Informed Trading with a Short-Sale Prohibition
在理性预期均衡框架下，研究了卖空禁令对信息效率、风险分担和信息获取的影响，发现即使禁令不具约束力也会降低市场信息效率，但增加信息获取和市场深度。
Using a rational expectations equilibrium framework, I evaluate the effects of a short-sale prohibition in an economy with asymmetrically informed investors who are identical except for their information sets. Relative to an economy in which short selling is permitted, the financial market is less informationally efficient under a short-sale ban even when the ban is not binding. This alters the risk-sharing environment and leads to an increase in information acquisition. Additionally, a short-sale prohibition increases market depth. Imposing a cost on short selling instead of a strict prohibition yields similar results. Novel empirical implications are identified. This paper was accepted by Karl Diether, finance.