Review of Financial Studies, June 2015, v. 28, iss. 6, pp. 1737-67.

卖空限制的实际效应

作者：Grullon, Gustavo, Michenaud, Sebastien, Weston, James P.

摘要：我们使用证券卖空规则（Regulation SHO）的监管试验：放宽对美国股市随机样本的卖空限制，以此来检验资本市场摩擦对股票价格和公司决策的影响。我们发现卖空活动的增强导致股票价格下降，而小公司将通过减少权益融资和投资来应对股价下降。这些结论不仅支持卖空限制影响资产价格，也证实卖空活动与企业的投融资行为存在因果关系。

关键词：资产价格，资本，融资，公司，投资，监管，股票价格，股票

The Real Effects of Short-Selling Constraints.

Grullon, Gustavo; Michenaud, Sebastien; Weston, James P.

ABSTRACT

We use a regulatory experiment (Regulation SHO) that relaxes short-selling constraints on a random sample of U.S. stocks to test whether capital market frictions have an effect on stock prices and corporate decisions. We find that an increase in short-selling activity causes prices to fall, and that small firms react to these lower prices by reducing equity issues and investment. These results not only provide evidence that short-selling constraints affect asset prices, but also confirm that short-selling activity has a causal impact on financing and investment decisions.

Keywords: Asset Price, Capital, Financing, Firm, Investment, Regulation, Stock Price, Stocks.

原文链接：

http://rfs.oxfordjournals.org/content/28/6/1737.abstract

翻译：黄怡文