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

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dc.contributor.advisor Penalva Zuasti, José Sebastián
dc.contributor.advisor Tapia, Mikel Hernández Florindo, Julian Óscar 2021-08-31T17:34:52Z 2021-08-31T17:34:52Z 2021-05 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.
dc.language.iso eng
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Experimental studies
dc.subject.other Treatment effects
dc.subject.other Rule 201
dc.subject.other Short selling bans
dc.subject.other Overpricing
dc.subject.other Price efficiency
dc.title Three essays on short selling bans, asset pricing and market quality
dc.type doctoralThesis
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess Programa de Doctorado en Empresa y Finanzas / Business and Finance por la Universidad Carlos III de Madrid
dc.description.responsability Presidenta: Belén Nieto Domenech.- Secretario: Pedro José Serrano Jiménez.- Vocal: Isabel Figuerola-Ferretti
dc.contributor.departamento UC3M. Departamento de Economía de la Empresa
dc.contributor.tutor Penalva Zuasti, José Sebastián
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