Autore, Don M.; Billingsley, Randall S.; Kovacs, Tunde - In: Journal of Banking & Finance 35 (2011) 9, pp. 2252-2266
This study examines the cross-sectional impact of the 2008 short sale ban on the returns of US financial stocks. Motivated by the large cross-sectional variation in the extent to which banned stocks suffer an illiquidity shock, we hypothesize that stocks with larger liquidity declines are...