This article analyses the effect of short-selling constraints on market volatility. Between 2011 and 2012, two different types of short-sale bans were imposed on the Spanish stock market: first, a partial ban on financial companies, and later, a total ban affecting all stocks. Using panel data...

In a moment where humans produce an overwhelming quantity of information and are able to numerically analyze it, we propose to test whether markets are able to incorporate such amounts of information to prices. We transform four million news into a news index that has explanatory power over...