It's SHO time! Short-sale price tests and market quality

Journal of Finance

Volumn 64, Issue 1, 2009, Pages 37-73

  Diether, Karl B ^a   Lee, Kuan Hui ^b   Werner, Ingrid M ^a  

^a OHIO STATE UNIVERSITY   (United States)

^b Korea University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 58949084946     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2008.01428.x     Document Type: Article

References (28)

1. Alexander, Gordon J., and Mark A. Peterson, 1999, Short selling on the New York Stock Exchange and the effects of the uptick rule, Journal of Financial Intermediation 8, 90 116.
2. Alexander, Gordon J., and Mark A. Peterson, 2008, The effect of price tests on trader behavior and market quality: An analysis of Reg SHO, Journal of Financial Markets 11, 84 111.
3. Angel, James J., 1997, Short selling on the NYSE, Working paper, Georgetown University.
4. Asquith, Paul, Parag A. Pathak, and Jay R. Ritter, 2005, Short interest, institutional ownership, and stock returns, Journal of Financial Economics 78, 243 276.
5. Boehmer, Ekkehart, Charles M. Jones, and Xiaoyan Zhang, 2008, Which shorts are informed Journal of Finance 63, 491 527.
6. Bond, Shaun A., 1998, An econometric model of downside risk, in John Knight, and Stephen E. Satchell, eds Forecasting Volatility in the Financial Markets (Butterworth-Heinemann, Oxford).
7. Cohen, Lauren, Karl B. Diether, and Christopher J. Malloy, 2007, Supply and demand shifts in the shorting market, Journal of Finance 62, 2061 2096.
8. D'Avolio, Gene, 2002, The market for borrowing stock, Journal of Financial Economics 66, 271 306.
9. Dechow, Patricia M., Amy P. Hutton, Lisa Meulbroek, and Richard G. Sloan, 2001, Short-sellers, fundamental analysis, and stock returns, Journal of Financial Economics 61, 77 106.
10. Desai, Hemang, K. Ramesh, S. Ramu Thiagarajan, and Bala V. Balachandran, 2002, An investigation of the informational role of short interest in the Nasdaq market, Journal of Finance 57, 2263 2287.
11. Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277 311.
12. Diether, Karl B., Kuan-Hui Lee, and Ingrid M. Werner, 2008, Short-sale strategies and return predictability, Review of Financial Studies, forthcoming.
13. Duffie, Darrell, Nicolae Gârleanu, and Lasse H. Pedersen, 2002, Securities lending, shorting, and pricing, Journal of Financial Economics 66, 307 339.
14. Ferri, Michael G., Stephen E. Christophe, and James J. Angel, 2004, A short look at bear raids: Testing the bid test, Working paper, Georgetown University.
15. Figlewski, Stephen, and Gwendolyn P. Webb, 1993, Options, short-sales, and market completeness, Journal of Finance 48, 761 777.
16. Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92, 323 336.
17. Jones, Charles M., 2003, Shorting restrictions, liquidity, and returns, Working paper, Columbia University.
18. Jones, Charles M., and Owen A. Lamont, 2002, Short-sale constraints and stock returns, Journal of Financial Economics 66, 207 239.
19. Lee, Charles M. C., and Mark J. Ready, 1991, Inferring trade directions from intraday data, Journal of Finance 46, 733 746.
20. Lo, Andrew W., and A. Craig MacKinlay, 1989, The size and power of the variance ratio test in finite samples: A Monte Carlo investigation, Journal of Econometrics 40, 203 238.
21. Markowitz, Harry, 1959, Portfolio Selection: Efficient Diversification of Investment (John Wiley & Sons, New York).
22. Miller, Edward M., 1977, Risk, uncertainty, and divergence of opinion, Journal of Finance 32, 1151 1168.
23. Morris, Stephen, 1996, Speculative investor behavior and learning, Quarterly Journal of Economics 111, 1111 1133.
24. Ofek, Eli, Matthew Richardson, and Robert F. Whitelaw, 2004, Limited arbitrage and short-sales restrictions: Evidence from the options markets, Journal of Financial Economics 74, 305 342.
25. SEC, 1963, Report of the special study of the securities markets, reprinted in H.R. Doc. No. 95, 88th Congress, 1st Session, 251.
26. SEC, 2006, Economic analysis of the short-sale price restrictions under the regulation SHO pilot, Working paper, Securities and Exchange Commission.
27. Scheinkman, José A., and Wei Xiong, 2003, Overconfidence and speculative bubbles, Journal of Political Economy 111, 1183 1219.
28. Thompson, Samuel B., 2006, Simple formulas for standard errors that cluster by both firm and time, Working paper, Harvard University.