The Real Effects of Short-Selling Constraints

• 成果类型: Article
• 署名作者: Grullon, Gustavo; Michenaud, Sebastien; Weston, James P.
• 署名单位: Rice University; DePaul University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv013
• 发表日期: 2015
• 页码: 1737
• 关键词: short-sale constraints; stock-prices; corporate-investment; financial constraints; market quality; bubbles; returns; opinion; manipulation; INFORMATION

摘要

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.