| 主讲人 |
阚铄 博士 |
简介 |
<p><span lang="EN-US" style="font-size:10.5pt;mso-bidi-font-size:11.0pt;font-family:"Times New Roman",serif;mso-fareast-font-family:宋体;mso-fareast-theme-font:minor-fareast;mso-ansi-language:EN-US;mso-fareast-language:ZH-CN;mso-bidi-language:AR-SA">Abstract: We investigate the link between stock return synchronicity and price informativeness by exploiting the Regulation SHO pilot program, which removed short-selling price tests for randomly-selected stocks (“pilot stocks”) in May 2005, before removing such tests for all stocks in July 2007. A difference-in-differences analysis shows that relative to non-pilot stocks, pilot stocks saw a significantly larger increase in return synchronicity when the pilot program started, but such difference disappeared when Regulation SHO removed short-selling price tests for all stocks. The results suggest that high return synchronicity reflects high, rather than low, price informativeness.</span></p> |
