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Autocorrelation in daily short-sale volume
Blau, Benjamin M.; Smith, Jason M. - In: The Quarterly Review of Economics and Finance 54 (2014) 1, pp. 31-41
formal tests and finds significant first-order autocorrelation in daily short volume. Contrary to prior research that … suggests that autocorrelation in total trade volume is explained by the flow of information into prices, our tests indicate … that the information contained in short sales is decreasing in the level of autocorrelation. In additional tests, we do not …
Persistent link: https://www.econbiz.de/10010743584
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Concentrated short-selling activity: bear raids or contrarian trading?
Blau, Benjamin; Brough, Tyler J. - In: International Journal of Managerial Finance 8 (2012), pp. 187-203
Purpose – The purpose of this paper is to investigate what is denoted as episodes of concentrated short-selling activity, or consecutive days of abnormal short-sale activity in a particular stock. The motivation to do so is two fold. First, US regulators and regulators in other countries have...
Persistent link: https://www.econbiz.de/10010610530
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Comparing the information in short sales and put options
Blau, Benjamin; Wade, Chip - In: Review of Quantitative Finance and Accounting 41 (2013) 3, pp. 567-583
Prior work shows that both short sales and put options contain information about future stock prices. In this study, we compare the return predictability in short sales to the return predictability in put options. The motivation for this comparison is based on the theoretical argument that...
Persistent link: https://www.econbiz.de/10010867704
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Short selling after hours
Alldredge, Dallin M.; Blau, Benjamin M.; Brough, Tyler J. - In: Journal of Economics and Business 64 (2012) 6, pp. 439-451
Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns. This study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...
Persistent link: https://www.econbiz.de/10010595335
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Informed or speculative: Short selling analyst recommendations
Blau, Benjamin M.; Wade, Chip - In: Journal of Banking & Finance 36 (2012) 1, pp. 14-25
Christophe et al. (2010) find evidence of abnormal short activity prior to analyst downgrades and argue that short sellers may be violating SEC insider-trading laws by trading on information obtained from analysts about upcoming downgrades. However, observing abnormal shorting prior to...
Persistent link: https://www.econbiz.de/10010582667
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Can Miracles Lead to Crises? the Role of Optimism in Emerging Markets Crises
Boz, Emine - International Monetary Fund (IMF) - 2007
Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself...
Persistent link: https://www.econbiz.de/10005826240
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Liquidity needs, private information, feedback trading: verifying motives to trade
Gebka, Bartosz T.; Serwa, Dobromił - Narodowy Bank Polski - 2012
We analyse investors‟ motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for....
Persistent link: https://www.econbiz.de/10010556361
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Informed Trading, Short Sales Constraints, and Futures' Pricing
Hietala, Pekka; Jokivuolle, Esa; Koskinen, Yrjö - Economics Institute for Research (SIR), … - 2000
The purpose of this paper is to provide an explanation for relative pricing of futures contracts with respect to underlying stocks based on short sales constraints and informational lags between the two markets. In this model stocks and futures are perfect substitutes, except that short sales...
Persistent link: https://www.econbiz.de/10005190894
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Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts
Devos, Erik; McInish, Thomas; McKenzie, Michael; Upson, … - In: The Journal of Real Estate Finance and Economics 49 (2014) 4, pp. 454-476
Naked short selling and purposeful fails-to-deliver have been identified in the popular press and by the SEC as contributing factors to the stock market decline in 2008. We investigate the market impact of the announcement that fails-to-deliver have occurred for a sample of real estate...
Persistent link: https://www.econbiz.de/10010989355
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Merger arbitrage short selling and price pressure
Liu, Tingting; Wu, Juan - In: Journal of Corporate Finance 27 (2014) C, pp. 36-54
We evaluate the over-valuation hypothesis and merger arbitrage price pressure hypothesis as potential explanations for the observed negative returns to stock acquirers around merger announcement. Using daily shorting flow data, we show that the majority of the negative announcement returns can...
Persistent link: https://www.econbiz.de/10010906832