Shorting in Broad Daylight: Short Sales and Venue Choice
Using a novel database on venue short sales and market design characteristics, we ask: Where do short sellers exploit their information advantage? Consistent with the prediction of Zhu (2014), we find that exchange short sales comprise a larger proportion of trading and are more informative about fu...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 2020-11, Vol.55 (7), p.2246-2269 |
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| container_title | Journal of financial and quantitative analysis |
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| creator | Reed, Adam V. Samadi, Mehrdad Sokobin, Jonathan S. |
| description | Using a novel database on venue short sales and market design characteristics, we ask: Where do short sellers exploit their information advantage? Consistent with the prediction of Zhu (2014), we find that exchange short sales comprise a larger proportion of trading and are more informative about future prices than dark-pool short sales, particularly when there is greater competition among short sellers to trade and in the presence of short-lived information. When examining market design characteristics, we find that dark pools offering volume-weighted average price crossing attract more short sales, whereas those offering block trading attract fewer short sales. |
| doi_str_mv | 10.1017/S0022109019000802 |
| format | Article |
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| ispartof | Journal of financial and quantitative analysis, 2020-11, Vol.55 (7), p.2246-2269 |
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| language | eng |
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| source | EBSCOhost Business Source Complete; Cambridge University Press Journals Complete |
| subjects | Central banks Dark pool trading Daylight Informationsversorgung Leerverkauf OTC-Handel Prices Quantitative analysis Sales Short sales Stock exchanges USA Venue |
| title | Shorting in Broad Daylight: Short Sales and Venue Choice |
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