Garrett Quigley

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  • Stefan Nagel, Elroy Dimson, +14 authors Tuomo Vuolteenaho
  • 2004
Short-sale constraints are most likely to bind among stocks with low institutional ownership. Because of institutional constraints, most professional investors simply never sell short and hence cannot trade against overpricing of stocks they do not own. Furthermore, stock loan supply tends to be sparse and short selling more expensive when institutional(More)
Accounting information is indispensable in empirical finance. Unfortunately, existing databases, particularly for non-US markets, suffer from selection bias. I construct a new UK data set by supplementing existing databases with handcollected balance sheets. It contains about 100,000 firm-years of data, covers virtually all UK firms listed on the London(More)
Using a new dataset of accounting information merged with share price data we find a strong value premium in the U.K. for the period 1955-2001. It exists among small-caps as well as among large-caps. However, there are challenges for small-cap managers wishing to capture these higher expected returns. We show that rebalancing-induced portfolio turnover for(More)
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