Reed, Adam V.
[Verfasser:in]
;
Samadi, Mehrdad
[Sonstige Person, Familie und Körperschaft];
Sokobin, Jonathan S.
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Journal of Financial and Quantitative Analysis, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 7, 2019 erstellt
Beschreibung:
Using a novel database on venue short sales and market design characteristics, we ask: Where do short sellers exploit their information advantage? Consistent with the prediction of Zhu (2014), we find that exchange short sales comprise a larger proportion of trading and are more informative about future prices than dark pool short sales, particularly when there is greater competition among short sellers to trade and in the presence of short-lived information. When examining market design characteristics, we find that dark pools offering volume weighted average price crossing attract more short sales while those offering block trading attract fewer short sales