We examine the relation between the monthly reported short interest (the number of shares that are in outstanding short positions) and short selling. We aggregate transaction level short selling into monthly short turnover (a measure of the shorting flow) and find that short turnover and short...

On September 8, 2008, a false-news event precipitates a sharp decline in United Airline's stock price, rapidly leading to an exchange-mandated trading halt. This event allows for the empirical investigation of the effects of a false-news trading halt in an attempt to determine its effect on...

We examine the liquidity providing behavior of NASDAQ market makers surrounding two periods of changing dealer obligation. The first change in November, 2007 is the relaxation of Rule 4613, which required NASDAQ market makers to place two-sided quotes “reasonably related” to the current best...

In July 2007 the SEC granted a proposal by the NASDAQ stock exchange to allow firms relisting on the NASDAQ to retain their 3-digit ticker. We examine whether the length of a ticker symbol on NASDAQ matters by comparing stocks that transfer their listing from AMEX to NASDAQ with 3-digit tickers,...

We examine the performance of three spread decomposition models which provide estimates of the inventory holding component of the bid-ask spread: the Stoll (1989), Huang and Stoll (1997), and Bollen, Smith, and Whaley (2004) models. As a benchmark for the analysis, we use the order imbalance...

The study investigates competition in the market for NASDAQ stocks during a recent period in U.S. equity markets history when three major ECNs - Archipelago, Island, and Instinet - are identifiable in TAQ. We show that the ECNs compete with NASDAQ's SuperMontage on the basis of quotes, execution...

Short sellers are informed (Diamond and Verrecchia, 1987, Aitken et al., 1998, and Diether, Lee, and Werner, 2007) and the information contained in short sales is driven by larger short-sale sizes (Boehmer, Jones, and Zhang, 2008). We examine whether short sales cluster on round prices and round...

Research documents a U-shaped intraday pattern of returns (Wood et al., 1985, and Harris, 1986). This paper examines which trade sizes drive the U-shaped pattern. We find that intraday price changes from larger trades exhibit a U-shaped pattern while prices changes from smaller trades show a...

Using short-sale transactions data, we examine the relation between short selling and the weekend effect. We do not find that short selling is more abundant on Monday than on Friday, even for stocks that have higher Friday returns. We find that short sellers execute more short sale volume during...

Easley, Hvidkjaer, and O'Hara (2002), building upon the asset pricing model of Fama and French (1992), show that the probability of informed trading (PIN) is a determinant of asset returns for NYSE-listed securities. We extend this work by examining whether the PIN is a predictive factor for...