Electronic Theses and Dissertations

Identifier

620

Author

Chinmay Jain

Date

2012

Date of Award

6-18-2012

Document Type

Dissertation

Degree Name

Doctor of Philosophy

Major

Business Administration

Concentration

Finance

Committee Chair

Thomas McInish

Committee Member

Christine X. Jiang

Committee Member

David M. Kemme

Abstract

There are four essays in this dissertation. The first essay provides a detailed historical account of the evolution of short selling regulations and trading practices during both normal and crises periods. The second essay focuses on short selling Rule 201. We are unable to document any clear benefits of SEC Rule 201 in ensuring fair valuations and price stability, promoting higher liquidity and execution quality, or preventing a sudden flash crash or prolonged market crises. In the third essay, we examine various short selling regulatory frameworks ranging from total bans on the one extreme to unrestricted free play on the other, with partly restrictive regimes (e.g. an uptick rule or the current quote based rule) in the middle. We conclude that a rule that takes into account a stock's previous day's closing price and applies to stocks with high level of short interest is more effective than the current regulation in balancing the price efficiency benefits of short selling with its panic mongering effects. In the fourth essay, we examine after-hours short selling following quarterly earnings announcements that are released outside of the normal trading hours. We find that short sellers who trade after-hours earn a profit of 2.03% when an earnings announcement with negative surprise occurs after the close of the market. We also find that the magnitude of weighted price contribution during after-hours period increases with the increase in magnitude of after-hours short selling.

Comments

Data is provided by the student.

Library Comment

dissertation or thesis originally submitted to the local University of Memphis Electronic Theses & dissertation (ETD) Repository.

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