Graduation Year
Fall 2012
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Richard C. K. Burdekin
Reader 2
Janet K. Smith
Terms of Use & License Information
Rights Information
© 2012 James Weyerhaeuser
Abstract
This study provides an empirical analysis of the 2008 short sale ban. The evidence suggests that the presence of tradable options plays a crucial role in determining the effect of a short sale ban. Results show that if there are no traded options on a stock, the short sale ban brought abnormal returns of roughly +8%. However if there are traded options on a stock, the market maker exemptions nullify the positive effects of the ban. Furthermore, for the banned stocks that do experience positive abnormal returns during the ban, the lifting of the ban causes a prompt reversal of these returns. Findings suggest short sale bans cause an underrepresentation of negative opinions for as long as the ban lasts and that the presence of tradable options eliminates that underrepresentation by providing an alternative for pessimistic investors.
Recommended Citation
Weyerhaeuser, James W., "A Study in Market Micromanagement: The Asymmetrical Effects of the 2008 Short Sale Ban on Stocks With and Without Traded Options" (2012). CMC Senior Theses. 487.
https://scholarship.claremont.edu/cmc_theses/487
