TY  - UNPD
A1  - Félix, Luiz
A1  - Kräussl, Roman
A1  - Stork, Philip
T1  - The 2011 European short sale ban on financial stocks: a cure or a curse? : [version 31 july 2013]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,17
N2  - Did the August 2011 European short sale bans on financial stocks accomplish their goals? In order to answer this question, we use stock options’ implied volatility skews to proxy for investors’ risk aversion. We find that on ban announcement day, risk aversion levels rose for all stocks but more so for the banned financial stocks. The banned stocks’ volatility skews remained elevated during the ban but dropped for the other unbanned stocks. We show that it is the imposition of the ban itself that led to the increase in risk aversion rather than other causes such as information flow, options trading volumes, or stock specific factors. Substitution effects were minimal, as banned stocks’ put trading volumes and put-call ratios declined during the ban. We argue that although the ban succeeded in curbing further selling pressure on financial stocks by redirecting trading activity towards index options, this result came at the cost of increased risk aversion and some degree of market failure.
T3  - CFS working paper series - 2013, 17 
KW  - short-selling
KW  - ban
KW  - financial stocks
KW  - implied volatility skew
KW  - risk aversion
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/32494
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-324949
IS  - version 31 july 2013
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -