The Real Effects of Short-Selling Constraints

被引：236

作者：

Grullon, Gustavo ^{[1
]}

Michenaud, Sebastien ^{[1
,2
]}

Weston, James P. ^{[1
]}

机构：

[1] Rice Univ, Houston, TX 77005 USA

[2] De Paul Univ, Chicago, IL USA

来源：

REVIEW OF FINANCIAL STUDIES | 2015年 / 28卷 / 06期

关键词：

SHORT-SALE CONSTRAINTS; STOCK-PRICES; CORPORATE-INVESTMENT; FINANCIAL CONSTRAINTS; MARKET QUALITY; BUBBLES; RETURNS; OPINION; MANIPULATION; INFORMATION;

D O I：

10.1093/rfs/hhv013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：1737 / 1767

页数：31

共 52 条

[1]

Admati A. R., 2009, REV FINANC STUD, V23, P781

[2] Short selling on the New York Stock Exchange and the effects of the Uptick Rule [J].