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Title:Two Essays in Financial Economics
Author(s):Westbrook, Harvey Birtill, Jr
Doctoral Committee Chair(s):Bernhardt, Dan
Department / Program:Economics
Discipline:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
Abstract:In the second chapter, we construct a model to test the impact of short sell restrictions on the price discovery process of Diamond exchange traded funds. Short sell restrictions prevent trading in individual stocks during down markets. Diamonds are traded continuously and hold a publicly known portfolio of DJIA stocks. We test the distributional implications of short sell restrictions by using trade level data to construct minute-by-minute trade level approximations of the Diamond portfolio and compare them to Diamonds during periods when the short sell restrictions bind. We find no evidence that short sell restrictions introduce persistent premiums or discounts.
Issue Date:2002
Type:Text
Language:English
Description:126 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2002.
URI:http://hdl.handle.net/2142/85524
Other Identifier(s):(MiAaPQ)AAI3044259
Date Available in IDEALS:2015-09-25
Date Deposited:2002


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