Short-Sale Constraints and Options Trading: Evidence from Reg SHO
研究了暂时取消卖空价格测试对期权市场的影响，发现看跌期权交易量显著减少、价格压力下降、看跌-看涨平价偏离减少，表明投资者用期权规避卖空限制。
We examine the effects of a temporary suspension of short-sale price tests on the options market. Consistent with the notion that put option trading substitutes for short selling, we find a significant reduction in put option volume. In addition, pressure on put option prices significantly declines, violations of the put-call parity become significantly less frequent, and option volume becomes less informed. Our findings add clarity to a long-standing debate on whether investors use options to circumvent equity short-selling restrictions.