The economic significance of conditioning information on portfolio efficiency in the presence of costly short-selling

Taylor, Nick James 2012. The economic significance of conditioning information on portfolio efficiency in the presence of costly short-selling. Journal of Financial Research 35 (1) , pp. 115-135. 10.1111/j.1475-6803.2011.01311.x

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Abstract

The economic significance of conditioning information in the presence of costly short-selling is investigated. Using a compact testing framework, results demonstrate that fixed-weight stock-bond portfolios appear inefficient with respect to stock-bond portfolios with weights determined by extant predictors. However, this result is highly dependent on ex ante knowledge of the predictor set and the ability to short-sell at low cost. In the absence of such conditions, fixed-weight stock-bond portfolios appear efficient with respect to conditioning information.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HF Commerce H Social Sciences > HG Finance
Publisher:	Wiley
ISSN:	0270-2592
Last Modified:	25 Jun 2017 03:40
URI:	https://orca.cardiff.ac.uk/id/eprint/33724

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