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Medientyp:
E-Artikel
Titel:
Shorting in Broad Daylight: Short Sales and Venue Choice
Beteiligte:
Reed, Adam V.;
Samadi, Mehrdad;
Sokobin, Jonathan S.
Erschienen:
Cambridge University Press (CUP), 2020
Erschienen in:
Journal of Financial and Quantitative Analysis, 55 (2020) 7, Seite 2246-2269
Sprache:
Englisch
DOI:
10.1017/s0022109019000802
ISSN:
0022-1090;
1756-6916
Entstehung:
Anmerkungen:
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, whereas those offering block trading attract fewer short sales.