The Impact of the Short Sale Ban on Stock Returns

In: Business and Management

Submitted By 1grigory
Words 950
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Национальный исследовательский университет

Высшая школа экономики

Факультет экономики

Кафедра фондового рынка и инвестиций

Реферат по статье

«The Impact of the 2008 Short Sale Ban on Stock Returns»
Abraham Lioui

(Bankers, Markets & Investors №108 September-October 2010)

Выполнил: студент группы ФФР2 Пилюгин Г.В.

Москва 2013

Введение.

В своей статье автор рассматривает влияние запрета коротких продаж в период кризиса 2008-го года на доходность акций. Для этого исследуются основные характеристики (асимметрия и скошенность расперделения доходностей) по акциям, на которые был введен запрет коротких продаж, в разных периодах.

Принятие решения о запрете коротких продаж произошло в результате сильных колебаний на рынке акций страхового и банковского секторов. По предположениям инициаторов этой политики данная крайняя мера должна была снизить понижательную тенденцию в отношении соответствующих акций. Реализация этих действий была осуществлена Комиссией по ценным бумагам и биржам США 15 июля 2008г. в отношении 19 акций, а после банкротства Lehman brothers – на сотни различных акций. Аналогичные запреты были приняты в большинстве европейских стран.

Казалось бы, запрет коротких продаж в период острого кризиса – это вполне обоснованная, рациональная и в крайних случаях даже необходимая мера для предотвращения обвала фондового рынка. Тем не менее, автор статьи в своём исследовании доказывает обратное. Меры 2008-го года принимались в соответствии с доминирующей парадигмой Миллера об ограничениях на короткие продажи, действующей с 1977г. Согласно этой теории, ограничение коротких продаж приводит к переоцененным курсам…...

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