Worldwide reach of short selling regulations

• 成果类型: Article
• 署名作者: Jain, Archana; Jain, Pankaj K.; McInish, Thomas H.; McKenzie, Michael
• 署名单位: Rochester Institute of Technology; University of Memphis; University of Sydney
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.02.012
• 发表日期: 2013
• 页码: 177-197
• 关键词: Short selling; ADRs; Regulatory reach; Regulatory arbitrage; ENFORCEMENT

摘要

We characterize legality and incidence of short selling in a worldwide, multimarket framework. Home country short selling restrictions curtail home market stock borrowing by 45% and reduce short selling of the country's American Depository Receipts (ADRs) by 68% due to regulatory reach. Also, the 2008 US ban on short selling of financial firms reduced borrowing in foreign locations. These findings are robust to controls for option availability, enforcement, returns, firm size, trading volume, dividends, ADR level, volatility, days-to-cover, and industry sector. Further, we show that investor conduct resulting from adherence to professional standards is a more powerful mechanism of regulatory reach than intergovernment cooperation. (C) 2013 Elsevier B.V. All rights reserved.