The 2011 European short sale ban: A cure or a curse?
Tóm tắt
Từ khóa
Tài liệu tham khảo
Acharya, 2005, Asset pricing with liquidity risk, J. Financ. Econ., 77, 375, 10.1016/j.jfineco.2004.06.007
Ait-Sahalia, 2015, Modeling financial contagion using mutually exciting jump processes, J. Financ. Econ., 10.1016/j.jfineco.2015.03.002
Balla, 2014, Tail dependence and indicators of systemic risk for large US depositories, J. Financ. Stab., 15, 195, 10.1016/j.jfs.2014.10.002
Bakshi, 2003, Stock returns characteristics, skew laws, and the differential pricing of individual equity options, Rev. Financ. Stud., 16, 101, 10.1093/rfs/16.1.0101
Bates, 2000, Post-’87 crash fears in the S&P 500 futures option market, J. Econometrics, 94, 181, 10.1016/S0304-4076(99)00021-4
Battalio, 2011, Regulatory uncertainty and market liquidity: the 2008 short sale ban's impact on equity option markets, J. Finance, 66, 2013, 10.1111/j.1540-6261.2011.01700.x
Beber, 2013, Short selling bans around the world: evidence from the 2007–2009 crisis, J. Finance, 68, 343, 10.1111/j.1540-6261.2012.01802.x
Birru, 2011, Anatomy of a meltdown: the risk neutral density for the S&P 500 in the fall of 2008, J. Financ. Markets, 15, 151, 10.1016/j.finmar.2011.09.001
Bloomberg, 2008
Boehmer, 2013, Shackling short sellers: the 2008 shorting ban, Rev. Financ. Stud., 26, 1363, 10.1093/rfs/hht017
Bollen, 2004, Does net buying pressure affect the shape of implied volatility function?, J. Finance, 59, 711, 10.1111/j.1540-6261.2004.00647.x
Breeden, 1978, Prices of state-contingent claims implicit in option prices, J. Bus., 51, 621, 10.1086/296025
Bliss, 2004, Option-implied risk aversion estimates, J. Finance, 59, 407, 10.1111/j.1540-6261.2004.00637.x
Chang, 2013, Market skewness risk and the cross section of stock returns, J. Financ. Econ., 107, 46, 10.1016/j.jfineco.2012.07.002
Data Explorers Limited, 2011
Dennis, 2002, Risk-neutral skewness: evidence from stock options, J. Financ. Quant. Anal., 37, 471, 10.2307/3594989
Engle, 2014, Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness, J. Econometrics, 182, 135, 10.1016/j.jeconom.2014.04.013
Figlewski, 2009, Estimating the Implied Risk Neutral Density for the U.S. Market Portfolio
Grammatikos, 2012, Transmission of the financial and sovereign debt crises to the EMU: stock prices, CDS spreads and exchange rates, J. Int. Money Finance, 31, 469, 10.1016/j.jimonfin.2011.10.004
Grundy, 2012, Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban, J. Financ. Econ., 106, 331, 10.1016/j.jfineco.2012.05.013
Hartmann, 2004, Asset market linkages in crisis periods, Rev. Econ. Stat., 86, 313, 10.1162/003465304323023831
Hill, 1975, A simple general approach to inference about the tail of a distribution, Ann. Stat., 3, 1163, 10.1214/aos/1176343247
Hull, 2005, Merton's model, credit risk, and volatility skews, J. Credit Risk, 1, 3, 10.21314/JCR.2005.004
Melick, 1997, Recovering an asset's implied PDF from option prices: an application to crude oil during the Gulf crisis, J. Financ. Quant. Anal., 32, 91, 10.2307/2331318
Merton, 1974, On the pricing of corporate debt: the risk structure of interest rates, J. Finance, 29, 449
Poon, 2003, Forecasting volatility in financial markets: a review, J. Econ. Lit., 61, 478, 10.1257/.41.2.478
Sobaci, 2014, Impact of short selling activity on market dynamics: evidence from an emerging market, J. Financ. Stab., 15, 53, 10.1016/j.jfs.2014.08.010