Abstract

When short selling is costly, owners of an asset have greater incentive to become informed than nonowners because trading on negative information is easier for them. Thus, information acquisition concentrates among investors owning the asset. A short selling ban restricts selling to only the relatively more informed investors who own the asset, increasing adverse selection but only on the sell side of the market. Price efficiency declines due to less overall information acquisition because a ban magnifies the disincentive to gather information for investors not owning the asset. Empirical evidence from the 2008 U.S. short selling ban is consistent with these theoretical predictions.

中文翻译：

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为什么卖空禁令会增加逆向选择并降低价格效率？

摘要

当卖空成本高昂时，资产所有者比非所有者更有动力获得信息，因为对负面信息进行交易对他们而言更为容易。因此，信息获取集中在拥有资产的投资者中。卖空禁令限制只向拥有资产的相对较有见识的投资者出售资产，这增加了逆向选择，但仅限于市场的卖方。价格效率下降是由于总体信息获取量减少，因为禁令扩大了对不拥有资产的投资者收集信息的抑制力。来自2008年美国卖空禁令的经验证据与这些理论预测是一致的。