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Liczba wyników
2010 | nr 25 | 297-311
Tytuł artykułu

Shorting the Shorters. Evaluating the 2008 us Ban on Short Selling

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
We investigate the effect of the 2008 temporary ban on short sales of a long list of shares (mostly but not exclusively in the financial sector) in the US market. The ban was imposed a few days after the collapse of Lehman Brothers - on the 19 of September - and lasted for approximately three weeks. We study the impact on prices by comparing banned vs. non-banned stocks via an event study methodology. Our results generally concur with previous literature holding that the ban is largely ineffective at influencing the prices of the banned stocks. Nevertheless, we make two important contributions. First, some peculiarities do emerge from our empirical analysis at a sector level. Second, our sample of stocks for which short sales were temporarily banned is larger than the samples used in previous studies including financial assets as ADRs. In terms of policy implications, though we cannot exclude that the ban might have been helpful at providing a general reassurance to the stock market that the authorities were willing to intervene to stop the stampede - and, thus, could have helped tame the fall of the general index - the fact that no specific effect is detected for the banned stocks suggests this type of measure was broadly ineffective.(original abstract)
Słowa kluczowe
Twórcy
  • University of Bari Aldo Moro, Italy
  • University of Bari Aldo Moro, Italy
  • University of Bari Aldo Moro, Italy
Bibliografia
  • Binder J.J.: The Event Study Methodology since 1969, Review of Quantitative Finance and Accounting, Volume 11, Issue 2 (September 1998), pp. 111-137.
  • Boehmer E., Jones C.M., Zhang X.: Shackling Short Sellers: the 2008 Shorting Ban, Johnson School Research Paper Series no. 34-09 (June 2009).
  • Diamond D.W., Verrecchia R.E.: Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics, Volume 18, Issue 2 (June 1987), pp. 277-311.
  • Forte A., Pesce G.: The International Financial Crisis: An Expert Survey, S.E.R.I.E.S. working paper no. 24 (February 2009).
  • Forte A., Pesce G.: The International Financial Crisis Viewed by Experts, Economic Notes, Volume 38, Issue 1-2 (February-July 2009), pp. 67-95.
  • Harrison J.M., Kreps D.M.: Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations, The Quarterly Journal of Economics, Volume 92, Issue 2 (May 1978), pp. 323-336.
  • MacKinlay C.A.: Event Studies in Economics and Finance, Journal of Economic Literature, Volume 35, Issue 1 (March 1997), pp. 13-39.
  • Miller E.M.: Risk, uncertainty, and divergence of opinion, Journal of Finance, Volume 32, Issue 4 (September 1977), pp. 1151-1168.
  • Reuters "SEC chief has regrets over short-selling ban. Under fire for regulatory missteps, top U.S. securities regulator Christopher Cox defended his agency's record but acknowledged some regrets over how he handled the worst financial crisis in decades.", December 31 2008.
  • Salinger M.: Value Event Studies, The Review of Economics and Statistics, Volume 74, Issue 4 (November 1992), pp. 671-677.
  • Subramani, Mani and Walden, Eric "The Dot Com Effect: the Impact of E-Commerce Announcements on the Market Value of Firms" Proceedings of the Twentieth International Conference on Information Systems, Charlotte, North Carolina, December 12-15, 1999, pp. 193-207.
  • The Washington Post "SEC Chief Defends His Restraint. Cox Rebuffs Criticism of Leadership During Crisis", December 24 2008.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171247647
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