Potential pilot problems: Treatment spillovers in financial regulatory experiments

Ekkehart Boehmer, Charles Jones and Xiaoyan Zhang ()

Journal of Financial Economics, 2020, vol. 135, issue 1, 68-87

Abstract: The total effects of a regulatory change consist of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach mostly ignores potential indirect effects. During the 2007 full repeal of the uptick rule, short-sellers become much more aggressive across the board, even in control stocks where the uptick rule is already suspended. This finding is consistent with positive and significant indirect effects on control stocks, likely driven by aggressive broad list-based shorting. In contract, the indirect effect coefficients on shorting aggressiveness are negative for the 2005 partial uptick repeal, possibly due to substitutions between control and treatment stocks.

Keywords: Interference; Short sales; Aggressiveness; Tick test; Regulation SHO (search for similar items in EconPapers)
JEL-codes: G14 G18 G28 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:135:y:2020:i:1:p:68-87

DOI: 10.1016/j.jfineco.2019.05.016

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