We examine short sellers' after-hours trading (AHT) following quarterly earnings announcements released outside of the normal trading hours. Our innovation is to use the actual short trades immediately after the announcements. We find that on these earnings announcement days, there is...

Prior studies on algorithmic trading (AT) have mostly focused on a single exchange. The authors use a public dataset provided by the Securities and Exchange Commission (SEC) covering all major U.S. exchanges to study the impact of AT and its fragmentation on market liquidity. Using a proxy of AT...

Like many countries, the U.S. is concerned that short selling might destabilize markets. Currently, U.S. SEC Rule 201 restricts short selling for stocks that decline 10 percent from the previous day's closing price. Historically, the U.S. has implemented both an uptick rule and a downtick rule...

We provide the first empirical evidence of a non-linear relationship between funding liquidity and market liquidity (FL-ML). The relationship depends on the state of business cycle, firm volatility, and the regulatory regime. Due to heightened funding constraints, equity trading costs increased...