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Shorting at Close Range: A Tale of Two Types
16 references·11 citing·38 second hop
Shorting at Close Range: A Tale of Two Types (2012)Shorting at Close Range: A Tale of Two Ty…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Short Selling and the Price Discovery Process (2012)Short Selling and the Price D…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Short-Sale Strategies and Return Predictability (2008)Short-Sale Strategies and Ret…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Short interest, institutional ownership, and stock returns (2005)Short interest, institutional…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Short-sellers, fundamental analysis, and stock returns (2001)Short-sellers, fundamental an…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic (2022)Limited investor attention an…To own or not to own: Stock loans around dividend payments (2021)To own or not to own: Stock l…Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency? (2020)Why Do Short Selling Bans Inc…Deregulation of short-selling constraints and cost of bank loans: Evidence from a quasi-natural experiment (2020)Deregulation of short-selling…Inverted fee structures, tick size, and market quality (2019)Inverted fee structures, tick…Shorting in Broad Daylight: Short Sales and Venue Choice (2018)Shorting in Broad Daylight: S…Why Do Short Sellers Like Qualitative News? (2017)Why Do Short Sellers Like Qua…ETF Short Interest and Failures-to-Deliver: Naked Short-Selling or Operational Shorting? (2017)ETF Short Interest and Failur…Assessing the information content of short-selling metrics using daily disclosures (2015)Assessing the information con…Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited (2012)Short Sales, Long Sales, and …Banks, Bears, and the Financial Crisis (2011)Banks, Bears, and the Financi…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)A Theory of Auctions and Competitive Bidding (1982)Continuous Auctions and Insider Trading (1985)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Information Effects on the Bid-Ask Spread (1983)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)On Persistence in Mutual Fund Performance (1997)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2005Short interest, institutional ownership, and stock returns1,012 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2001Short-sellers, fundamental analysis, and stock returns783 cited
  • 2012Short Selling and the Price Discovery Process737 cited
  • 2008

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Short-Sale Strategies and Return Predictability
731 cited

Cited by

  • 2019Inverted fee structures, tick size, and market quality77 cited
  • 2012Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited75 cited
  • 2018Shorting in Broad Daylight: Short Sales and Venue Choice39 cited
  • 2015Assessing the information content of short-selling metrics using daily disclosures27 cited
  • 2021To own or not to own: Stock loans around dividend payments26 cited
  • 2022Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic26 cited
  • 2017ETF Short Interest and Failures-to-Deliver: Naked Short-Selling or Operational Shorting?24 cited
  • 2011Banks, Bears, and the Financial Crisis22 cited
  • 2017Why Do Short Sellers Like Qualitative News?21 cited
  • 2020Why Do Short Selling Bans Increase Adverse Selection and Decrease Price Efficiency?20 cited
  • 2020Deregulation of short-selling constraints and cost of bank loans: Evidence from a quasi-natural experiment18 cited