Abstract
ABSTRACTThis article examines the impact of the NASDAQ’s bid test rule on the information content of short sales surrounding the U.S. Security Exchange Commission introduction of the pilot programme in 2005. It shows that abnormal short selling prior to analyst recommendation changes were very informative when stocks were restricted by the bid test rule. Such informativeness of short selling disappears when the bid test rule was temporarily suspended for pilot stocks. The results are robust after controlling for various factors that may contribute to this anomaly. Both the shorting efficiency hypothesis and the regulatory concern hypothesis are developed to provide explanations for this anomaly. Additional tests show that the regulatory concern is more consistent with the data.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.