Management Science · 2025 · Yashar Barardehi、Andrew Bird、Stephen Karolyi、Thomas Ruchti
中文摘要
尽管基于分歧的理论给出了强有力的预测,但将卖空限制与更高价格联系起来的实证证据却很有限。我们基于规则201(rule 201)运用准实验方法检验这一关系。规则201是一项基于阈值的政策,当日内收益率下穿−10%时限制激进的卖空行为。在同一交易小时内比较阈值两侧的股票,我们发现该限制使卖空交易量降低8%,并使日收益率提高35个基点。这些价格效应在限制解除后并未逆转。
Abstract
Despite strong theoretical predictions based on disagreement, limited empirical evidence links short-selling restrictions to higher prices. We test this relationship using quasi-experimental methods based on rule 201, a threshold-based policy that restricts aggressive short selling when intraday returns cross −10%. When comparing stocks on either side of the threshold in the same hour of trading, we find that the restriction leads to 8% lower short-sale volume and 35 basis points higher daily returns. These price effects do not reverse after the restriction is lifted.