The influence of short sale constraints on the relationship between biased individual behavior and market prices

在最近的金融危机期间，一些国家限制了卖空。大多数经济学家一致认为，减少投机的目标尚未实现，他们普遍不赞成卖空限制。这个项目询问卖空限制是否会导致行为偏差在市场层面上变得更有影响力。从科学的角度来看，这个研究问题特别有意义。该项目采用实验和经验相结合的方法。我们将利用Gnezy等人的设计。(2003)在该项目的试验部分，彩票在试验性资产市场交易。彩票的框架显著影响市场价格；格尼兹等人。将此解释为表明行为现象影响市场价格的证据。如果卖空的引入消除了错误定价，那么卖空约束会增加行为偏差对市场的影响。在本研究的实证部分，我们将研究不同国家和不同时间段有和没有卖空约束的动量收益策略。我们将研究长期受到限制的国家，以及金融危机期间颁布的卖空禁令的自然实验。许多研究人员认为，行为方法可以解释动量效应的盈利性和持久性。因此，卖空约束与动量回报之间的正相关可以被视为行为偏差对市场价格影响更大的证据。

During the recent financial crisis a number of countries restricted short-selling. Most economists agree that the goal of decreasing speculation has not been accomplished and predominantly disapprove of short-selling constraints in general.This project asks whether short-selling constraints lead behavioral biases to become more influential on the market level. This research question is of particular interest from a scientific perspective. The project uses experimental and empirical approaches.We will utilize the design of Gneezy et al. (2003) in the experimental part of the project, where a lottery is traded in an experimental asset market. The framing of the lottery significantly influences the market price; Gneezy et al. interpret this as evidence that indicates that behavioral phenomena influence market prices. If the introduction of short-selling eliminates the mispricing, we can conclude that short-selling constraints increase the influence of behavioral biases on markets.In the empirical part of this study, we will study the return of momentum strategies in different countries and time periods with and without short-selling constraints. We will study countries that were constrained for a long period as well as the natural experiment of the short-selling bans that were enacted during the financial crisis. Many researchers believe that behavioral approaches can explain the profitability and persistence of the momentum effect. Hence, a positive correlation between short-selling constraints and momentum returns could be viewed as evidence of a stronger influence of behavioral biases on market prices.