The causal impact of short-sale constraints on the idiosyncratic volatility puzzle

IF 2.1 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2025-09-15 DOI:10.1111/jfir.70018

Yufeng Han, Angela Morgan, Jack Wolf, Weike Xu

引用次数: 0

Abstract

We investigate the causal impact of short-sale constraints on the idiosyncratic volatility (IVOL) puzzle, where high-IVOL stocks yield lower future returns. We leverage two opposing exogenous shocks to short-sale constraints: (1) 2005 Regulation SHO, which relaxes constraints for pilot stocks, and (2) 2003 Jobs and Growth Tax Relief Reconciliation Act (JGTRRA), which tightens constraints during dividend record months. We find that short-sale constraints significantly affect IVOL pricing: Regulation SHO weakens the IVOL effect for pilot stocks, whereas JGTRRA strengthens it after dividend record months. These findings underscore the importance of short-sale constraints in understanding the IVOL puzzle.

查看原文本刊更多论文

卖空限制对特殊波动之谜的因果影响

我们研究了卖空约束对特殊波动率（IVOL）难题的因果影响，其中高IVOL股票的未来回报较低。我们利用了卖空限制的两个相反的外部冲击：(1)2005年的SHO条例，该条例放宽了对试点股票的限制；(2)2003年的《就业和增长税收减免和解法案》（JGTRRA），该法案在股息创纪录的月份收紧了限制。我们发现卖空约束显著影响IVOL定价：SHO监管削弱了试点股票的IVOL效应，而JGTRRA在股息创纪录的月份后加强了它。这些发现强调了卖空限制在理解IVOL难题中的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.