메뉴 건너뛰기




Volumn 11, Issue 1, 2008, Pages 84-111

The effect of price tests on trader behavior and market quality: An analysis of Reg SHO

Author keywords

Bid test; Regulation SHO; Short selling; Uptick rule

Indexed keywords


EID: 38049069744     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2007.06.002     Document Type: Article
Times cited : (94)

References (47)
  • 1
    • 0002480060 scopus 로고    scopus 로고
    • Short selling on the New York stock exchange and the effects of the uptick rule
    • Alexander G.J., and Peterson M.A. Short selling on the New York stock exchange and the effects of the uptick rule. Journal of Financial Intermediation 8 (1999) 90-116
    • (1999) Journal of Financial Intermediation , vol.8 , pp. 90-116
    • Alexander, G.J.1    Peterson, M.A.2
  • 2
    • 0036129056 scopus 로고    scopus 로고
    • Implications of a reduction in tick size on short-sell order execution
    • Alexander G.J., and Peterson M.A. Implications of a reduction in tick size on short-sell order execution. Journal of Financial Intermediation 11 (2002) 37-60
    • (2002) Journal of Financial Intermediation , vol.11 , pp. 37-60
    • Alexander, G.J.1    Peterson, M.A.2
  • 3
    • 0005880209 scopus 로고    scopus 로고
    • Answering the skeptics: yes, standard volatility models do provide accurate forecasts
    • Andersen T.G., and Bollerslev T. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39 (1998) 885-905
    • (1998) International Economic Review , vol.39 , pp. 885-905
    • Andersen, T.G.1    Bollerslev, T.2
  • 4
    • 27244436241 scopus 로고    scopus 로고
    • Short interest, institutional ownership, and stock returns
    • Asquith P., Pathak P., and Ritter J. Short interest, institutional ownership, and stock returns. Journal of Financial Economics 78 (2005) 243-276
    • (2005) Journal of Financial Economics , vol.78 , pp. 243-276
    • Asquith, P.1    Pathak, P.2    Ritter, J.3
  • 5
    • 38049027216 scopus 로고
    • Comment on Macey, Mitchell, and Netter
    • Barclay M.J. Comment on Macey, Mitchell, and Netter. Cornell Law Review 74 (1989) 836-840
    • (1989) Cornell Law Review , vol.74 , pp. 836-840
    • Barclay, M.J.1
  • 6
    • 0037402510 scopus 로고    scopus 로고
    • Issues in assessing trade execution costs
    • Bessembinder H. Issues in assessing trade execution costs. Journal of Financial Markets 6 (2003) 233-257
    • (2003) Journal of Financial Markets , vol.6 , pp. 233-257
    • Bessembinder, H.1
  • 7
    • 16244401760 scopus 로고    scopus 로고
    • Dimensions of execution quality: recent evidence for US equity markets
    • Boehmer E. Dimensions of execution quality: recent evidence for US equity markets. Journal of Financial Economics 78 (2005) 553-582
    • (2005) Journal of Financial Economics , vol.78 , pp. 553-582
    • Boehmer, E.1
  • 8
    • 38049025138 scopus 로고    scopus 로고
    • Boehmer, E., Jones, C.M., Zhang, X., 2007. Which shorts are informed? Working paper, Texas A&M University, available at 〈http://papers.ssrn.com/sol3/papers.cfm?abstract_id=855044〉.
  • 9
    • 38049018418 scopus 로고    scopus 로고
    • Brigagliano, J.A., April 15, 2005. No-action Letter to Securities Industry Association. Division of Market Regulation, US Securities and Exchange Commission, Washington, DC, available at 〈http://www.sec.gov/divisions/marketreg/mr-noaction/sia041505.htm〉.
  • 10
    • 38049093730 scopus 로고    scopus 로고
    • Brigagliano, J.A., January 3, 2005. No-action Letter to Securities Industry Association. Division of Market Regulation, US Securities and Exchange Commission, Washington, DC, available at 〈http://www.sec.gov/divisions/marketreg/mr-noaction/sia010305.htm〉.
  • 11
    • 34248190280 scopus 로고    scopus 로고
    • Bris, A., Goetzmann, W.N., Zhu, N., 2007. Efficiency and the bear: short sales and markets around the world. Journal of Finance, forthcoming.
  • 13
    • 38049035354 scopus 로고    scopus 로고
    • Cohen, L., Diether, K., Malloy, C., 2006. Supply and demand shifts in the shorting market. Journal of Finance, forthcoming.
  • 14
    • 0039561990 scopus 로고    scopus 로고
    • Measuring mutual fund performance with characteristic-based benchmarks
    • Daniel K., Grinblatt M., Titman S., and Wermers R. Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance 52 (1997) 1035-1058
    • (1997) Journal of Finance , vol.52 , pp. 1035-1058
    • Daniel, K.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 16
    • 0001675669 scopus 로고
    • Constraints on short-selling and asset price adjustment to private information
    • Diamond D.W., and Verrecchia R.E. Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics 18 (1987) 277-311
    • (1987) Journal of Financial Economics , vol.18 , pp. 277-311
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 17
    • 38049064351 scopus 로고    scopus 로고
    • Diether, K., Lee, K., Werner, I., 2007. It's SHO time! Short-sale price tests and market quality. Working paper, Ohio State University, available at 〈http://fisher.osu.edu/~diether_1/papers/shotime.pdf〉.
  • 21
    • 38049018943 scopus 로고    scopus 로고
    • Federal Register. June 22, 2006. Notice of Filing of Proposed Rule Change by the National Association of Securities Dealers, Inc. To Exempt All Securities Included in the NASDAQ 100 Index From the Price Test Set Forth in NASD Rule 3350(a). pp. 35964-33966, available at 〈http://fr.cos.com/cgi-bin/getRec?id=20060622a94〉.
  • 22
    • 38049075233 scopus 로고    scopus 로고
    • Ferri, M., Christophe, S., Angel, J., 2004. A short look at bear raids: testing the bid test. Working paper, George Mason University.
  • 23
    • 84974486861 scopus 로고
    • The informational effects of restrictions on short sales: some empirical evidence
    • Figlewski S. The informational effects of restrictions on short sales: some empirical evidence. Journal of Financial and Quantitative Analysis 16 (1981) 463-476
    • (1981) Journal of Financial and Quantitative Analysis , vol.16 , pp. 463-476
    • Figlewski, S.1
  • 24
    • 0000774157 scopus 로고    scopus 로고
    • Stocks are special too: an analysis of the equity lending market
    • Geczy C.C., Musto D.K., and Reed A.V. Stocks are special too: an analysis of the equity lending market. Journal of Financial Economics 66 (2002) 241-269
    • (2002) Journal of Financial Economics , vol.66 , pp. 241-269
    • Geczy, C.C.1    Musto, D.K.2    Reed, A.V.3
  • 25
    • 0004296209 scopus 로고    scopus 로고
    • Prentice-Hall, Upper Saddle River, NJ
    • Greene W.H. Econometric Analysis (2003), Prentice-Hall, Upper Saddle River, NJ
    • (2003) Econometric Analysis
    • Greene, W.H.1
  • 26
    • 0030191637 scopus 로고    scopus 로고
    • Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE
    • Huang R.D., and Stoll H.R. Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics 41 (1996) 313-357
    • (1996) Journal of Financial Economics , vol.41 , pp. 313-357
    • Huang, R.D.1    Stoll, H.R.2
  • 29
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee C.M.C., and Ready M.J. Inferring trade direction from intraday data. Journal of Finance 46 (1991) 733-746
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.M.C.1    Ready, M.J.2
  • 30
    • 0000771590 scopus 로고
    • Restrictions on short sales: an analysis of the uptick rule and its role in view of the October 1987 stock market crash
    • Macey J.R., Mitchell M., and Netter J. Restrictions on short sales: an analysis of the uptick rule and its role in view of the October 1987 stock market crash. Cornell Law Review 74 (1989) 799-835
    • (1989) Cornell Law Review , vol.74 , pp. 799-835
    • Macey, J.R.1    Mitchell, M.2    Netter, J.3
  • 31
    • 11444258825 scopus 로고    scopus 로고
    • The Russell reconstitution effect
    • Madhavan A. The Russell reconstitution effect. Financial Analysts Journal 59 (2003) 51-64
    • (2003) Financial Analysts Journal , vol.59 , pp. 51-64
    • Madhavan, A.1
  • 32
  • 33
    • 84916929634 scopus 로고
    • Risk, uncertainty, and divergence of opinion
    • Miller E.M. Risk, uncertainty, and divergence of opinion. Journal of Finance 32 (1977) 1151-1168
    • (1977) Journal of Finance , vol.32 , pp. 1151-1168
    • Miller, E.M.1
  • 34
    • 27244455389 scopus 로고    scopus 로고
    • Short sales, institutional investors, and the cross-section of stock returns
    • Nagel S. Short sales, institutional investors, and the cross-section of stock returns. Journal of Financial Economics 78 (2005) 277-309
    • (2005) Journal of Financial Economics , vol.78 , pp. 277-309
    • Nagel, S.1
  • 35
    • 7444245569 scopus 로고    scopus 로고
    • Limited arbitrage and short sale restrictions: evidence from the options markets
    • Ofek E., Richardson M., and Whitelaw R.F. Limited arbitrage and short sale restrictions: evidence from the options markets. Journal of Financial Economics 74 (2004) 305-342
    • (2004) Journal of Financial Economics , vol.74 , pp. 305-342
    • Ofek, E.1    Richardson, M.2    Whitelaw, R.F.3
  • 36
    • 0037402476 scopus 로고    scopus 로고
    • Evaluation of the biases in execution cost estimation using trade and quote data
    • Peterson M., and Sirri E. Evaluation of the biases in execution cost estimation using trade and quote data. Journal of Financial Markets 6 (2003) 259-280
    • (2003) Journal of Financial Markets , vol.6 , pp. 259-280
    • Peterson, M.1    Sirri, E.2
  • 37
    • 13844298055 scopus 로고    scopus 로고
    • Practical issues in forecasting volatility
    • Poon S.-H., and Granger C. Practical issues in forecasting volatility. Financial Analysts Journal 61 (2005) 45-56
    • (2005) Financial Analysts Journal , vol.61 , pp. 45-56
    • Poon, S.-H.1    Granger, C.2
  • 38
    • 32544441909 scopus 로고    scopus 로고
    • Trades outside the quotes: reporting delay, trading option, or trade size?
    • Stoll H.R., and Schenzler C. Trades outside the quotes: reporting delay, trading option, or trade size?. Journal of Financial Economics 79 (2006) 615-653
    • (2006) Journal of Financial Economics , vol.79 , pp. 615-653
    • Stoll, H.R.1    Schenzler, C.2
  • 39
    • 38049051716 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2003. Proposed Rule: Short Sales. Release No. 34-48709, Washington, DC, available at 〈http://www.sec.gov/rules/proposed/34-48709.pdf〉.
  • 40
    • 38049023924 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2004a. Final Rule: Short Sales. Release No. 34-50103, Washington, DC, available at 〈http://www.sec.gov/rules/final/34-50103.pdf〉.
  • 41
    • 38049077827 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2004b. Order Suspending the Operation of Short Sale Price Provisions for Designated Securities and Time Periods. Release No. 50104, Washington, DC, available at 〈http://www.sec.gov/rules/other/34-50104.htm〉.
  • 42
    • 38049055171 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2004c. Order Delaying Pilot Period for Suspension of the Operation of Short Sale Price Provisions. Release No. 50747, Washington, DC, available at 〈http://www.sec.gov/rules/other/34-50747.htm〉.
  • 43
    • 38049062024 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2006a. Order Extending Term of Short Sale Pilot. Release No. 53684, Washington, DC, available at 〈http://www.sec.gov/rules/other/2006/34-53684.pdf〉.
  • 44
    • 38049020178 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2006b. Roundtable on Regulation SHO Pilot. Diversified Reporting Services, Inc., Washington, DC, available at 〈http://www.sec.gov/about/economic/shopilottrans091506.pdf〉.
  • 45
    • 38049025654 scopus 로고    scopus 로고
    • US Securities and Exchange Commission, 2007. Economic Analysis of the Short Sale Price Restrictions Under the Regulation SHO Pilot. Office of Economic Analysis, Washington, DC, available at 〈http://www.sec.gov/news/studies/2007/regshopilot020607.pdf〉.
  • 46
    • 38049048602 scopus 로고    scopus 로고
    • Wu, J.J., 2007. Short selling and the informational efficiency of prices, Working paper, Texas A&M University, available at 〈http://papers.ssrn.com/sol3/papers.cfm?abstract_id=972620〉.
  • 47
    • 0347569245 scopus 로고    scopus 로고
    • Investigating the behavior of idiosyncratic volatility
    • Xu Y., and Malkiel B.G. Investigating the behavior of idiosyncratic volatility. Journal of Business 76 (2003) 613-644
    • (2003) Journal of Business , vol.76 , pp. 613-644
    • Xu, Y.1    Malkiel, B.G.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.