Security price formation and informed trading with constrained short selling

被引：0
作者：
Tyler R. Henry
机构：
[1] Miami University,Frank H. Jellinek, Jr. Assistant Professor of Finance, Farmer School of Business
来源：
Review of Quantitative Finance and Accounting | 2019年 / 53卷
关键词：
Short sale constraints; Sequential trade model; Informed trading; G12; G14;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Short sale orders account for a substantial portion of trading volume in recent years. This paper develops a sequential trade model with constrained short selling to derive the effect on prices when the market maker can observe short selling in the order flow. The model predicts that market quotes will adjust differently to short sales and regular sales. Furthermore, the model shows that the probability of informed trading is impacted both by the level of short sale constraints and the intensity of actual short sale trades. Simulation evidence confirms that estimates of the probability of informed trade are improved when accounting for past short selling activity. The results demonstrate the information benefits of short selling transparency.
引用
收藏
页码：123 / 151
页数：28
相关论文
共 94 条
  • [1] Akbas F(2017)Short interest, returns, and unfavorable information Financ Manag 46 455-486
  • [2] Boehmer E(2005)Empirical evidence on the evolution of liquidity: choice of market versus limit orders by informed and uninformed traders J Financ Mark 8 288-308
  • [3] Erturk B(2005)Short interest, institutional ownership, and stock returns J Financ Econ 78 276-14
  • [4] Sorescu S(1971)The only game in town Financ Anal J 27 12-322
  • [5] Anand A(2013)Short selling and the price discovery process Rev Financ Stud 26 287-527
  • [6] Chakravarty S(2008)Which shorts are informed? J Finance 63 491-289
  • [7] Martell T(1990)Short interest—explanations and tests J Financ Quant Anal 25 273-316
  • [8] Asquith P(2009)Block ownership and firm-specific information J Bank Financ 33 308-212
  • [9] Pathak P(1987)Building blocks: an introduction to block trading J Bank Financ 11 193-650
  • [10] Ritter J(2007)Price informativeness and investment sensitivity to stock price Rev Financ Stud 20 619-106
12345678910