Cakici, Nusret; Goswami, Gautam; Tan, Sinan - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-31
The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting...
