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，许多国家限制卖空。大多数经济学家都认为，减少投机的目标尚未实现，并且普遍反对卖空限制。这个项目询问卖空约束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趣。该项目采用实验和实证方法。我们将在项目的实验部分利用Gneezy等人（2003）的设计，在实验资产市场中交易彩票。彩票结构对市场价格有显著影响；Gneezy等人将此解释为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，我们可以得出卖空约束增加了行为偏差对市场的影响。在本研究的实证部分，我们将研究在有无卖空约束的情况下，动量策略在不同国家和时间段的收益。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。许多研究者认为，行为方法可以解释动量效应的盈利能力和持久性。因此，卖空约束与动量回报之间的正相关关系可以被视为行为偏差对市场价格产生更大影响的证据。

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.