices an analysis of household survey

the determinants of homeownership affordability among the sandwich class empirical findings from guangzhou china the sandwich class is an east asian term referring to the lower middle class using a large and unique micro dataset collected in guangzhou this paper examines empirically the potential determin

short sales are almost instantaneously bad news evidence from the australian stock exchange this paper investigates the market reaction to short sales on an intraday basis in a market setting where short sales are transparent immediately following execution we find a mean reassessment of stock value following short sales of up to 0 20 percent with adverse information impounded within fifteen minutes or twenty trades short sales executed near the end of the financial year and those related to arbitrage and hedging activities are associated with a smaller price reaction trades near information events precipitate larger price reactions the evidence is generally weaker for short sales executed using limit orders relative to market orders this article analyzes the intraday price behavior surrounding short sales executed using market and limit orders within a transparent setting a number of recent studies have focused on daily or monthly stock price behavior surrounding short selling activity in u s markets e g senchack and starks 1993 figlewski and webb 1993 conrad 1994 hanley and seyhun 1994 asquith and meulbroek 1996 and dechow et al 1997 this research has been motivated by the continued interest of market regulators i n short selling activity and the controversy surrounding the desirability restrictions and disclosure requirements related to short selling see janvey 1992 and ramsay 1993 in particular several studies such as that by figlewski and webb 1993 have examined the relationship between short positions and subsequent abnormal returns without finding a strong relationship asquith and meulbroek 1996 in contrast focus on firms with large short positions and find a strong and consistent relationship dechow et al 1997 find a correlation between short selling strategies and strategies based on fundamental analysis these results are consistent with short sellers being able to identify

the dynamics of real estate prices institute of university of i business and v california at i economic research berkeley fisher center for real estate and urban economics p working paper series working paper no 88 151 the dynamics of real estate prices by these papers are preliminary in nature their purpose is to i e z i d 2f iz e ey bradford case are nottobccited ortluotedin john mq quigley any publication without the ex press permission of the author walter a haas school of business

more on estimation risk and simple rules for optimal portfolio selection for the risk averse investor consideration of estimation risk is important in selecting an expected utility maximizing portfolio it has previously been shown that the composition of the tangency portfolio is unaffected by the recognition of estimation risk if the full covariance model is used alternatively if the market model is used the composition of the tangency portfolio has been shown to be affected by the recognition of estimation risk however as is demonstrated in this paper the effect will generally not be as substantive as previously believed and in many situations can be safely ignored in order to determine the composition and location of an efficient frontier from which an optimal portfolio will be selected the investor must employ estimates of expected returns variances and covariances for the set of securities under consideration if the investor simply treats the estimated parameter values for the securities as true parameter values then estimation risk will have been ignored and as shown by barry 1 and klein and bawa 14 15 a suboptimal portfolio will most likely have been selected bawa brown and klein 6 and klein and bawa 14 discuss the effects of estimation risk on the selection of an optimal portfolio from a set of risky assets and note that the location but not the composition of the efficient frontier changes when estimation risk is recognized if security returns are generated by a stationary multivariate normal distribution for which the investor has a diffuse prior furthermore brown 8 has shown these results to be robust for severe misspecification of the underlying multivariate distribution of returns e g assuming it to be normal when in actuality it is student t with small degrees of freedom this paper is concerned with the effects of estimation risk on the composition of the tangency portfolio derived from a set of risky assets and a risk free asset under the assumption that the investor has a diffuse prior 1 barry 2 bawa and brown 4 and brown 7 have shown analytically that the composition of the tangency portfolio is unaffected by estimation risk if the full covariance model is used chen and brown 10 have expanded upon the work of brown 9 and have argued that if security returns are generated by the market model then the composition of the tangency portfolio will be substantively different when estimation risk is recognized

portfolio selection under institutional procedures for short selling normative and market equilibrium considerations abstract in view of the acceptance of short selling of stocks as an investment tool in the portfolio context by a growing number of institutional investors in recent years the present study considers both normative and market equilibrium aspects of portfolio selection with short selling under the full information covariance structure of security returns the study accurately captures institutional procedures for short selling without sacrificing analytical tractability while short selling enhances the portfolio s risk return trade off from a normative perspective the equilibrium analysis reveals that there is a continuum of market clearing prices within two boundaries for each security economic implications of the equilibrium pricing relationship are also explored in the study

the quasi normative approach to housing affordability the case of the czech republic the article attempts to contribute to the discussion on housing affordability and the use of affordability measures for normative purposes the approach applied in this article is based on the estimation of economic quasi norms on rent levels in rent controlled social housing by looking at total public costs at different rent levels the quasi norms determining rents could be used for estimation of quasi norms determining optimal housing affordability ratios as quasi norms are set according to an econometric simulation output they are less subjective than the usual normative decisions of policy makers this approach may have a significant relevance for some transitional countries and therefore the czech republic is used as a case study the results show that there is a relatively large scope for further increases in rents in the czech rent controlled housing sector and scientific research can be thus employed to inform rent setting and via that optimal levels of housing affordability

an economic analysis of interest rate swaps interest rate swaps a financial innovation in recent years are based upon the principle of comparative advantage an interest rate swap is a useful tool for active liability management and for hedging against interest rate risk the purpose of this paper is to provide a simple economic analysis of interest rate swaps alternative uses of and the appropriate valuation procedure for interest rate swaps are described the significant increase in both the levels and the volatilities of market interest rates since the late 70 s has resulted in substantially higher interest rate risks faced by business firms and financial institutions the problem and consequences of interest rate risk exposure are particularly serious for firms in which the duration of assets does not match the duration of the liabilities for instance most financial institutions and many corporations financed long term fixed rate assets with short term floating rate liabilities such firms lose when the shortterm interest rates in the market rise unexpectedly because for given fixed rates of return on their assets the short term interest costs that they have to pay rise with the market interest rates conversely these firms gain from an unexpected decline in short term market interest rates in recent years the introduction and the development of new financial products in the capital markets such as interest rate futures interest rate options and interest rate swaps represent logical responses to the increased need to reduce firms exposure to interest rate risk

the relationship between short interest and stock returns in the canadian market abstract this paper provides new insight into the relationship between short sales and stock market returns using a sample of stocks sold short in canada short interest is defined in relation to trading volume the results strongly support the assertion that short sales and excess returns are contemporaneously negatively correlated in canada the paper further finds that excess returns are more negative for small firms because the supply of shortable shares is constrained for these firms excess returns are less negative for stocks with associated options and convertible bonds importantly the evidence is consistent with the proposition that informed traders short sell canadian interlisted stocks in canada rather than the us to exploit lower execution costs together the results suggest that less restrictive regulation of short sales will improve the efficiency of markets

an analysis of household mobility and tenure choice an empirical study of korea abstract this paper develops a model of households joint mobility tenure decisions which improves upon the sole existing model in two important ways first the probabilistic structure is appropriately framed to capture the simultaneity of the mobility and tenure decisions second the model is based more directly on utility maximization theory an additionally distinguishing characteristic of the model is the fact that all independent variables in the estimation are expressed in flow terms this is done in an effort to more truly reflect their importance in the decision making of the household the model is estimated using microlevel data from korea the coefficients and derived elasticities are consistent with expectations and korean households are found to behave in a manner similar to that in the united states this suggests that the basic motivations underlying households mobility tenure decisions are invariant across countries

credit rationing concessionary lending and debt maturity abstract a firm raises capital for a two period investment while creditors observe the project status midstream unobservable managerial perks may consume capital each period when the firm is unfortunate early on short term financing results in either concessionary lending or costly liquidation rolling over short term debt may be problematic because the high risk premium creditors demand when asset value is low relative to debt impares managerial motivation precisely when the incentive to defer perk consumption is weakest long term financing may reduce total agency costs be enabling lenders to charge higher initial premia in effect shifting loan repayments to states in which incentive constraints are non binding

short sale restrictions and market reaction to short interest announcements according to the diamond verrecchia hypothesis if increases in short interest are correlated with information that is not yet public they should precipitate a price adjustment stocks with unexpected increases in short interest are found to generate statistically significant but small negative abnormal returns for a short period around the announcement date when the sample is divided into stocks with and without tradable options nonoptioned stocks closely mimic these results but the optioned stocks do not in a cross sectional analysis of individual firms the short term negative abnormal returns are found to be 1 more negative the higher the degree of unexpected short interest and 2 less negative if the firm has tradable options

risk arbitrage in takeovers this article studies the role of risk arbitrageurs in takeovers and the source of their advantage we show how the presence of arbitrageurs affects the value of the target shares since arbitrageurs are more likely to tender therefore an arbitrageur has the informational advantage of knowing he bought shares in equilibrium the number of arbitrageurs buying shares and the price they pay are determined endogenously we also present several empirical implications including the relationship among trading volume takeover premium liquidity of the shares and the number of risk arbitrageurs investing in one particular deal copyright 2002 oxford university press

capital asset prices with and without negative holdings prize lecture to the memory of alfred nobel december 7 1990 this abstract was borrowed from another version of this item

portfolio optimization with factors scenarios and realistic short positions this paper presents fast algorithms for calculating mean variance efficient frontiers when the investor can sell securities short as well as buy long and when a factor and or scenario model of covariance is assumed currently fast algorithms for factor scenario or mixed factor and scenario models exist but except for a special case of the results reported here apply only to portfolios of long positions factor and scenario models are used widely in applied portfolio analysis and short sales have been used increasingly as part of large institutional portfolios generally the critical line algorithm cla traces out mean variance efficient sets when the investor s choice is subject to any system of linear equality or inequality constraints versions of cla that take advantage of factor and or scenario models of covariance gain speed by greatly simplifying the equations for segments of the efficient set these same algorithms can be used unchanged for the long short portfolio selection problem provided a certain condition on the constraint set holds this condition usually holds in practice

the price effect of option introduction this paper examines the price effect of option introduction from 1974 to 1980 the introduction of individual options causes a permanent price increase in the underlying security beginning approximately three days before introduction the price effect appears to be associated with introduction and not announcement throughout the sample period excess returns volatility declines with option introduction systematic risk is unchanged there is a positive relation between the price increase and a measure of activity in the options market copyright 1989 by american finance association

misspecification of capital asset pricing this study documents empirical anomalies which suggest that either the simple one period capital asset pricing model capm is misspecified or that capital markets are inefficient in particular portfolios based on firm size or earnings price e p ratios experience average returns systematically different from those predicted by the capm furthermore the abnormal returns persist for at least two years this persistence reduces the likelihood that these results are being generated by a market inefficiency rather the evidence seems to indicate that the equilibrium pricing model is misspecified however the data also reveals that an e p effect does not emerge after returns are controlled for the firm size effect the firm size effect largely subsumes the e p effect thus while the e p anomaly and value anomaly exist when each variable is considered separately the two anomalies seem to be related to the same set of missing factors and these factors appear to be more closely associated with firm size than e p ratios

the real effects of short selling constraints we use a regulatory experiment regulation sho that relaxes short selling constraints on a random sample of u s stocks to test whether capital market frictions have an effect on stock prices and corporate decisions we find that an increase in short selling activity causes prices to fall and that small firms react to these lower prices by reducing equity issues and investment these results not only provide evidence that short selling constraints affect asset prices but also confirm that short selling activity has a causal impact on financing and investment decisions

earnings announcements stock price adjustment and the existence of option markets this paper employs a new approach to study the effects of option trading on the behavior of underlying stock prices extant research compares distributional properties of the stock price at two points in time divided by an event in the option market that might affect price behavior as an alternative we examine the stock price adjustment to the release of quarterly earnings using samples of firms with and without listed options we find the two samples exhibit different adjustment processes with the nonoption firms requiring substantially more time to adjust since the advent of organized stock option trading the investment community

eighths sixteenths and market depth changes in tick size and liquidity provision on the nyse using limit order data provided by the nyse we investigate the impact of reducing the minimum tick size on the liquidity of the market while both spreads and depths quoted and on the limit order book declined after the nyse s change from eighths to sixteenths depth declined throughout the entire limit order book as well the combined e ect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better o however traders who submitted

the information content of short interest a natural experiment an increase in the cost of selling short should increase the bearish information content of short interest announcements by driving relatively uninformed short sellers out of the market we extend the diamond and verrecchia 1987 model to include short selling against the box and test the extended model using a natural experiment based around the taxpayer relief act of 1997 tra97 tra97 made short selling more costly for those shorting against the box consistent with the implications of our extended model this increase in short selling costs strengthens the negative relationship between short interest and subsequent stock price performance post tra97

short selling and efficient sets the effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways however the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered the elton gruber padberg algorithm 1976 1978 subject to certain modifications is shown here to be capable of identifying the efflcient set under such conditions when harry markowitz 1952 developed the notion of efficient sets as a method of identifying an investor s optimal portfolio he did so in a setting where short selling was prohibited since then the effect of short selling on the composition and location of the efficient set has been considered in a variety of ways for example lintner 1965 suggested that short sales be treated from the perspective of a broker dealer where an amount of money equal to the short proceeds must be put up as initial margin with the short seller receiving riskfree interest on both the short proceeds and the margin alternatively black 1972 and merton 1972 assumed that the short seller did not have to put up any initial margin and that the short seller actually got the use of the short proceeds more recently dyl 1975 has assumed that the short seller must put up initial margin that is less than the short proceeds but receives no interest on either the margin or short proceeds this paper is concerned with the generation of efficient sets where short selling is allowed but with certain restrictions attached to it referred to hereafter as restricted short selling in particular initial margin is required but can be met by depositing interest bearing securities with the brokerage firm where the short seller s account is kept furthermore the model allows the short seller to earn interest on the short proceeds accordingly the model

active portfolio management with benchmarking adding a value at risk constraint abstract we examine the impact of adding a value at risk var constraint to the problem of an active manager who seeks to outperform a benchmark while minimizing tracking error variance tev by using the model of roll 1992 a mean variance analysis of tracking error journal of portfolio management 18 13 22 we obtain three main results first portfolios on the constrained mean tev boundary still exhibit three fund separation but the weights of the three funds when the constraint binds differ from those in roll s model second the constraint mitigates the problem that when an active manager seeks to outperform a benchmark using the mean tev model he or she selects an inefficient portfolio finally when short sales are disallowed the extent to which the constraint reduces the optimal portfolio s efficiency loss can still be notable but is smaller than when short sales are allowed

an analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies the notion that a real security is redundant when it can be synthesized by a dynamic trading strategy ignores the informati onal role of real securities markets portfolio insurance uses a dyna mic strategy to synthesize a european put the absence of trading in an appropriate real put option prevents the transmittal of informatio n to market participants about the future price volatility associated with current dynamic hedging strategies less information is transmi tted to potential liquidity providers it will therefore be more di fficult for the market to absorb the trades implied by the dynamic he dging strategies and the stocks future price volatility will rise copyright 1988 by the university of chicago

estimation risk and simple rules for optimal portfolio selection elton gruber and padberg egp 6 7 have recently simplified the process of constructing optimal portfolios by developing simple criteria for optimal portfolio selection which do not involve use of mathematical programming their simple decision rules permit one to determine easily which securities to include in an optimal portfolio and how much to invest in each however in practical applications of theoretical models sample estimators are usually treated as if they were true values of unknown parameters as a result the effect of the standard errors of sample estimators on decision rules are completely ignored bawa brown and klein 1 have shown that what is optimal in the absence of estimation risk is not necessarily optimal or even approximately optimal in the presence of estimation risk moreover brown 4 examined optimal portfolio choice under uncertainty for various portfolio selection procedures the diffuse bayes rule the markowitz certainty equivalent ce rule the aggregation ce rule and the equal weight rule 1 and found that the diffuse bayes rule uniformly dominates the markowitz ce rule in repeated samples for the quadratic utility case as the sample size increases the bayes rule becomes superior to the aggregation ce and the equal weight rules in addition the result holds even where the probability distribution of returns is seriously misspecified thus brown s 4 study has clearly indicated that without taking estimation risk into account portfolio selection rules other than the bayes rule can lead investors to select suboptimal portfolios this paper shows by using the single index model for the return generating process that the simple decision rules for optimal portfolio selection derived by elton gruber and padberg 7 are not identical under the bayesian and the traditional methods of analysis 2 moreover in the case where short sales are not

interest rate swaps in an agency theoretic model with uncertain interest rates abstract this paper reconciles market participants claims that interest rate swap financing may reduce financing costs through comparative advantage with academic arguments questioning the existence of comparative advantage the findings suggest that the combination of short term debt and interest rate swap may reduce financing costs by allowing high risk firms to reduce agency costs without incurring interest rate risk

an empirical test of agency cost reduction using interest rate swaps abstract this paper tests a model based on wall s wall l 1989 journal of banking and finance 13 261 270 hypothesis of agency cost reduction using interest rate swaps we find a significant positive relationship between the risk of the firm and the reduction of agency costs measured by the continuously compounded excess return car of the firm our findings are consistent with wall s hypothesis and other theories of swap transactions and in explaining the existence and growth of the swap market

car dependence and housing affordability an emerging social deprivation issue in london this paper investigates the combined problem of high car dependence and housing affordability in view of likely continued volatility in oil prices and hence higher petrol and diesel prices and rising house prices household budgets are likely to be stretched where there are high levels of car dependency and housing unaffordability with little flexibility for rising costs in either or both of these a composite car dependence and housing affordability cdha index is developed using indices of oil vulnerability related to car travel and housing affordability greater london is used as the case study with 2001 and 2011 data analysed at the level of lower super output areas and presented using geographic information system and r statistical software the findings reveal that there are high levels of composite car dependence and housing price vulnerability in many suburban areas across greater london adding to the previous areas of social deprivation found mainly in east london the composite cdha i

on the optimal selection of portfolios under limited diversification abstract we address the problem of selecting portfolios which maximize the ratio of the average excess return to the standard deviation among all those portfolios which comprise at most a pre specified number k of securities under the assumptions of constant pairwise correlations and no short selling we argue that the simple ranking procedure of elton gruber and padberg effectively solves the problem for all values of k and that as a function of k the optimal ratio increases at a decreasing rate we also clarify why further generalization or extension of our results to other situations is improbable

the informational effects of restrictions on short sales some empirical evidence in a world of heterogeneous investors a competitive financial market has two major functions first it is the mechanism by which ownership of the existing supply of risky assets is distributed among investors this is the role which is analyzed in detail by the standard capital asset pricing model capm and its many extensions the second important market function is to aggregate the diverse information held by different investors into a single price most versions of the capm eliminate the information aggregation function by assuming that investors hold homogeneous beliefs with respect to the probability distribution of asset returns exceptions which deal with some aspects of the problem are lintner 7 grossman 4 grossman and stiglitz 5 and figlewski 1 3

short interest explanations and tests cross sectional and time series tests are performed to explain levels and changes in short interest explanatory variables and tests are chosen based on tax arbitrage and speculative reasons for going short short interest is found to follow a seasonal pattern that is weakly consistent with tax based trading stocks with high betas and the existence of convertible securities or options tend to have higher levels of short interest which is con sistent with arbitrage efforts for firms with traded options there is a positive association between the month to month changes in option open interest and short interest prior months returns and changes in short interest are positively related but there is no rela tionship between changes in short interest and returns in the subsequent month

margin short selling and lotteries in experimental asset markets the robustness of bubbles and crashes in markets for assets with finite lives is perplexing this paper reports the results of experimental asset markets in which participants trade two assets in some markets price bubbles form in these markets traders pay higher prices for the asset with lottery characteristics i e a claim on a large unlikely payoff however institutional design has a significant impact on deviations in prices from fundamental values particularly for an asset with lottery characteristics price run ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell

quantifying the decision to become a first time home buyer becoming a first time homebuyer is quantified in two stages using household data a renter demand curve is estimated to calculate the consumer surplus gain from moving into housing consumption equilibrium probit is used to estimate the probability of becoming a first time homebuyer the model suggests that overcoming the transactions cost of buying and the gain from housing consumption equilibrium are important to the decision renting is explained by current housing demand through income and family size buying for the first time is explained by factors which reduce transactions costs such as assets marital status and education disequilibrium in rental housing consumption is also important the results further suggest that permanent income is not important to the decision

a note on simple criteria for optimal portfolio selection using sharpe s 7 single index model elton gruber and padberg egp 4 5 have established some simple ranking criteria for optimal portfolio selection a further extension has been made by chen and brown 2 and alexander and resnick 1 to incorporate the risk associated with the estimation of input parameters this note explores the economic rationale underlying the portfolio formation process based on the single index model in so doing we seek to enhance the intuitive appeal of the simplified portfolio criteria developed in the above studies to practitioners to this end we restate the egp solution with short sales allowed as

deposit insurance market discipline and off balance sheet banking risk of large u s commercial banks abstract the market discipline of off balance sheet banking activities obsas is examined by employing contingent claims valuation techniques to derive implied asset variances from bank equity and from risk premia for bank subordinated debt specifically implied asset variances have been calculated from market and on and off balance sheet information using options pricing techniques theoretically these implied asset variances are better than equity variance or risk premia in proxying bank risk because they capture portfolio effects as well as the non linear nature of contingent claims model and the impact of closure rules empirical results suggest the existence of market discipline of obsas market participants price these obsas as risk reducing

convertible bond arbitrage liquidity externalities and stock prices abstract in the context of convertible bond issuance we examine the impact of arbitrage activity on underlying equity markets in particular we use changes in equity short interest following convertible bond issuance to identify convertible bond arbitrage activity and analyze its impact on stock market liquidity and prices for the period 1993 to 2006 there is considerable evidence of arbitrage induced short selling resulting from issuance moreover we find strong evidence that this activity is systematically related to liquidity improvements in the stock these results are robust to controlling for the potential endogeneity of arbitrage activity

equity and efficiency aspects of rent control an empirical study of new york city modem rent controls arose during world war ii to deal with the war related influx into urban areas since then numerous cities have either considered adopted or eliminated rent controls the policy debate about the desirability of rent controls continues unabated and becomes particularly acute when high inflation rates drive up rents rapidly rent controls have both efficiency and distributional consequences the economics literature has produced theoretical insights about the inefficiencies created by rent controls this literature is frequently cited by opponents of rent controls who argue that the efficiency costs of rent controls are manifested in a decaying housing stock and altered mobility patterns proponents of rent control invariably argue that the distributional impacts of rent controls outweigh efficiency costs considering the large number of cities that have investigated or adopted rent controls relatively little empirical research documents either the efficiency or distributional effects of rent controls the most notable exceptions are the studies of new york city by de salvo 3 olsen 13 and roistacher 15 and the studies of los angeles by rydell et al 16 and fallis and smith 4 more recently linneman lo and marks 12 have further examined ramifications of rent controls in new york city and vancouver this paper fills some gaps in knowledge about the effects of rent controls we examine rent controls in new york city in 1968 using the new york city housing and vacancy survey 2 the paper extends the work of olsen 13 although there are important differences in both the questions addressed and methodology used this paper examines in detail the distributional consequences of rent controls for new york city residents both

institutions and individuals at the turn of the year this article evaluates the tax loss selling hypothesis against the window dressing hypothesis as explanations for turn of the year anomalies we examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former controlling for capitalization we find that in early january late december stocks with greater individual investor interest outperform underperform stocks with greater institutional investor interest these results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value the results are most consistent with the tax loss selling hypothesis as an explanation for the turn of the year effect

options short sales and market completeness this paper presents empirical evidence that trading in options contributes to both transactional and informational efficiency of the stock market by reducing the effect of constraints on short sales the significantly higher average level of short interest exhibited by optionable stocks supports the argument that options facilitate short selling we also find significant effects on option prices related to the short interest in the underlying stock we then present evidence that options also increase information efficiency earlier work that is replicated and extended here has suggested that short sale constraints cause stock prices to underweight negative information options appear to reduce that effect

a note on market neutral portfolio selection abstract long short equity strategies allow investors to benefit potentially from both undervalued and overvalued securities the present study develops a normative portfolio model under the practical conditions that a market neutral strategy entails the offsetting long and short equity holdings are established jointly and without any constraints by the underlying market index while accurately capturing institutional procedures for short selling the model contains the analytical and economic properties as required for a ranking approach to filter out any undesirable securities under consideration in view of its practical features the analysis should be of interest to practitioners for assisting their long short investment decisions

assessing the accessibility of the homeownership market in this paper an examination is made of the accessibility of the homeownership market using measures that include both supply and demand characteristics of regional housing markets these measures are applied empirically on an extensive dataset that covers the dutch housing market the analysis quantifies the extent to which the position of first time buyers on the homeownership market has weakened over time and identifies the driving factors of this change it is found that smaller portions of the housing market are becoming affordable due to financial constraints of young households however more importantly first time buyers today need to contend with a much larger group of competing bidders on every house that suits their financial situation than ever before

portfolio analysis using single index multi index and constant correlation models a unified treatment in this study a simple common algorithm which is applicable to seven models is proposed for optimal portfolio selection disallowing short sales of risky securities the models considered in the analysis consist of a single index model four multi index models and two constant correlation models unlike the previous approach the proposed algorithm does not require explicit ranking of securities therefore it is particularly useful for two multi index models with orthogonal indices which do not provide any ranking criterion also because of its algorithmic efficiency as demonstrated in a simulation study on models with multiple groups the approach here can enhance their usefulness in portfolio analysis in a series of publications elton and gruber 2 and elton gruber and padberg hereafter egp 3 8 have considered extensively portfolio optimization problems using a variety of index models and constant correlation models these models are sharpe s 12 single index model cohen and pogue s 1 multi index model in the diagonal form a multi index model with orthogonal indices 8 a constant correlation model with a single group 3 and a constant correlation model with multiple groups 7 hereafter sim mim di mim or ccm s and ccm m respectively using these models egp have developed some ranking procedures to reach optimal portfolios disallowing short sales of risky securities all securities in each group are ranked according to their performance as measured by a ratio of excess return to risk they are sequentially added to feasible portfolios following the ranking hierarchy until the optimal portfolio is reached for models where explicit ranking criteria can be established the egp approach is easy to implement and it clearly explains why a security belongs or does not belong to a portfolio besides the above models it is also applicable to cohen and pogue s 1 multi index model in the covariance form hereafter mim co however it does not work well for models lacking appropriate criteria to rank securities in order to overcome ranking difficulties in mim or egp 8 have introduced a market portfolio with zero residual risk to establish an alternative ranking criterion unfortunately as egp have indicated this causes internal inconsistency in the analysis in the present study a simple algorithm for optimal portfolio selection disal

explaining the spatial variation in homeownership rates results for german regions lerbs o w and oberst c a explaining the spatial variation in homeownership rates results for german regions regional studies this paper employs cross sectional data on ninety six german regions to investigate the interregional variability of homeownership rates among the explanatory variables the analysis includes important regional housing market indicators as well as regional socio demographic composition urbanization and labour market performance an estimation strategy is chosen which accounts for different forms of spatial dependence between the regional units it is found that regional differences in the relative price of owning versus renting and the affordability of owner occupied housing play a key role in explaining why homeownership rates vary so substantially across the country the results indicate significant neighbourhood effects for several variables