@article{ART003363444},
author={LEE, Woongki},
title={Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns},
journal={Asset Management Review},
issn={2288-6672},
year={2026},
volume={14},
number={1},
pages={1-16}
TY - JOUR
AU - LEE, Woongki
TI - Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns
JO - Asset Management Review
PY - 2026
VL - 14
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 16
SN - 2288-6672
AB - This study empirically analyzes optimal portfolio weights under portfolio constraints using U.S. stock market data from 1967 to 2022. The study has two main objectives. First, it examines the relationship between constrained optimal portfolio weights and stock characteristics. Second, it analyzes how portfolio constraints, especially short-sales constraints, are related to subsequent stock returns. The results show that stocks assigned positive weights under short-sales constraints earn significantly lower returns over a long horizon than stocks assigned zero weights.
KW - Short-Sales Constraints;Optimal Portfolio Weights;Anomalies
DO -
UR -
ER -
LEE, Woongki. (2026). Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns. Asset Management Review, 14(1), 1-16.
LEE, Woongki. 2026, "Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns", Asset Management Review, vol.14, no.1 pp.1-16.
LEE, Woongki "Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns" Asset Management Review 14.1 pp.1-16 (2026) : 1.
LEE, Woongki. Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns. 2026; 14(1), 1-16.
LEE, Woongki. "Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns" Asset Management Review 14, no.1 (2026) : 1-16.
LEE, Woongki. Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns. Asset Management Review, 14(1), 1-16.
LEE, Woongki. Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns. Asset Management Review. 2026; 14(1) 1-16.
LEE, Woongki. Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns. 2026; 14(1), 1-16.
LEE, Woongki. "Short-Sales Constraints, Portfolio Weights, and the Cross-Section of Stock Returns" Asset Management Review 14, no.1 (2026) : 1-16.
