Diether, Karl; Lee, Kuan Hui; Werner, Ingrid M. - Charles A. Dice Center for Research in Financial … - 2007
We examine the effects of the SEC mandated temporary suspension of short-sale price-tests for a set of Pilot securities. While short-selling activity increased both for NYSE and NASDAQ-listed Pilot stocks, returns and volatility at the daily level are unaffected. NYSE-listed Pilot stocks...