The Uptick Rule and Short-Selling Strategies
AbstractThe Security and Exchange Commission revoked the uptick rule in July 2007. The revocation of the uptick rule provides us with a unique setting to investigate the impact of short-sale constraints on various short-selling strategies in a controlled environment. Comparing short-selling behaviors for uptick-rule restricted and unrestricted stocks during the pre- and post-revocation periods, we find that contrarian short selling and voluntary-liquidity short selling are more profound in uptick-rule-restricted stocks than in unrestricted stock and that market trend chasing short selling is less profound in uptick-rule-restricted stocks than in unrestricted stocks. Our results also show that the uptick rule has no impact on risk-bearing short-selling strategies.
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Bibliographic InfoPaper provided by Middle Tennessee State University, Department of Economics and Finance in its series Working Papers with number 201202.
Date of creation: Jan 2012
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Web page: http://www.mtsu.edu/~berc/working/Economics_Working_Papers.html
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uptick rule; short sale constraints; short selling strategy;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-17 (All new papers)
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