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
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: Suggested Citation