Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

With the rapid globalization of financial markets during the 1980s and 1990s, increasingly more firms from around the world began cross-listing their shares on major overseas stock exchanges. During the past decade, however, the number of new international cross-listings on major exchanges...

We investigate the interplay between the distribution of ownership, short sale constraints, and market efficiency from the perspective of US cross-listed stocks domiciled in Canada during the short sale ban of 2008. Using minute-by-minute data, we show that prices in the two markets remained...

We examine the volume-return relationship of individual stocks around the world. We frame our empirical investigation in the context of the heterogeneous agent, rational expectations, framework proposed by Llorente, Michaely, Saar, and Wang (2002) in which investors trade to speculate on their...

The Toronto Futures Exchange introduced interest rate futures contracts in September 1980 to provide Canadian market players with the ability to hedge their positions against interest rate fluctuations. Instruments for both ends of the term structure were introduced: A 91-day Government of...