Short Sales Constraints, Liquidity and Price Discovery: An Empirical Analysis on the Paris Bourse
利用巴黎证券交易所中现货交易与月度结算交易的差异，实证分析卖空约束对订单流和收益过程的影响，发现现货市场对好消息的反应快于坏消息。
In the Paris Bourse some stocks are traded on a spot basis, while others are traded on a monthly settlement basis. The latter are likely to be less subject to leverage and short sales constraints. We empirically analyse the consequences of this difference for the order flow and the return process. Consistent with the theoretical analysis of Diamond and Verrechia (1987), we find that market sell orders are less frequent on the spot market than on the monthly settlement market (although not very significantly) and that the spot market reflects good news (significantly) faster than bad news.