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The short interest data reported in the United States aggregate valuation shorts (motivated by a pessimistic opinion on firm value) and arbitrage shorts (motivated by various arbitrage or hedging strategies). However, the information content of these two sources of short interest is different...
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The recent proliferation of electronic exchanges raises questions regarding the need for intermediaries with affirmative obligations to maintain markets. In this study, we examine the value of augmenting the public supply of liquidity with a designated market maker, or dealer, for a sample of...
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We study the behavior of short sellers around earnings restatements. We find that short sellers accumulate positions in restating firms several months in advance of the restatement and subsequently unwind these positions after the drop in share price induced by the restatement. The increase in...
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We conjecture that macro-level institutional quality will affect equity trading costs through its impact on information risk and investor participation. A study of liquidity costs of 412 NYSE-listed ADRs from 44 countries reveals the following key findings. After controlling for firm-level...
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