Asset Pricing Implications of Short-Sale Constraints in Imperfectly Competitive Markets
研究了在不完全竞争市场中，做市商拥有市场势力时，卖空约束如何影响市场价格和流动性。发现卖空约束会降低买价、提高卖价并增加买卖价差波动性，且影响随市场透明度增加而增强。
We study the impact of short-sale constraints on market prices and liquidity in imperfectly competitive markets in which market makers have market power. In contrast to the existing literature, we show that because competition is imperfect, short-sale constraints decrease bid prices, increase ask prices, and drive up bid-ask spread volatility, with or without information asymmetry. If market makers are risk neutral, then short-sale constraints do not affect ask prices or ask depths. In addition, the impact of short-sale constraints can increase with market transparency. Our main results are unaffected by endogenous information acquisition or reduced information revelation because of short-sale constraints. This paper was accepted by Gustavo Manso, finance.