|
|
|
|
||||
|
||||
Price Inflation and Wealth Transfer During the 2008 SEC Short-Sale BanLawrence HarrisUniversity of Southern California - Marshall School of Business - Finance and Business Economics Department Ethan NamvarUniversity California, Berkeley Blake PhillipsUniversity of Waterloo June 18, 2009 The Journal of Investment Management, Second Quarter, 2013 Abstract: Using a factor-analytic model that extracts common valuation information from the prices of stocks that were not banned, we estimate that the ban on short-selling financial stocks imposed by the SEC in September 2008 led to substantial price inflation in the banned stocks. The inflation reversed somewhat following the ban, but the data are too noisy to conclusively link the reversal to the ban. Other factors such as the pending TARP legislation may also have affected prices, though our results suggest that it was not a significant factor. If prices were inflated, buyers paid more than they otherwise would have paid for the banned stocks during the period of the ban. We provide an estimate of $4.9 billion for the resulting wealth transfer from buyers to sellers. Such transfers should interest policymakers concerned about maintaining fair markets.
Number of Pages in PDF File: 43 Keywords: Short-sale Ban, SEC, Securities and Exchange Commission, Short-Sale Constraints, Financial Crisis JEL Classification: G12, G14, G18, G28 Accepted Paper SeriesDate posted: March 23, 2009 ; Last revised: February 20, 2013Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo8 in 0.328 seconds
