Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 19, 2010 erstellt
Description:
We investigate the impact of failures-to-deliver on the performance of 116 Real Estate Investment Trusts (REITs) during a period of substantial short selling (calendar years 2007 and 2008). REIT shares typically are easy to borrow, have high transparency (low information asymmetry), and are exposed to systematic risk during the sample period, making them short sale targets. We find that the majority of failure-to-deliver events are quickly resolved, with durations of less than three days. Our results support the conjecture that most failures-to-deliver result from short sellers covering their trades before the settlement date of the initial sale. Since the failure is resolved when the covering purchase settlement day arrives, traders forego borrowing which results in a failure-to-deliver. However, failures-to-deliver that are outstanding for many days have lower risk adjusted returns. Our results support the actions taken by the SEC in September of 2008 to tighten the delivery requirement of stock trades