Publication: Three essays on short selling bans, asset pricing and market quality
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2021-05
Defense date
2021-07-08
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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.
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Keywords
Experimental studies, Treatment effects, Rule 201, Short selling bans, Overpricing, Price efficiency