Yu Hu, Pankaj K. Jain, Suchismita Mishra, Robinson Reyes-Peña
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引用次数: 0
Abstract
We evaluate the role of short sale bans in muting the price response to negative earnings surprises for stocks cross-listed in foreign unbanned markets. We update the global timeline of short sale restrictions up to the COVID-19 crisis. Given low dispersion of beliefs, we observe that the effects of a stock's home market bans extend to unbanned markets, as manifested in lagged price responses, reduced short interest, and failures to deliver. In contrast, large profit opportunities created by high dispersion of beliefs trigger cross-border short selling (regulatory arbitrage) and a leading price response in foreign unbanned markets vis-à-vis the home market.
期刊介绍：
European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.
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