Chapter 15.2, Problem 15.9ACB

Short-sale stock returns. The Securities and Exchange Commission (SEC) temporarily suspended short sales of stocks of several financial firms in order to protect the firms from sudden stock price declines. The impact the temporary restriction had on the New York Stock Exchange was the subject of an article published in the Journal of Financial Markets (Vol. 13, 2010). For one portion of the study, the researchers examined the daily abnormal stock returns for a sample of 17 stocks subject to the short-sale restrictions 1 month after the SEC announcement. Of these 17 stocks, 6 had a positive abnormal return rate. In theory, if the SEC restriction was effective, half of all stocks with suspended short sales would have positive return rates and half would have negative return rates. Is there evidence to dispute this theory? Test using α = .05.