Internet Appendix to: Black, Desai, Litvak, Yoo, and Yu, The SEC’s Short-Sale Experiment: Evidence on Causal Channels and on the Importance of Specification Choice in Randomized and Natural Experiments

130 Pages Posted: 21 Jul 2020 Last revised: 14 Jan 2022

Date Written: October 11, 2020

Abstract

This Appendix contains additional results and discussion for Black, Desai, Litvak, Yoo, and Yu, The SEC’s Short-sale Experiment: Evidence on Causal Channels and the Importance of Specification Choice in Randomized and Natural Experiments (2022). It contains sample details; details on differences between our specification and the best-match specifications; additional results for the best-match specifications; results for step-by-step moves from our specification to each best-match specification; technical replication for FHK and HHZ; robustness assessments for the FHK and HHZ exact samples and specifications; and analysis of the additional specifications and datasets publicly posted by FHK in response to an earlier draft of the paper. We confirm technical replication for the FHK accruals result and the HHZ result for audit fees, for their exact samples and specification, but show that both results are fragile. We also respond in detail to the FHK reply to an earlier draft of this paper.

The underling paper is available at https://ssrn.com/abstract=3657196.

Our pre-specified analysis plan is available at https://ssrn.com/abstract=3415529.

Suggested Citation

Black, Bernard S. and Desai, Hemang and Litvak, Kate and Yoo, Woongsun and Yu, Jeff Jiewei, Internet Appendix to: Black, Desai, Litvak, Yoo, and Yu, The SEC’s Short-Sale Experiment: Evidence on Causal Channels and on the Importance of Specification Choice in Randomized and Natural Experiments (October 11, 2020). Available at SSRN: https://ssrn.com/abstract=3657200 or http://dx.doi.org/10.2139/ssrn.3657200

Bernard S. Black (Contact Author)

Northwestern University - Pritzker School of Law ( email )

375 E. Chicago Ave
Chicago, IL 60611
United States
312-503-2784 (Phone)

Hemang Desai

Southern Methodist University (SMU) - Accounting Department ( email )

United States
214-768-3185 (Phone)
214-768-4099 (Fax)

Kate Litvak

Northwestern University - Pritzker School of Law ( email )

375 E. Chicago Ave
Chicago, IL 60611
United States

Woongsun Yoo

Central Michigan University ( email )

Mount Pleasant, MI 48859
United States

Jeff Jiewei Yu

University of Arizona ( email )

School of Accountancy
Eller College of Management
Tucson, AZ 85721
United States
520-621-1273 (Phone)

HOME PAGE: http://https://accounting.eller.arizona.edu/people/jeff-jiewei-yu

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