Yu Hu, Pankaj K. Jain, Suchismita Mishra, Robinson Reyes‐Peña
{"title":"多市场环境下的卖空禁令和价格反应","authors":"Yu Hu, Pankaj K. Jain, Suchismita Mishra, Robinson Reyes‐Peña","doi":"10.1111/eufm.12505","DOIUrl":null,"url":null,"abstract":"We evaluate the role of short sale bans in muting the price response to negative earnings surprises for stocks cross‐listed in foreign unbanned markets. We update the global timeline of short sale restrictions up to the COVID‐19 crisis. Given low dispersion of beliefs, we observe that the effects of a stock's home market bans extend to unbanned markets, as manifested in lagged price responses, reduced short interest, and failures to deliver. In contrast, large profit opportunities created by high dispersion of beliefs trigger cross‐border short selling (regulatory arbitrage) and a leading price response in foreign unbanned markets vis‐à‐vis the home market.","PeriodicalId":501261,"journal":{"name":"European Financial Management ","volume":"20 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Short selling bans and price responses in a multimarket setting\",\"authors\":\"Yu Hu, Pankaj K. Jain, Suchismita Mishra, Robinson Reyes‐Peña\",\"doi\":\"10.1111/eufm.12505\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We evaluate the role of short sale bans in muting the price response to negative earnings surprises for stocks cross‐listed in foreign unbanned markets. We update the global timeline of short sale restrictions up to the COVID‐19 crisis. Given low dispersion of beliefs, we observe that the effects of a stock's home market bans extend to unbanned markets, as manifested in lagged price responses, reduced short interest, and failures to deliver. In contrast, large profit opportunities created by high dispersion of beliefs trigger cross‐border short selling (regulatory arbitrage) and a leading price response in foreign unbanned markets vis‐à‐vis the home market.\",\"PeriodicalId\":501261,\"journal\":{\"name\":\"European Financial Management \",\"volume\":\"20 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-07-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"European Financial Management \",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/eufm.12505\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Financial Management ","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/eufm.12505","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Short selling bans and price responses in a multimarket setting
We evaluate the role of short sale bans in muting the price response to negative earnings surprises for stocks cross‐listed in foreign unbanned markets. We update the global timeline of short sale restrictions up to the COVID‐19 crisis. Given low dispersion of beliefs, we observe that the effects of a stock's home market bans extend to unbanned markets, as manifested in lagged price responses, reduced short interest, and failures to deliver. In contrast, large profit opportunities created by high dispersion of beliefs trigger cross‐border short selling (regulatory arbitrage) and a leading price response in foreign unbanned markets vis‐à‐vis the home market.
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