| 讲座简介： | 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. |
