|I didnít include
table 7 in the presentation because I thought this might give a better
picture but if you look at table 7 in the paper you will see that all the
measures of SS intensity increases monotonically as the issue date nears with
an abnormal spike in SS activity one day before the issuance. In this figure
look at ABRELSS. This suggests that Rule 105 does not effectively prevent
short selling prior to SEO issue dates.
whether rule 105 affects informed or manipulative trading strategies the
authors separate ABRELSS[ID-10, ID-1] into 2 subsets based on the number of
days prior to the issue date. (Model 6 in Table 4)
|The results in
this model show that there is a significant relationship between pre-issue SS
and issue discount for non-shelf offerings both, when constrained and
unconstrained by rule 105. They also regress SEO issue discount on various
control measures and the daily level of ABRELSS for each of the 7 days prior
to the issuance. They find that the relationship between pre-issue SS and the
issue discount is the strongest on day -6. The coefficients on ABRELSS 6 and
7 days prior to the issuance is positive and significant. These results are
consistent with SS by manipulative traders who adhere to rule 105 and
transact before the deadline.
|The Coefficient on
ABRELSS 2 days before the issuance is also significantly positive.
|Rule 105 does not
appear to be effective in restricting all manipulative SS right before