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Jurnal

Journal of Financial Economics

Keyword

Short selling; Information content; Market quality; High-frequency trading

Pengarang

  1. Carole comerton
  2. Charles m.jones
  3. Talis j.putnins

    Subject

    1. ECONOMIC
    2. FINANCIAL

      [Abstrak]

      We examine
      returns, order flow, and market conditions in the minutes before, during, and
      after NYSE and Nasdaq short sales. We find two distinct types of short sales:
      those that provide liquidity, and those that demand it. Liquidity-supplying
      shorts are strongly contrarian at intraday horizons. They trade when spreads
      are unusually wide, facing greater adverse selection. Liquidity-demanding
      shorts trade when spreads are narrow and tend to follow short-term price
      declines. These results support a competitive rational expectations model where
      both market-makers and informed traders short, indicating that these two
      shorting types are integral to both price discovery and liquidity provision.








      Periode

      Vol 121, Nomor 3, Tahun 2016

      [Berkas]

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