Rethinking Valuation and Pricing Models

33

Regulation, Regulatory Uncertainty and the Stock MarketThe Case of Short Sale Bans

Abraham Lioui^∗ and Michelle Sisto^∗∗

^∗EDHEC Business School

^∗∗International University of Monaco

Chapter Outline

33.1 Introduction

33.2 Classical Models: Theoretical Models of Constraining Short Sales

32.2.1 Overvaluation models

32.2.2 Alternative models—Informational efficiency

33.3 Empirical Evidence Prior to the 2008 Financial Crisis

33.3.1 Evidence of overvaluation hypothesisdPrice effects

33.3.2 Evidence on market efficiency

33.4 Empirical Evidence from and Since the Financial Crisis of 2008

34.4.1 Impact of bans on stocks

34.4.2 Spillover effects of bans

34.5 Future Challenges

References

33.1 Introduction

Short sales play an important role in capital markets ...