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

賣空限制的實際效應

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

摘要：我們使用證券賣空規則（Regulation SHO）的監管試驗：放寬對美國股市随機樣本的賣空限制，以此來檢驗資本市場摩擦對股票價格和公司決策的影響。我們發現賣空活動的增強導緻股票價格下降，而小公司将通過減少權益融資和投資來應對股價下降。這些結論不僅支持賣空限制影響資産價格，也證實賣空活動與企業的投融資行為存在因果關系。

關鍵詞：資産價格，資本，融資，公司，投資，監管，股票價格，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.

原文鍊接：

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

翻譯：黃怡文