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- W2167727085 abstract "We focus on the short sale ban of 2008 to examine the interaction between the price discovery in banned stocks and the trading of options and CDS. Within the sample of banned stocks with exchange traded options, stocks whose put-call ratios are in the top quintile underperform the middle group by 2.13% and 4.01% over the next three- and five-day returns, respectively. By contrast, the bottom quintile does not perform differently from the middle group. Within the sample of banned stocks with CDS traded and using their one-day percentage change in CDS spreads as a signal, we find cross-sectional predictability of CDS signal for future stock returns. Again, the predictability is asymmetric, driven mostly by stocks with more positive percentage change in CDS spreads, and therefore more negative information according to the CDS market. Overall, our results confirm that in the presence of short sale ban, it takes time for the negative information contained in either the options market or the CDS market to get incorporated into stock prices." @default.
- W2167727085 created "2016-06-24" @default.
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- W2167727085 date "2011-01-01" @default.
- W2167727085 modified "2023-09-26" @default.
- W2167727085 title "Trading Puts and CDS on Stocks with Short Sale Ban" @default.
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- W2167727085 doi "https://doi.org/10.2139/ssrn.1572462" @default.
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