Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency?
研究发现卖空禁令使资产持有者更有动力获取信息，而非持有者则相反，导致信息获取集中，卖单逆向选择加剧，整体价格效率下降，并用2008年美国卖空禁令数据验证。
Abstract When short selling is costly, owners of an asset have greater incentive to become informed than nonowners because trading on negative information is easier for them. Thus, information acquisition concentrates among investors owning the asset. A short selling ban restricts selling to only the relatively more informed investors who own the asset, increasing adverse selection but only on the sell side of the market. Price efficiency declines due to less overall information acquisition because a ban magnifies the disincentive to gather information for investors not owning the asset. Empirical evidence from the 2008 U.S. short selling ban is consistent with these theoretical predictions.