Most regulators around the world reacted to the 2007-09 crisis by imposing bans on short-selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with small capitalization and no listed options; (ii) slowed price discovery, especially in bear markets, and (iii) failed to support prices, except possibly for U.S. financial stocks.

Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis / Alessandro, Beber; Pagano, Marco. - In: THE JOURNAL OF FINANCE. - ISSN 0022-1082. - 68:(2013), pp. 343-381. [10.1111/j.1540-6261.2012.01802.x]

Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis

PAGANO, MARCO
2013

Abstract

Most regulators around the world reacted to the 2007-09 crisis by imposing bans on short-selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with small capitalization and no listed options; (ii) slowed price discovery, especially in bear markets, and (iii) failed to support prices, except possibly for U.S. financial stocks.
2013
Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis / Alessandro, Beber; Pagano, Marco. - In: THE JOURNAL OF FINANCE. - ISSN 0022-1082. - 68:(2013), pp. 343-381. [10.1111/j.1540-6261.2012.01802.x]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/572692
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