Financial Management (Wiley-Blackwell). Fall2014, Vol. 43 Issue 3, pp 631-670.

作者：Louis Gagnon (Smith School of Business, Queen's University), Jonathan L. Witmer (Bank of Canada)

所有权分布，卖空限制和市场有效性：来自交叉上市股票的证据

摘要：我们研究了所有权分布、卖空限制和市场有效性之间的相互影响。运用2008年卖空禁令时期前后的分频数据，我们证明了当股票所有权在两市分布不均衡时，卖空限会导致交叉上市股票价格差异。在多头相对稀少的市场上，股票往往以溢价交易，这降低了股价针对坏消息调整的速度。溢价主要由所有权更稀释的市场中要价方的上升所驱动，只有价格下降时明显，而且很快消失。

Distribution of Ownership, Short Sale Constraints, and Market Efficiency: Evidence from Cross-Listed Stocks.

Louis Gagnon (Smith School of Business, Queen's University), Jonathan L. Witmer (Bank of Canada)

ABSTRACT：We investigate the interplay between the distribution of ownership, short sale constraints, and market efficiency. Using minute-by-minute data during the period surrounding the short sale ban of 2008, we demonstrate that short sale restrictions cause price disparities among cross-listed stocks when ownership in the stocks is distributed unevenly across the two markets. The stocks tend to trade at a premium in the market where long sellers are relatively scarcer, which reduces the speed at which prices adjust to bad news. The premium is driven primarily by an increase on the ask side of the market where ownership is thinner, is only evident when prices are moving down, and disappears quickly.

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翻译：孙雨琦