Three essays on short selling bans, asset pricing and market quality

Hernández Florindo, Julian Óscar

Publication:
Three essays on short selling bans, asset pricing and market quality

dc.contributor.advisor	Penalva Zuasti, José Sebastián
dc.contributor.advisor	Tapia, Mikel
dc.contributor.author	Hernández Florindo, Julian Óscar
dc.contributor.departamento	UC3M. Departamento de Economía de la Empresa	es
dc.contributor.tutor	Penalva Zuasti, José Sebastián
dc.date.accessioned	2021-08-31T17:34:52Z
dc.date.available	2021-08-31T17:34:52Z
dc.date.issued	2021-05
dc.date.submitted	2021-07-08
dc.description.abstract	This Doctoral Thesis includes three essays on short selling bans and their effects on market microstructure, with the SEC Rule 201 as the cornerstone of the three chapters. In chapter one, we examine the current state of the art, identifying a series of methodological shortcomings and present proposals of solutions building on the specific context of the new regulation. In chapter two, we apply the recommendations from chapter one in a daily event study of more than seven years, focusing on price efficiency. Chapter three brings the analysis to a more detailed level, assessing the immediate effects of the regulation from the intradaily perspective. Overall, our assessment show that the Rule 201 short selling ban has significant consequences for asset pricing, price informativeness and the provision of liquidity for affected stocks.	en
dc.description.degree	Programa de Doctorado en Empresa y Finanzas / Business and Finance por la Universidad Carlos III de Madrid	es
dc.description.responsability	Presidenta: Belén Nieto Domenech.- Secretario: Pedro José Serrano Jiménez.- Vocal: Isabel Figuerola-Ferretti	es
dc.identifier.uri	https://hdl.handle.net/10016/33205
dc.language.iso	eng	en
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España	*
dc.rights.accessRights	open access	es
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/	*
dc.subject.eciencia	Empresa	es
dc.subject.other	Experimental studies	en
dc.subject.other	Treatment effects	en
dc.subject.other	Rule 201	en
dc.subject.other	Short selling bans	en
dc.subject.other	Overpricing	en
dc.subject.other	Price efficiency	en
dc.title	Three essays on short selling bans, asset pricing and market quality	en
dc.type	doctoral thesis	*
dspace.entity.type	Publication