At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...

In this paper, we develop a utility based economic measure for diversification benefits, calculated as the maximum premium that an investor is willing to pay for holding a more diversified portfolio. The utility based economic measure allows one to evaluate the expansion of the investment...

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false positive, or trading after processing the signal, at the risk that prices...

This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is, information about transient trading pressure unrelated to fundamentals. Preopening quotes posted by wholesalers (dealers specialized in market-making and thus presumably more...

This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is, information about transient trading pressure un- related to fundamentals. Preopening quotes posted by wholesalers (dealers specialized in market-making and thus presumably more...

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...

This paper develops a theory of multiple unit auctions with short squeezes in the post- auction market. This is especially relevant for financial and commodity markets where players may enter the auction with established forward positions. We study how a potential short squeeze impacts on...

Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher average prices and demand larger quantities than do...

We explore the 2020 and early 2021 price variation of four stocks: GameStop, AMC Entertainment Holdings, Blackberry and Nokia. The four stocks were subject to a decentralized short squeeze that exploited the short positions of institutional investors. This investor movement was likely initiated...

This paper develops a theory of multiple unit auctions with short squeezes in the post- auction market. This is especially relevant for financial and commodity markets where players may enter the auction with established forward positions. We study how a potential short squeeze impacts on...