The Uptick Rule and Short-Selling Strategies

Kevin Zhao

No 201202, Working Papers from Middle Tennessee State University, Department of Economics and Finance

Abstract: The Security and Exchange Commission revoked the uptick rule in July 2007. The revocation of the uptick rule provides us with a unique setting to investigate the impact of short-sale constraints on various short-selling strategies in a controlled environment. Comparing short-selling behaviors for uptick-rule restricted and unrestricted stocks during the pre- and post-revocation periods, we find that contrarian short selling and voluntary-liquidity short selling are more profound in uptick-rule-restricted stocks than in unrestricted stock and that market trend chasing short selling is less profound in uptick-rule-restricted stocks than in unrestricted stocks. Our results also show that the uptick rule has no impact on risk-bearing short-selling strategies.

Keywords: uptick rule; short sale constraints; short selling strategy (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2012-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://capone.mtsu.edu/berc/working/Uptick%20Rule% ... trategies%20Zhao.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mts:wpaper:201202

Access Statistics for this paper

More papers in Working Papers from Middle Tennessee State University, Department of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Benjamin Jansen ().