We study minute-by-minute behavior of the VIX index and trading activity in the underlying S&P 500 options to understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news, reflects the credibility of Fed monetary stimulus, and...

We seek the roots of one-minute changes in VIX, an index of S&P 500 option prices, to understand risk neutral volatility and its risk premium component. Beyond leverage and risk premium effects, macroeconomic influences and some proxies for noise trading in the S&P 500 ETF market are...

We test whether short selling is destabilizing comparing distressed financial firms to other firms using NYSE transactions records covering four years including the recent financial crisis. Aggressive short-selling is sometimes destabilizing by some measures, but its impact is small, vanishes...

We test whether short selling is destabilizing comparing distressed financial firms to other firms using NYSE transactions records covering 4 years including the recent financial crisis. Aggressive short-selling is sometimes destabilizing by some measures, but its impact is small, vanishes...

In this dissertation I aim at improving the understanding of the informativeness of short-selling in the context of the motivation, the impact on future stock returns, and the relation with market efficiencies. In Chapter 1, I study short sellers? reactions after quarterly earnings announcements...