Testing the Effects of Short-Selling Restrictions on Asset Prices
Rodrigo De-Losso and
Bruno Giovannetti ()
No 2012_18, Working Papers, Department of Economics from University of São Paulo (FEA-USP)
Testing the effects of short-selling restrictions on asset prices is challenging: shifts in stock lending supply usually are not observed directly. This paper takes advantage of a unique dataset that contains actual shifts in the lending supply curve for several stocks on the Brazilian market. The dataset comprises daily information from January 2009 to July 2011 from the whole stock lending market in Brazil. We find that short-selling restrictions generate overpricing and that this effect increases with greater dispersion of investor opinion, consistent with a number of theoretical studies.
Keywords: asset prices; short-selling restrictions; stock lending (search for similar items in EconPapers)
JEL-codes: G01 G10 G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spa:wpaper:2012wpecon18
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers, Department of Economics from University of São Paulo (FEA-USP) Contact information at EDIRC.
Bibliographic data for series maintained by Pedro Garcia Duarte ().