TY - JOUR
T1 - The impact of naked short selling on the securities lending and equity market
AU - Lecce, Steven
AU - Lepone, Andrew
AU - McKenzie, Michael D.
AU - Segara, Reuben
PY - 2012/2
Y1 - 2012/2
N2 - This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dispersion of opinions and short sale constraints are the only stocks to exhibit significant and negative abnormal returns in the post-event period. We also find slightly higher stock return volatility and a small reduction in liquidity when naked short sales are allowed. Overall, it impairs market quality (liquidity and volatility), although there appears to be some improvement in price efficiency in stocks with high short sale constraints.
AB - This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dispersion of opinions and short sale constraints are the only stocks to exhibit significant and negative abnormal returns in the post-event period. We also find slightly higher stock return volatility and a small reduction in liquidity when naked short sales are allowed. Overall, it impairs market quality (liquidity and volatility), although there appears to be some improvement in price efficiency in stocks with high short sale constraints.
UR - http://www.scopus.com/inward/record.url?scp=80053599525&partnerID=8YFLogxK
U2 - 10.1016/j.finmar.2011.07.001
DO - 10.1016/j.finmar.2011.07.001
M3 - Article
AN - SCOPUS:80053599525
SN - 1386-4181
VL - 15
SP - 81
EP - 107
JO - Journal of Financial Markets
JF - Journal of Financial Markets
IS - 1
ER -