We examine returns, order flow, and market conditions in the minutes before, during, and after NYSE and Nasdaq short sales. We find two distinct types of short sales: those that provide liquidity, and those that demand it. Liquidity-supplying shorts are strongly contrarian at intraday horizons....

Using NYSE short-sale order data, we investigate whether short-sellers' informational advantage is related to firm earnings and analyst-related events. With a novel decomposition method, we find that while these fundamental event days constitute only 12% of sample days, they account for over 24%...

The total effect of a regulatory change consists of direct effects and indirect effects (spillovers), but the standard difference-in-difference approach measures only direct effects and ignores potential indirect effects. By examining the short-sale aggressiveness during the 2007 full repeal of...

We compare institutional execution costs across the major U.S. exchanges using a sample of institutional equity orders in firms that switch exchanges. Execution costs including commissions are essentially indistinguishable across these exchanges. We also find the fraction of trading volume from...

We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the post-war period the reaction of U.S. and Canadian stock prices to oil shocks can be completely...

Some researchers have recently suggested that lower transaction costs induce small (or noise) traders to trade more actively, thus increasing both the noise component and total volatility of asset prices. We empirically evaluate this conjecture by examining changes in volatility surrounding the...

We show that estimates of adverse selection in the bid-ask spread obtained using methodologies based on Glosten (1987) can be expressed as a weighted average of adverse selection calculated using continuations (successive trades in the same direction) and reversals (successive trades in opposite...

We show that the positive volatility-volume documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions. Thus, it is the occurance of transactions, per se, and not their size, that generates volatility; trade size has no...

Real estate investment trust (REIT) stock prices deviate substantially from net asset values (NAV). Using REIT data since 1990, we find large positive excess returns to a strategy of buying stocks that trade at a discount to NAV, and shorting stocks trading at a premium to NAV. Estimated alphas...

We provide an easy method to identify purchases and sales initiated by retail investors using recent, widely available U.S. equity transactions data. Individual stocks with net buying by retail investors outperform stocks with negative imbalances by approximately 10 basis points over the...