The 2008 short-selling ban’s impact on tail risk
研究了2008年美国对金融机构股票的卖空禁令如何影响其股权尾部风险，发现禁令未能恢复金融稳定，反而使大型机构等面临更大的市场下行风险。
We examine how the 2008 U.S. short-selling ban on the stocks of financial institutions impacted their equity tail risk. Using propensity score matching and difference-in-difference regressions, we show that the ban was not effective in restoring financial stability as measured by the stocks’ dynamic Marginal Expected Shortfall. In contrast, especially large institutions, those who were most vulnerable to market downturns in the preban period, as well as those equities with associated put option contracts, experienced sharp increases in their exposure to market downturns during the ban period, contrary to regulators’ intentions.