This paper presents a synthesized model explaining the returns of short-sale
constrained stocks. We combine short-sale constraints that were previously treated
individually or in pairs into a more fully specified model. The model is also specified
in generally falling versus generally rising markets, and in consideration of relative
effects for large/mid-cap versus small/micro-cap firms. There is evidence that a more
fully specified model provides additional insight with less factor omission bias than
prior models. Beyond that, our results indicate asymmetric pricing differences between
least versus most short-sale constrained stocks, sensitive to overall market direction.

• A synthesized model of short selling constraints and their impact on stock returns