The causal impact of short‐sale constraints on the idiosyncratic volatility puzzle
利用2005年SHO法规放松卖空限制和2003年JGTRRA法案收紧卖空限制这两个外生冲击，发现卖空限制显著影响特质波动率与未来收益的负相关关系，对理解该谜题有重要意义。
Abstract We investigate the causal impact of short‐sale constraints on the idiosyncratic volatility (IVOL) puzzle, where high‐IVOL stocks yield lower future returns. We leverage two opposing exogenous shocks to short‐sale constraints: (1) 2005 Regulation SHO, which relaxes constraints for pilot stocks, and (2) 2003 Jobs and Growth Tax Relief Reconciliation Act (JGTRRA), which tightens constraints during dividend record months. We find that short‐sale constraints significantly affect IVOL pricing: Regulation SHO weakens the IVOL effect for pilot stocks, whereas JGTRRA strengthens it after dividend record months. These findings underscore the importance of short‐sale constraints in understanding the IVOL puzzle.