時間: 9/25 (五) 10:30-12:00
講題: Equity Short Selling and Bank Loan Market: A Controlled Experiment
We use a controlled experiment, Regulation SHO Pilot Program, to study how equity short selling affects decisions of financial intermediation and the cost of private debt for firms. Our results show that the bank loan spreads decrease significantly for the pilot firms during the pilot period, compared with control firms. We also find that the results are mainly driven by firms with high information asymmetry, proxied the size of the lending syndicate and alternative measures. When up-tick rules are removed for all firms after the pilot period, the difference in load spreads between pilot and non-pilot firms disappear. Overall, our results indicate that short selling helps to reduce information asymmetry between firms and banks, resulting in a loan spread reduction.