Do short-sale constraints inhibit information acquisition? Evidence from regulation SHO

IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE
Lixin (Nancy) Su , Sonia Man-Lai Wong , Yuan Xue , Xiaofeng Zhao
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引用次数: 0

Abstract

We investigate how short-sale constraints influence investor information acquisition. Leveraging the U.S. Securities and Exchange Commission's (SEC's) Regulation SHO pilot program, we find that relaxed short-sale constraints lead to increased public information acquisition by investors. Investors acquire and process valuable information and utilize it to improve their short-selling decisions after the relaxation of short-sale constraints. We obtain similar findings using a quasi-natural experiment in China that lifted short-sale bans, supporting the external validity of our results. Collectively, our evidence demonstrates that reduced trading frictions promote information acquisition and contribute to price discovery.
我们研究了卖空约束对投资者信息获取的影响。利用美国证券交易委员会(SEC)监管SHO试点计划,我们发现放宽的卖空限制导致投资者获得更多的公共信息。在卖空限制放松后,投资者获取和处理有价值的信息,并利用这些信息来改进他们的卖空决策。我们在中国进行了一项取消卖空禁令的准自然实验,得到了类似的结果,支持了我们结果的外部有效性。总的来说,我们的证据表明,减少的贸易摩擦促进了信息获取,并有助于价格发现。
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来源期刊
Journal of Financial Markets
Journal of Financial Markets BUSINESS, FINANCE-
CiteScore
3.40
自引率
3.60%
发文量
64
期刊介绍: The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.
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