Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis

• 成果类型: Article
• 署名作者: Beber, Alessandro; Pagano, Marco
• 署名单位: University of Naples Federico II
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01802.x
• 发表日期: 2013
• 页码: 343-381
• 关键词: SHORT-SALES CONSTRAINTS; MARKET; uncertainty; EFFICIENCY; RISK; ask

摘要

Most regulators around the world reacted to the 200709 crisis by imposing bans on short selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks, and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery, and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with small capitalization and no listed options; (ii) slowed price discovery, especially in bear markets, and (iii) failed to support prices, except possibly for U.S. financial stocks.