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The Year in Research
Dec 31 20089:13 am EDT -
Mind Your Value Judgements
Dec 19 20087:52 pm EDT -
S.E.C. Short-Sale Ban: Pretty Much Useless
Dec 19 20083:45 pm EDT -
Advice from Japan: Don't Forget TARP 1
Dec 19 20082:31 pm EDT -
Chart of the Day: Money Market Stress Easing
Dec 18 20088:57 pm EDT
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Dec 19 2008 3:45pm EDT
S.E.C. Short-Sale Ban: Pretty Much Useless
That's the conclusion from the preliminary results of a new paper by Ekkehart Boehmer of Texas A&M, Charles Jones of Columbia, and Cornell's Xiaoyan Zhang. They studied the impact of the short-sale ban which lasted between mid-September to early October and found that
the start of the shorting ban is associated with a sharp increase in share prices for affected stocks, consistent with most models of shorting constraints. Shorting activity drops by about 85%. Stocks subject to the ban suffered a severe degradation in market quality, as measured by spreads, price impacts, and intraday volatility.The following chart shows the daily price changes for banned and non-banned stocks, click here for larger:
