Efficiency and the Bear: Short Sales and Markets Around the World
利用46个股市的数据，分析卖空限制是否影响市场效率和个股及指数收益的分布特征。发现允许卖空的市场中价格能更快吸收负面信息，而禁止卖空的市场收益负偏度显著较小。
ABSTRACT We analyze cross‐sectional and time‐series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices. We find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced. A common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic. We find strong evidence that in markets where short selling is either prohibited or not practiced, market returns display significantly less negative skewness.