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.
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页码：123 / 151
页数：28
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