Testing the Effects of Short-Selling Restrictions on Asset Prices
AbstractTesting the effects of short-selling restrictions on asset prices is challenging: shifts in stock lending supply usually are not observed directly. This paper takes advantage of a unique dataset that contains actual shifts in the lending supply curve for several stocks on the Brazilian market. The dataset comprises daily information from January 2009 to July 2011 from the whole stock lending market in Brazil. We find that short-selling restrictions generate overpricing and that this effect increases with greater dispersion of investor opinion, consistent with a number of theoretical studies.
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Bibliographic InfoPaper provided by University of São Paulo (FEA-USP) in its series Working Papers, Department of Economics with number 2012_18.
Date of creation: 12 Sep 2012
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Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
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