This study examines the effect of regulations on the return behavior of short sales constrained stocks in the Japanese stock market. Since legal restrictions hinder short selling, the subsequent underperformance of highly shorted stocks is hypothesized to be more pronounced during periods when these regulations are stronger. On the basis of actual rules on short sales, the period from January 2012 to October 2013 is defined as a high regulation period and the period from November 2013 to July 2016 is defined as a low regulation period. Using all stocks listed on the Tokyo Stock Exchange and the JASDAQ Securities Exchange, this research finds evidence that short sales constrained stocks are generally overvalued but also that the subsequent underperformance of maximally shorted stocks compared to minimally shorted stocks does not differ significantly across regulatory regimes. This study concludes that the underperformance of short sales constrained stocks is linked to market-oriented restrictions such as the inability to borrow stock to sell short. Legal restrictions on short sales do not appear to create additional distortions in stock prices.

本研究考察了法规对日本股票市场上受空头限制的股票的回报行为的影响。由于法律限制阻碍了卖空，因此，在这些规定更强的时期内，高空头股票随后表现不佳的情况被认为更为明显。根据卖空的实际规则，2012年1月至2013年10月为高管制期，2013年11月至2016年7月为低管制期。使用东京证券交易所和JASDAQ证券交易所上市的所有股票，这项研究发现有证据表明，受空头限制的股票通常被高估，但随后的最大空头股票与最小空头股票相比表现不佳，在整个监管制度中也没有显着差异。这项研究得出的结论是，卖空受限股票的表现不佳与市场导向的限制（例如无法借入股票卖空）有关。对卖空的法律限制似乎并未造成股票价格的其他扭曲。