Short selling bans and price responses in a multimarket setting
研究了卖空禁令如何影响股票对负面盈利意外的价格反应，发现信念分歧低时禁令效果外溢至无禁令市场，而高分歧时跨境卖空套利使无禁令市场价格领先。
Abstract We evaluate the role of short sale bans in muting the price response to negative earnings surprises for stocks cross‐listed in foreign unbanned markets. We update the global timeline of short sale restrictions up to the COVID‐19 crisis. Given low dispersion of beliefs, we observe that the effects of a stock's home market bans extend to unbanned markets, as manifested in lagged price responses, reduced short interest, and failures to deliver. In contrast, large profit opportunities created by high dispersion of beliefs trigger cross‐border short selling (regulatory arbitrage) and a leading price response in foreign unbanned markets vis‐à‐vis the home market.